Access Statistics for Monica Billio

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cross-Sectional Performance Measure for Portfolio Management 0 0 0 22 0 0 1 59
A Cross-Sectional Performance Measure for Portfolio Management 0 0 0 0 1 2 2 8
A Cross-Sectional Performance Measure for Portfolio Management 0 0 1 43 0 1 2 135
A Cross-Sectional Score for the Relative Performance of an Allocation 0 0 0 0 0 0 0 8
A Cross-Sectional Score for the Relative Performance of an Allocation 0 0 0 0 1 1 1 10
A Cross-Sectional Score for the Relative Performance of an Allocation 0 0 0 0 1 1 1 47
A New Modelling Test: The Univariate MT-STAR Model 0 0 0 21 0 0 0 113
A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios 0 0 0 26 0 0 3 99
A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios 0 0 0 0 0 0 0 4
A Rank-based Approach to Cross-Sectional Analysis 0 0 0 0 0 0 1 69
A Rank-based Approach to Cross-Sectional Analysis 0 0 0 0 0 1 2 12
A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation 0 0 1 211 0 0 5 587
A meta-measure of performance related to both investors and investments characteristics 0 0 0 0 0 0 2 34
A meta-measure of performance related to both investors and investments characteristics 0 0 0 0 0 0 1 6
A performance measure of Zero-dollar Long/Short equally weighted portfolios 0 0 1 61 0 1 2 290
A test for a new modelling: The Univariate MT-STAR Model 0 0 0 0 0 0 1 14
A test for a new modelling: The Univariate MT-STAR Model 0 0 0 44 0 0 1 190
A test for a new modelling: The Univariate MT-STAR Model 0 0 1 68 1 1 3 212
A turning point chronology for the Euro-zone 0 0 0 137 1 1 4 354
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 103 0 0 1 331
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 1 0 0 1 16
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 35 0 0 1 95
An entropy-based early warning indicator for systemic risk 0 0 0 86 0 1 5 228
Backward/forward optimal combination of performance measures for equity screening 0 1 1 31 0 1 2 154
Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index 0 0 0 45 0 1 1 150
Bayesian Dynamic Tensor Regression 0 0 1 90 1 1 7 217
Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis 0 0 0 126 1 3 3 245
Bayesian Graphical Models for Structural Vector Autoregressive Processes 0 0 0 159 0 0 1 429
Bayesian Inference on Dynamic Models with Latent Factors 0 0 0 123 0 0 1 323
Bayesian Markov Switching Tensor Regression for Time-varying Networks 1 1 2 61 1 1 6 100
Bayesian Outlier Detection for Matrix-variate Models 0 3 6 6 0 0 1 1
Bayesian nonparametric sparse VAR models 0 0 0 37 0 0 2 102
Bayesian nonparametric sparse seemingly unrelated regression model (SUR) 0 1 3 47 0 2 5 169
Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case 0 0 0 38 2 2 4 116
Buildings' energy efficiency and the probability of mortgage default: The Dutch case 0 0 0 49 1 2 3 45
Business Cycle Analysis with Multivariate Markov Switching Models 0 1 1 477 0 1 8 1,051
CDS Industrial Sector Indices, credit and liquidity risk 0 0 0 66 1 1 3 226
COVID-19 spreading in financial networks: A semiparametric matrix regression model 0 0 0 18 1 3 4 48
COVID-19 spreading in financial networks: A semiparametric matrix regression model 0 0 0 78 0 0 1 150
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone 0 0 0 28 1 1 1 78
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone 0 0 0 27 1 1 1 42
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone 0 0 0 55 0 0 0 10
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone 0 0 0 28 0 0 0 39
Combination Schemes for Turning Point Predictions 0 0 0 67 0 1 1 147
Combination schemes for turning point predictions 0 0 0 19 1 1 3 131
Combination schemes for turning point predictions 0 0 0 58 0 0 1 117
Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data 0 0 0 41 0 1 3 90
Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data 0 0 0 16 0 0 1 69
Combining predictive densities using Bayesian filtering with applications to US economic data 0 0 0 55 0 0 0 167
Combining predictive densities using Bayesian filtering with applications to US economics data 0 0 0 67 3 5 5 118
Credit scoring in SME asset-backed securities: An Italian case study 0 0 0 35 0 1 2 57
Creditworthiness and buildings' energy efficiency in the Italian mortgage market 0 0 0 11 0 0 9 34
Crises and Hedge Fund Risk 0 0 0 2 0 0 3 12
Crisis and Hedge Fund Risk 0 0 0 459 1 2 3 1,130
Cross-Sectional Analysis through Rank-based Dynamic 0 0 0 42 3 3 4 190
Cross-Sectional Analysis through Rank-based Dynamic Portfolios 0 0 0 18 0 0 0 85
Cross-Sectional Analysis through Rank-based Dynamic Portfolios 0 0 0 2 0 0 0 11
Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI 0 0 1 83 1 2 3 417
Dynamic Risk Exposure in Hedge Funds 0 0 0 290 0 0 0 900
Dynamical Interaction Between Financial and Business Cycles 0 0 0 77 2 2 6 145
Dynamical Interaction between Financial and Business Cycles 0 0 0 0 2 2 2 38
Dynamical Interaction between Financial and Business Cycles 0 0 0 0 1 1 1 18
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors 0 0 3 380 0 0 16 929
Econometric Measures of Systemic Risk in the Finance and Insurance Sectors 0 1 4 387 3 5 11 1,070
Efficient Gibbs Sampling for Markov Switching GARCH Models 0 0 0 108 0 0 3 332
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro 0 0 0 113 1 1 2 245
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area 0 0 0 0 1 1 2 6
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area 0 0 0 68 0 0 0 120
Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area 0 0 0 0 0 1 2 48
Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area 0 0 0 0 1 1 1 4
Functional Indirect Inference 0 0 2 18 0 1 3 57
Global realignment in financial market dynamics: Evidence from ETF networks 0 0 1 54 0 0 4 89
Granger-causality in Markov Switching Models 0 0 2 152 0 0 4 440
Growth-cycle phases in China�s provinces: A panel Markov-switching approach 0 0 1 97 2 2 6 217
Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix 0 0 3 69 1 1 5 146
High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization 0 0 0 0 0 0 1 7
High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization 0 0 0 13 1 2 3 7
Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods 0 0 0 114 0 0 0 374
Inside the ESG Ratings: (Dis)agreement and performance 0 1 4 229 1 4 15 842
Inside the ESG ratings: (Dis)agreement and performance 1 1 2 71 3 4 14 230
Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model 0 0 1 28 0 2 5 112
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 1 63 0 0 1 195
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 0 47 0 0 2 172
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model 0 0 0 69 0 1 6 203
Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode 0 0 0 96 0 1 2 123
Learning from experts: Energy efficiency in residential buildings 0 0 1 24 0 0 11 23
Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion 0 0 0 140 0 1 1 407
Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets 0 0 1 91 2 2 4 223
Markov Switching Panel with Endogenous Synchronization Effects 1 1 2 94 3 3 14 211
Markov Switching Panel with Network Interaction Effects 0 0 0 72 0 0 2 185
Measuring Financial Integration: Lessons from the Correlation 0 0 1 61 1 3 5 187
Modeling Systemic Risk with Markov Switching Graphical SUR Models 0 0 1 145 0 2 3 231
Modeling Turning Points In Global Equity Market 0 0 0 39 0 0 2 43
Multivariate Reflection Symmetry of Copula Functions 0 0 0 0 0 0 2 11
Multivariate Reflection Symmetry of Copula Functions 0 0 0 6 0 0 0 54
Multivariate Reflection Symmetry of Copula Functions 0 0 0 1 0 0 1 19
Networks in risk spillovers: A multivariate GARCH perspective 0 0 1 45 0 1 3 67
Networks in risk spillovers: A multivariate GARCH perspective 0 0 0 41 0 0 0 117
Networks in risk spillovers: a multivariate GARCH perspective 0 0 0 109 0 1 2 299
Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data 0 0 0 171 1 2 4 369
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 0 0 0 100 0 0 2 258
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 0 0 0 47 2 2 3 85
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 0 0 0 25 0 0 0 14
Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 0 0 1 1 21
Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 0 0 0 1 3
Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 0 0 0 0 11
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 0 0 0 0 0 0 35
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 0 0 0 1 1 2 5
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 0 0 0 0 1 1 4
Phase-Locking and Switching Volatility in Hedge Funds 0 0 0 156 3 3 6 675
Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure 0 0 0 90 0 0 3 279
Portfolio Symmetry and Momentum 0 0 0 13 1 1 1 59
Portfolio Symmetry and Momentum 0 0 0 25 0 0 1 112
Portfolio Symmetry and Momentum 0 0 0 2 0 0 1 15
Portfolio Symmetry and Momentum 0 0 0 0 0 0 0 3
Portfolio Symmetry and Momentum 0 0 0 14 0 0 10 143
Portfolio Symmetry and Momentum 0 0 0 0 0 0 1 4
Portfolio Symmetry and Momentum 0 0 0 34 0 0 1 176
Responsible Investing under Climate Change Uncertainty 1 8 42 42 3 13 49 49
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 0 0 78 0 0 0 192
Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints 0 0 0 38 0 1 1 160
Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 46 1 1 2 162
Sustainable finance: A journey toward ESG and climate risk 0 3 10 102 2 8 28 179
The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach 1 3 6 65 4 7 21 130
The Simulated Likelihood Ratio (SLR) Method 0 0 0 33 1 1 1 131
The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach 0 0 0 41 1 1 6 65
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification 0 0 0 90 0 0 3 340
The importance of compound risk in the nexus of COVID-19, climate change and finance 1 1 4 111 1 3 14 237
The univariate MT-STAR model and a new linearity and unit root test procedure 0 0 0 0 0 0 0 6
The univariate MT-STAR model and a new linearity and unit root test procedure 0 0 0 0 0 1 1 8
The univariate MT-STAR model and a new linearity and unit root test procedure 0 0 0 0 0 0 0 28
Time-varying Combinations of Predictive Densities using Nonlinear Filtering 0 0 0 79 1 3 4 148
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 39 0 0 0 90
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 19 0 1 1 12
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 13 1 1 1 53
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 21 0 0 0 59
Turning point chronology for the euro area: A distance plot approach 0 0 0 0 0 0 0 7
Turning point chronology for the euro area: A distance plot approach 0 0 0 0 0 0 2 12
Turning point chronology for the euro area: A distance plot approach 0 0 0 0 0 0 0 3
Understanding Exchange Rates Dynamics 0 0 0 11 0 0 1 59
Understanding Exchange Rates Dynamics 0 0 0 40 0 0 0 9
Understanding Exchange Rates Dynamics 0 0 0 55 0 0 1 143
Unpacking the ESG ratings: Does one size fit all? 0 0 0 4 0 1 6 17
Which market integration measure? 0 0 1 21 0 0 3 83
�Markov Switching Models for Volatility: Filtering, Approximation and Duality� 0 0 0 104 0 0 0 215
Total Working Papers 6 26 113 8,562 72 144 482 23,405


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA 0 0 0 87 0 0 3 243
A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation 0 0 1 79 0 1 7 195
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation 0 0 0 10 2 2 3 79
A meta-measure of performance related to both investors and investments characteristics 0 0 0 3 0 1 3 12
An entropy-based early warning indicator for systemic risk 0 0 2 30 1 3 10 138
Backward/forward optimal combination of performance measures for equity screening 0 0 0 5 0 0 0 50
Bayesian Dynamic Tensor Regression 0 0 0 3 1 1 5 17
Bayesian Graphical Models for STructural Vector Autoregressive Processes 0 0 0 23 2 6 6 114
Bayesian Markov-Switching Tensor Regression for Time-Varying Networks 0 1 2 2 1 2 8 9
Bayesian estimation of switching ARMA models 0 0 0 239 0 3 7 548
Bayesian nonparametric sparse VAR models 0 0 1 22 0 0 7 92
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis 0 1 2 86 0 2 6 205
Bond supply expectations and the term structure of interest rates 0 0 1 1 0 1 9 9
Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case 0 0 0 4 2 3 9 25
Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area 0 0 0 5 0 0 0 26
COVID-19 spreading in financial networks: A semiparametric matrix regression model 0 0 0 0 0 0 2 5
Combination schemes for turning point predictions 0 0 0 26 0 0 2 106
Combining forecasts: some results on exchange and interest rates 0 1 2 139 0 1 4 427
Complexity and the default risk of mortgage-backed securities 0 0 0 2 0 0 2 13
Contagion and interdependence in stock markets: Have they been misdiagnosed? 0 0 1 235 1 1 4 535
Correction to: A meta-measure of performance related to both investors and investments characteristics 0 0 0 0 1 1 1 2
Corrigendum to “Complexity and the default risk of mortgage-backed securities” [Journal of Banking and Finance 155 (2023) 106993] 1 1 2 2 2 3 6 8
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study 0 0 0 15 0 0 1 96
Dating EU15 monthly business cycle jointly using GDP and IPI 0 0 0 37 2 2 2 186
Dynamic risk exposures in hedge funds 0 1 3 41 0 1 5 131
Econometric measures of connectedness and systemic risk in the finance and insurance sectors 3 6 32 663 16 33 122 2,063
Efficient Gibbs sampling for Markov switching GARCH models 0 0 0 10 0 1 2 43
Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area 0 0 0 26 0 1 1 89
Granger-causality in Markov switching models 0 0 1 25 0 0 5 98
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area 0 0 0 48 1 1 3 172
Inside the ESG ratings: (Dis)agreement and performance 1 1 4 40 3 8 28 143
Interconnectedness and systemic risk: hedge funds, banks, insurance companies 0 1 1 82 0 1 3 174
Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model 0 0 0 16 0 2 4 61
Kernel-Based Indirect Inference 0 0 0 0 0 0 1 379
Learning from experts: Energy efficiency in residential buildings 0 0 1 1 0 1 7 8
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion 0 0 0 75 0 0 1 264
Markov switching GARCH models for Bayesian hedging on energy futures markets 0 0 0 21 0 1 4 86
Markov switching panel with endogenous synchronization effects 0 0 2 10 1 2 9 31
Modeling Turning Points in the Global Equity Market 0 0 1 2 3 4 8 11
Modeling systemic risk with Markov Switching Graphical SUR models 0 0 3 47 0 3 10 168
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis 0 0 2 7 1 2 5 49
Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case 0 0 0 0 0 0 1 4
Networks in risk spillovers: A multivariate GARCH perspective 0 0 1 3 1 2 4 9
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 0 1 17 0 0 1 79
On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected) 0 0 0 0 0 0 1 2
On the role of domestic and international financial cyclical factors in driving economic growth 0 0 0 5 1 4 5 17
Opinion Dynamics and Disagreements on Financial Networks 0 0 1 31 0 0 2 112
Portfolio symmetry and momentum 0 0 0 15 1 3 3 90
Rising tides, rising funds: Floods and climate mitigation campaigns in equity crowdfunding 0 0 0 0 0 1 1 1
Sparse Graphical Vector Autoregression: A Bayesian Approach 0 0 1 14 1 2 5 83
Stochastic optimization for allocation problems with shortfall risk constraints 0 0 0 1 0 2 3 8
Sustainable Finance: A Journey Toward ESG and Climate Risk 0 1 1 1 1 4 4 4
Sustainable and Climate Finance: An Integrative Framework from Corporates to Markets and Society 0 0 0 0 0 0 0 0
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification 0 0 0 2 1 1 4 12
The systemic risk of leveraged and covenant-lite loan syndications 0 0 2 2 0 1 9 9
The univariate MT-STAR model and a new linearity and unit root test procedure 0 0 0 9 0 0 2 68
Time-varying combinations of predictive densities using nonlinear filtering 0 0 0 52 2 8 13 218
Turning point chronology for the euro area: A distance plot approach 0 0 0 14 0 0 1 70
Value-at-Risk: a multivariate switching regime approach 0 0 0 387 0 0 5 932
Volatility and shocks spillover before and after EMU in European stock markets 0 0 1 157 1 2 6 443
Which market integration measure? 0 0 1 51 1 1 4 192
Total Journal Articles 5 14 73 2,930 50 125 399 9,463
1 registered items for which data could not be found


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors 0 0 0 0 1 3 14 196
Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 0 0 0 0 0 11
Understanding Economic Instability during the Pandemic: A Factor Model Approach 0 0 0 2 0 2 3 7
Total Chapters 0 0 0 2 1 5 17 214
1 registered items for which data could not be found


Statistics updated 2025-09-05