19
H index
31
i10 index
2197
Citations
Università Ca' Foscari Venezia | 19 H index 31 i10 index 2197 Citations RESEARCH PRODUCTION: 45 Articles 139 Papers 3 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Monica Billio. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 5 |
Computational Statistics & Data Analysis | 4 |
Journal of Applied Econometrics | 2 |
The North American Journal of Economics and Finance | 2 |
Year | Title of citing document | |
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2021 | Dating business cycles in France: A reference chronology. (2021). DIEBOLT, Claude ; Pionnier, Pierre-Alain ; Mignon, Valrie ; Heyer, Eric ; Ferrara, Laurent ; Doz, Catherine ; BEC, Frdrique ; Aviat, Antonin. In: Working Papers. RePEc:afc:wpaper:08-21. Full description at Econpapers || Download paper | |
2021 | Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066. Full description at Econpapers || Download paper | |
2021 | Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079. Full description at Econpapers || Download paper | |
2021 | Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. (2021). Polat, Onur. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:47-59. Full description at Econpapers || Download paper | |
2022 | Network Structure and Fragmentation of the Argentinean Interbank Markets. (2022). Montes-Rojas, Gabriel ; Forte, Federico ; Elosegui, Pedro. In: Working Papers. RePEc:aoz:wpaper:129. Full description at Econpapers || Download paper | |
2021 | Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662. Full description at Econpapers || Download paper | |
2021 | Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420. Full description at Econpapers || Download paper | |
2021 | Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160. Full description at Econpapers || Download paper | |
2021 | Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333. Full description at Econpapers || Download paper | |
2021 | Modeling asset allocation strategies and a new portfolio performance score. (2020). Emiris, Ioannis Z ; Chalkis, Apostolos. In: Papers. RePEc:arx:papers:2012.05088. Full description at Econpapers || Download paper | |
2022 | On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates. (2021). Shin, Minchul ; Diebold, Francis X ; Zhang, Boyuan. In: Papers. RePEc:arx:papers:2012.11649. Full description at Econpapers || Download paper | |
2021 | Optimal Hedging with Margin Constraints and Default Aversion and its Application to Bitcoin Perpetual Futures. (2021). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: Papers. RePEc:arx:papers:2101.01261. Full description at Econpapers || Download paper | |
2021 | Diagnosis of systemic risk and contagion across financial sectors. (2021). Zhu, Richard Licheng ; Choudhari, Sayuj. In: Papers. RePEc:arx:papers:2101.06585. Full description at Econpapers || Download paper | |
2022 | Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783. Full description at Econpapers || Download paper | |
2021 | The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623. Full description at Econpapers || Download paper | |
2021 | Modeling of crisis periods in stock markets. (2021). Emiris, Ioannis Z ; Dalamagkas, Theodore ; Christoforou, Emmanouil ; Chalkis, Apostolos. In: Papers. RePEc:arx:papers:2103.13294. Full description at Econpapers || Download paper | |
2022 | Loss-Based Variational Bayes Prediction. (2021). Frazier, David T ; Koo, Bonsoo ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:2104.14054. Full description at Econpapers || Download paper | |
2021 | An Information Filtering approach to stress testing: an application to FTSE markets. (2021). Aste, Tomaso ; Caccioli, Fabio ; Seabrook, Isobel. In: Papers. RePEc:arx:papers:2106.08778. Full description at Econpapers || Download paper | |
2022 | ESGM: ESG scores and the Missing pillar. (2021). Czado, Claudia ; Paterlini, Sandra ; Bax, Karoline ; Sahin, Ozge. In: Papers. RePEc:arx:papers:2106.15466. Full description at Econpapers || Download paper | |
2021 | Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552. Full description at Econpapers || Download paper | |
2021 | The Evolving Causal Structure of Equity Risk Factors. (2021). BONCHI, FRANCESCO ; Bajardi, Paolo ; D'Acunto, Gabriele ; de Francisci, Gianmarco. In: Papers. RePEc:arx:papers:2111.05072. Full description at Econpapers || Download paper | |
2021 | Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: Papers. RePEc:arx:papers:2112.06544. Full description at Econpapers || Download paper | |
2021 | Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031. Full description at Econpapers || Download paper | |
2022 | The Time-Varying Multivariate Autoregressive Index Model. (2022). Cubadda, Gianluca ; Guardabascio, B ; Grassi, S. In: Papers. RePEc:arx:papers:2201.07069. Full description at Econpapers || Download paper | |
2022 | Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197. Full description at Econpapers || Download paper | |
2022 | Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. (2022). Roncalli, Thierry ; Kostyuchyk, Nazar ; Bruder, Benjamin. In: Papers. RePEc:arx:papers:2202.10721. Full description at Econpapers || Download paper | |
2022 | Network structure and fragmentation of the Argentinean interbank markets. (2022). Montes-Rojas, Gabriel ; Elosegui, Pedro ; Forte, Federico. In: Papers. RePEc:arx:papers:2203.14488. Full description at Econpapers || Download paper | |
2022 | ESG-Valued Portfolio Optimization and Dynamic Asset Pricing. (2022). Rachev, Svetlozar T ; Mittnik, Stefan ; Lindquist, Brent W ; Lauria, Davide. In: Papers. RePEc:arx:papers:2206.02854. Full description at Econpapers || Download paper | |
2022 | Exploring Financial Networks Using Quantile Regression and Granger Causality. (2022). Basu, Sumanta ; Mukherjee, Diganta ; Lahiry, Samriddha ; Karpman, Kara. In: Papers. RePEc:arx:papers:2207.10705. Full description at Econpapers || Download paper | |
2022 | Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925. Full description at Econpapers || Download paper | |
2022 | Learning Financial Networks with High-frequency Trade Data. (2022). Easley, David ; Basu, Sumanta ; Karpman, Kara. In: Papers. RePEc:arx:papers:2208.03568. Full description at Econpapers || Download paper | |
2022 | SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis. (2022). Cucuringu, Mihai ; Miori, Deborah. In: Papers. RePEc:arx:papers:2209.08825. Full description at Econpapers || Download paper | |
2022 | A Dynamic Stochastic Block Model for Multi-Layer Networks. (2022). Casarin, Roberto ; L'Opez, Ovielt Baltodano. In: Papers. RePEc:arx:papers:2209.09354. Full description at Econpapers || Download paper | |
2022 | Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605. Full description at Econpapers || Download paper | |
2022 | A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper | |
2022 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper | |
2021 | Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154. Full description at Econpapers || Download paper | |
2021 | Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154. Full description at Econpapers || Download paper | |
2022 | Nowcasting Canadian GDP with Density Combinations. (2022). Chernis, Tony ; Webley, Taylor. In: Discussion Papers. RePEc:bca:bocadp:22-12. Full description at Econpapers || Download paper | |
2022 | Asymmetric Systemic Risk. (2022). Silva Buston, Consuelo ; Raykov, Radoslav ; Silva-Buston, Consuelo. In: Staff Working Papers. RePEc:bca:bocawp:22-19. Full description at Econpapers || Download paper | |
2022 | Issuing bonds during the Covid-19 pandemic: is there an ESG premium?. (2022). Ferriani, Fabrizio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1392_22. Full description at Econpapers || Download paper | |
2022 | Deconstructing ESG scores: how to invest with your own criteria. (2022). Jondeau, Eric ; Jegarasasingam, Anandakumar ; Elsenhuber, Ulrike ; Ehlers, Torsten. In: BIS Working Papers. RePEc:bis:biswps:1008. Full description at Econpapers || Download paper | |
2021 | Can “Concerted” Macroprudential Policies Mitigate Cross?border Contagion of Financial Risks? Evidence from China and Its Financially Connected Economies. (2021). Chen, Xiaoli ; Liu, Xiaoyu. In: China & World Economy. RePEc:bla:chinae:v:29:y:2021:i:3:p:26-54. Full description at Econpapers || Download paper | |
2021 | Measuring Systemic Risk: Capital Shortfall and CSRISK. (2021). Lee, Joeming ; Hsu, Yuanteng ; Wang, Jyingnan ; Chen, Chihchun. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:358-369. Full description at Econpapers || Download paper | |
2021 | Fire?Sale Spillovers in Debt Markets. (2021). Hortasu, Ali ; Falato, Antonio ; Shin, Chae Hee ; Li, Dan. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3055-3102. Full description at Econpapers || Download paper | |
2022 | The rising interconnectedness of the insurance sector. (2022). Jourde, Tristan. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:2:p:397-425. Full description at Econpapers || Download paper | |
2021 | Modelling of Economic and Financial Conditions for Real?Time Prediction of Recessions. (2021). Çakmaklı, Cem ; Altug, Sumru ; Ircani, Hamza Dem. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:663-685. Full description at Econpapers || Download paper | |
2021 | Financial Network and Systemic Risk—A Dynamic Model. (2021). Yao, David D ; Wang, Tan ; Chen, Hong. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:8:p:2441-2466. Full description at Econpapers || Download paper | |
2021 | Bayesian State?Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy. (2021). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:4:p:1261-1291. Full description at Econpapers || Download paper | |
2021 | Consumption smoothing, risk sharing and financial integration. (2021). Gufler, Ivan ; Donadelli, Michael. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:1:p:143-187. Full description at Econpapers || Download paper | |
2021 | Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Cross, Jamie L ; Aastveit, Knut Are ; van Dijk, Herman K. In: Working Paper. RePEc:bno:worpap:2021_3. Full description at Econpapers || Download paper | |
2021 | Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Djik, Herman K ; Cross, Jamie ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0099. Full description at Econpapers || Download paper | |
2021 | On the origin of systemic risk. (2021). Covi, Giovanni ; Montagna, Mattia ; Torri, Gabriele. In: Bank of England working papers. RePEc:boe:boeewp:0906. Full description at Econpapers || Download paper | |
2021 | How do volatility regimes affect the pricing of quality and liquidity in the stock market?. (2021). Hübner, Georges ; Tarik, Bazgour ; Danielle, Sougne ; Georges, Hubner ; Cedric, Heuchenne. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:17:n:3. Full description at Econpapers || Download paper | |
2021 | Stochastic model specification in Markov switching vector error correction models. (2021). Huber, Florian ; Niko, Hauzenberger ; Thomas, Zorner ; Michael, Pfarrhofer ; Florian, Huber. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:17:n:7. Full description at Econpapers || Download paper | |
2022 | Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach. (2022). Bougheas, Spiros ; Spencer, Adam Hal. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10111. Full description at Econpapers || Download paper | |
2021 | Capital Flows at Risk: Taming the Ebbs and Flows. (2021). Sgherri, Silvia ; Sahay, Ratna ; Gornicka, Lucyna ; Gelos, R. Gaston ; Koepke, Robin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15842. Full description at Econpapers || Download paper | |
2021 | Dating business cycles in France: A reference chronology. (2021). Mignon, Valérie ; Ferrara, Laurent ; DIEBOLT, Claude ; Bec, Frédérique ; Pionnier, Pierre-Alain ; Heyer, Eric ; Ferrand, Denis ; Doz, Catherine ; Aviat, Antonin. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-23. Full description at Econpapers || Download paper | |
2021 | Return spillovers between green energy indexes and financial markets: a first sectoral approach. (2021). Nobletz, Capucine. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-24. Full description at Econpapers || Download paper | |
2021 | Combining Bayesian VARs with survey density forecasts: does it pay off?. (2021). Ravazzolo, Francesco ; Paredes, Joan ; Brenna, Federica ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20212543. Full description at Econpapers || Download paper | |
2022 | Temporal networks in the analysis of financial contagion. (2022). Vouldis, Angelos ; Nocciola, Luca ; Franch, Fabio. In: Working Paper Series. RePEc:ecb:ecbwps:20222667. Full description at Econpapers || Download paper | |
2022 | Non-banks contagion and the uneven mitigation of climate risk. (2022). Sydow, Matthias ; Gourdel, Regis. In: Working Paper Series. RePEc:ecb:ecbwps:20222757. Full description at Econpapers || Download paper | |
2022 | Volatility Spillover between Stock Returns and Oil Prices during the Covid-19 Pandemic in ASEAN. (2022). , Supriyanto ; Alexandri, Mohammad Benny. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-01-16. Full description at Econpapers || Download paper | |
2022 | High Frequency Return and Risk Patterns in U.S. Sector ETFs during COVID-19. (2022). Alshareif, Elgilani E ; Kamalov, Firuz ; Gurrib, Ikhlaas. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-05-50. Full description at Econpapers || Download paper | |
2022 | Are Indian Subcontinent remittance markets connected to each other?. (2022). Genc, Ismail H. In: Journal of Asian Economics. RePEc:eee:asieco:v:80:y:2022:i:c:s1049007822000355. Full description at Econpapers || Download paper | |
2021 | Banks’ loan charge-offs and macro-level risk. (2021). Guo, Mengyang ; Song, Victor ; Jin, Justin Y. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001179. Full description at Econpapers || Download paper | |
2021 | Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach. (2021). Sutcliffe, Charles ; Stafylas, Dimitrios ; Platanakis, Emmanouil ; Newton, David ; Ye, Xiaoxia. In: The British Accounting Review. RePEc:eee:bracre:v:53:y:2021:i:5:s0890838921000263. Full description at Econpapers || Download paper | |
2022 | A multilayer approach for systemic risk in the insurance sector. (2022). Cornaro, Alessandra ; Clemente, Gian Paolo. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006087. Full description at Econpapers || Download paper | |
2022 | Non-financial corporations and systemic risk. (2022). Wosser, Michael ; O'Connor, Thomas ; Flavin, Thomas ; Dungey, Mardi. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002510. Full description at Econpapers || Download paper | |
2021 | Estimation of high dimensional factor model with multiple threshold-type regime shifts. (2021). Wu, Jianhong. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:157:y:2021:i:c:s0167947320302449. Full description at Econpapers || Download paper | |
2022 | Variational Bayesian inference for network autoregression models. (2022). Koch, Thorsten ; Chen, Ying ; Lai, Wei-Ting. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947321002401. Full description at Econpapers || Download paper | |
2021 | Network tail risk estimation in the European banking system. (2021). Tich, Toma ; Giacometti, Rosella ; Torri, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000609. Full description at Econpapers || Download paper | |
2022 | COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets. (2022). Kang, Sanghoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:74:y:2022:i:c:p:702-715. Full description at Econpapers || Download paper | |
2021 | An analysis of impact of cancellation activity on market quality: Evidence from China. (2021). Zhang, Xiaotao ; Chu, Gang. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001498. Full description at Econpapers || Download paper | |
2021 | Effect of trade and economic policy uncertainties on regional systemic risk: Evidence from ASEAN. (2021). Dogah, Kingsley. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002145. Full description at Econpapers || Download paper | |
2022 | Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach. (2022). Milacic, Veselin ; Milosevic, Igor ; Jolicic, Ivan ; Radulovic, Mladen ; Mihailovic, Andrej ; Bracanovic, Andrej ; Muhadinovic, Milica ; Bojaj, Martin M. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000384. Full description at Econpapers || Download paper | |
2022 | The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds sectors. (2022). Peng, Cheng ; Wang, Gangjin ; Su, Xiaojian ; Deng, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001419. Full description at Econpapers || Download paper | |
2021 | The joint spillover index. (2021). Wiesen, Thomas ; Lastrapes, William ; Thomas, . In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:681-691. Full description at Econpapers || Download paper | |
2021 | Default clustering of the nonfinancial sector and systemic risk: Evidence from China. (2021). Shen, Jie ; Hou, Siyuan ; Wang, Xiaoting. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:196-208. Full description at Econpapers || Download paper | |
2021 | Network VAR models to measure financial contagion. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Hashem, Shatha Qamhieh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302059. Full description at Econpapers || Download paper | |
2021 | Analysis of the cross-region risk contagion effect in stock market based on volatility spillover networks: Evidence from China. (2021). Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302400. Full description at Econpapers || Download paper | |
2021 | Systemic financial risk early warning of financial market in China using Attention-LSTM model. (2021). Lai, Yongzeng ; Yang, Xi-Te ; Ouyang, Zi-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s106294082100019x. Full description at Econpapers || Download paper | |
2021 | Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?. (2021). Lin, Ling ; Ou, Yangchen ; Jiang, Yong ; Zhou, Zhongbao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000334. Full description at Econpapers || Download paper | |
2021 | Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak. (2021). Al-Fayoumi, Nedal ; Abuzayed, Bana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000978. Full description at Econpapers || Download paper | |
2021 | Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market. (2021). Jiang, Cuixia ; Li, Mengting ; Xu, Qifa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001224. Full description at Econpapers || Download paper | |
2021 | The COVID-19 Pandemic and Sovereign Bond Risk. (2021). Andrieș, Alin Marius ; Sprincean, Nicu ; Ongena, Steven. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001431. Full description at Econpapers || Download paper | |
2021 | Measuring real–financial connectedness in the U.S. economy. (2021). Yilmaz, Kamil ; Uluceviz, Erhan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001637. Full description at Econpapers || Download paper | |
2022 | Contagion effect of systemic risk among industry sectors in China’s stock market. (2022). Zhao, Tianyu ; Yan, Haoyang ; Xu, Qiuhua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001819. Full description at Econpapers || Download paper | |
2022 | Return and volatility spillovers across the Western and MENA countries. (2022). Mohammadi, Hassan ; Habibi, Hamidreza. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000031. Full description at Econpapers || Download paper | |
2022 | Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions. (2022). Xie, Chi ; Feng, Yusen ; Wang, Gang-Jin ; Qian, Biyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000055. Full description at Econpapers || Download paper | |
2022 | The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432. Full description at Econpapers || Download paper | |
2022 | The varying spillover of U.S. systemic risk: A functional-coefficient cointegration approach. (2022). Tu, Yundong ; Li, LI. In: Economics Letters. RePEc:eee:ecolet:v:212:y:2022:i:c:s0165176522000192. Full description at Econpapers || Download paper | |
2021 | Time-varying general dynamic factor models and the measurement of financial connectedness. (2021). Soccorsi, Stefano ; von Sachs, Rainer ; Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:324-343. Full description at Econpapers || Download paper | |
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2007 | Stochastic optimization for allocation problems with shortfall risk constraints.(2007) In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
2006 | Phase-Locking and Switching Volatility in Hedge Funds In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2007 | Business Cycle Analysis with Multivariate Markov Switching Models In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2007 | A turning point chronology for the Euro-zone In: Working Papers. [Full Text][Citation analysis] | paper | 24 |
2007 | Bayesian Inference on Dynamic Models with Latent Factors In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2008 | Crisis and Hedge Fund Risk In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
.() In: . [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | ||
2008 | Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Bayesian Graphical Models for Structural Vector Autoregressive Processes In: Working Papers. [Full Text][Citation analysis] | paper | 84 |
2016 | Bayesian Graphical Models for STructural Vector Autoregressive Processes.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | article | |
2012 | CDS Industrial Sector Indices, credit and liquidity risk In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2013 | �Markov Switching Models for Volatility: Filtering, Approximation and Duality� In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Growth-cycle phases in China�s provinces: A panel Markov-switching approach In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Sparse Graphical Vector Autoregression: A Bayesian Approach In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2015 | Measuring Financial Integration: Lessons from the Correlation In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2016 | Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Networks in risk spillovers: a multivariate GARCH perspective In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
2020 | Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2018 | Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2016 | Bayesian nonparametric sparse seemingly unrelated regression model (SUR) In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Bayesian Dynamic Tensor Regression In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Bayesian Markov Switching Tensor Regression for Time-varying Networks In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | The importance of compound risk in the nexus of COVID-19, climate change and finance In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Inside the ESG Ratings: (Dis)agreement and performance In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
2021 | Inside the ESG ratings: (Dis)agreement and performance.(2021) In: Corporate Social Responsibility and Environmental Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2020 | Inside the ESG ratings: (Dis)agreement and performance.(2020) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2021 | Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
2017 | The impact of network connectivity on factor exposures, asset pricing and portfolio diversification In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
2021 | Global realignment in financial market dynamics: Evidence from ETF networks In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2022 | Sustainable finance: A journey toward ESG and climate risk In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2022 | Creditworthiness and buildings energy efficiency in the Italian mortgage market In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
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