Monica Billio : Citation Profile


Are you Monica Billio?

Università Ca' Foscari Venezia

15

H index

25

i10 index

1537

Citations

RESEARCH PRODUCTION:

40

Articles

135

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1998 - 2021). See details.
   Cites by year: 66
   Journals where Monica Billio has often published
   Relations with other researchers
   Recent citing documents: 184.    Total self citations: 84 (5.18 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbi55
   Updated: 2021-02-20    RAS profile: 2021-01-25    
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Relations with other researchers


Works with:

Casarin, Roberto (14)

Pelizzon, Loriana (12)

Gatfaoui, Hayette (4)

Caporin, Massimiliano (4)

Rossini, Luca (3)

Petronevich, Anna (3)

Paradiso, Antonio (3)

Donadelli, Michael (2)

Bianchi, Daniele (2)

Ravazzolo, Francesco (2)

Ahelegbey, Daniel Felix (2)

Guidolin, Massimo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Monica Billio.

Is cited by:

Caporin, Massimiliano (71)

McAleer, Michael (53)

Giudici, Paolo (42)

Casarin, Roberto (39)

Ahelegbey, Daniel Felix (33)

Ravazzolo, Francesco (30)

Ferrara, Laurent (21)

Addo, Peter Martey (21)

van Dijk, Herman (17)

Sartore, Domenico (15)

Aastveit, Knut Are (15)

Cites to:

Casarin, Roberto (54)

Hamilton, James (39)

Diebold, Francis (32)

Ravazzolo, Francesco (30)

van Dijk, Herman (24)

Pelizzon, Loriana (23)

Engle, Robert (21)

Harding, Don (20)

pagan, adrian (20)

Bekaert, Geert (19)

Koop, Gary (17)

Main data


Where Monica Billio has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis4
Journal of Econometrics4
Journal of Applied Econometrics2
The North American Journal of Economics and Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Department of Economics, University of Venice "Ca' Foscari"39
Post-Print / HAL23
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL21
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne16
Tinbergen Institute Discussion Papers / Tinbergen Institute7
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE6
PSE-Ecole d'conomie de Paris (Postprint) / HAL6
Papers / arXiv.org3
Working Papers / University of Brescia, Department of Economics3
Working Papers / Center for Research in Economics and Statistics2
Working Papers / Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School2

Recent works citing Monica Billio (2021 and 2020)


YearTitle of citing document
2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103.

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2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:66-103.

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2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025.

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2020A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe . In: Papers. RePEc:arx:papers:1703.00485.

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2020Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

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2020Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022.

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2020Systemic risk assessment through high order clustering coefficient. (2018). Cerqueti, Roy ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1810.13250.

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2020Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662.

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2020Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Tail 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.

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2020Neural Networks and Value at Risk. (2020). Weisheit, Stefan ; Klawunn, Michael ; Hoepner, Andreas ; Borth, Damian ; Arimond, Alexander. In: Papers. RePEc:arx:papers:2005.01686.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

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2020CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764.

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2020Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation. (2020). Kim, Young Shin ; Peng, Cheng. In: Papers. RePEc:arx:papers:2009.11367.

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2021Optimal 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.

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2021Diagnosis of systemic risk and contagion across financial sectors. (2021). Zhu, Richard Licheng ; Choudhari, Sayuj. In: Papers. RePEc:arx:papers:2101.06585.

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2020On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity. (2020). Hipp, Ruben. In: Staff Working Papers. RePEc:bca:bocawp:20-42.

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2020Economic crisis and determinants of solvency in the insurance sector: new evidence from Spain. (2020). Trujilloponce, Antonio ; Parradomartinez, Purificacion ; Moreno, Ignacio . In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2965-2994.

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2020Shocks to food market systems: A network approach. (2020). Kshirsagar, Varun ; Baffes, John. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:1:p:111-129.

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2020Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100.

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2020The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579.

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2020The Reinsurance Network Among U.S. Property–Casualty Insurers: Microstructure, Insolvency Risk, and Contagion. (2020). Weiss, Mary A ; Sun, Tao ; Cummins, David J ; Chen, Hua. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:253-284.

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2020Tail Risk Networks of Insurers Around the Globe: An Empirical Examination of Systemic Risk for G‐SIIs vs Non‐G‐SIIs. (2020). Sun, Tao ; Chen, Hua. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:285-318.

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2020Correlated Trading by Life Insurers and Its Impact on Bond Prices. (2020). Niehaus, Greg ; Chiang, Chiachun. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:3:p:597-625.

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2020Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach. (2020). Chen, Zhenxi. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:2:p:262-281.

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2020Network-Based Measures of Systemic Risk in Korea. (2020). Lee, Jieun ; Choi, Jaewon. In: Working Papers. RePEc:bok:wpaper:2008.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2020Embedding Finance in the Macroeconomics of Climate Change: Research Challenges and Opportunities Ahead. (2020). Monasterolo, Irene. In: CESifo Forum. RePEc:ces:ifofor:v:21:y:2020:i:04:p:25-32.

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2020Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874.

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2020High Dimensional Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:886.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2020Density forecast combinations: the real-time dimension. (2020). Warne, Anders ; McAdam, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202378.

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2020Fire sales by euro area banks and funds: what is their asset price impact?. (2020). Palligkinis, Spyros ; Pancaro, Cosimo ; Moccero, Diego ; Mirza, Harun. In: Working Paper Series. RePEc:ecb:ecbwps:20202491.

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2020Nowcasting business cycle turning points with stock networks and machine learning. (2020). Hirschbühl, Dominik ; Azqueta-Gavaldon, Andres ; Saiz, Lorena ; Onorante, Luca ; Hirschbuhl, Dominik. In: Working Paper Series. RePEc:ecb:ecbwps:20202494.

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2020Business connectedness or market risk? Evidence from financial institutions in China. (2020). Li, Zheng ; Lu, Yanchen ; Liang, QI. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x20301000.

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2020Can systemic risk measures predict economic shocks? Evidence from China. (2020). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: China Economic Review. RePEc:eee:chieco:v:64:y:2020:i:c:s1043951x20301541.

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2020Does operating risk affect portfolio risk? Evidence from insurers securities holding. (2020). Yu, Tong ; Yao, Tong ; Sun, Zhenzhen ; Chen, Xuanjuan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300237.

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2020The time-varying diversifiability of corporate foreign exchange exposure. (2020). Krapl, Alain A. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119918300038.

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2020Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method. (2020). Spezia, Luigi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:143:y:2020:i:c:s0167947319301951.

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2020Structural learning of contemporaneous dependencies in graphical VAR models. (2020). Consonni, Guido ; Paci, Lucia. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s016794731930235x.

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2020Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901.

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2020Tree networks to assess financial contagion. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Agosto, Arianna. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:349-366.

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2020Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Pochea, Maria Miruna ; Nioi, Mihai. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147.

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2020Firm-specific information and systemic risk. (2020). Clements, Adam ; Liao, Y. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:480-493.

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2020The macroeconomic drivers in hedge fund beta management. (2020). Platania, Federico ; Lambert, Marie. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:65-80.

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2020Monetary policy and systemic risk-taking in the euro area banking sector. (2020). Kabundi, Alain ; de Simone, Francisco Nadal . In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:736-758.

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2020Systemic risk: The coordination of macroprudential and monetary policies in China. (2020). Weng, Yin-Che ; Liu, Bai ; Pan, Mengmeng ; Zhang, Ailian. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:415-429.

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2020Fire sales by euro area banks and funds: What is their asset price impact?. (2020). Palligkinis, Spyros ; Pancaro, Cosimo ; Moccero, Diego ; Mirza, Harun. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:430-444.

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2021The joint spillover index. (2021). Wiesen, Thomas ; Lastrapes, William ; Thomas, . In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:681-691.

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2020Spatial spillover effects and risk contagion around G20 stock markets based on volatility network. (2020). Lu, Yang ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302815.

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2020Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach. (2020). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301986.

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2020Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). Rodríguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607.

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2020Does bank capitalization matter for bank stock returns?. (2020). Scholtens, Bert ; Huang, Qiubin ; de Haan, Jakob. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300681.

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2020Analysis of the impact of Sino-US trade friction on China’s stock market based on complex networks. (2020). Zhang, Weiping ; Wang, Jian ; Zhuang, Xintian ; Li, Yanshuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300826.

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2020Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness. (2020). Jang, Hyun Jin ; Choi, So Eun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302973.

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2020Bank systemic risk and CEO overconfidence. (2020). Zhao, Yang ; Lin, James Juichia ; Lee, Jin-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294081830487x.

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2020Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. (2020). Singh, Anuradha ; Powell, Robert ; Yong, J ; Do, A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819301342.

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2020Spillovers and diversification potential of bank equity returns from developed and emerging America. (2020). Yoon, Seong-Min ; Hussain, Syed Jawad ; Kang, Sang Hoon ; Hernandez, Jose Arreola. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301169.

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2020Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network. (2020). Lu, Yang ; Wang, Jian ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301455.

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2020Forecasting risk in the US Dollar exchange rate under volatility shifts. (2020). Malik, Farooq ; Anjum, Hassan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301546.

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2020Nonparametric assessment of hedge fund performance. (2020). Garcia, René ; Ardison, Kym ; Almeida, Caio. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:349-378.

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2020Dynamic conditional angular correlation. (2020). Chan, Kung-Sik ; Jarjour, Riad. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:137-150.

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2020Nonlinearities and regimes in conditional correlations with different dynamics. (2020). Bauwens, Luc ; Otranto, Edoardo. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:496-522.

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2020The market rank indicator to detect financial distress. (2020). Uberti, Pierpaolo ; Maggi, Mario ; Figini, Silvia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:63-73.

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2020Does risk aversion affect bank output loss? The case of the Eurozone. (2020). mamatzakis, emmanuel ; Ongena, Steven ; Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1127-1145.

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2021Addressing systemic risk using contingent convertible debt – A network analysis. (2021). Lu, Yueliang ; Wang, Runzu ; Gupta, Aparna. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:263-277.

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2020Dynamic interdependence of ASEAN5 with G5 stock markets. (2020). Liow, Kim ; Song, Jeongseop. In: Emerging Markets Review. RePEc:eee:ememar:v:45:y:2020:i:c:s1566014120300042.

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2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

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2020The beauty contest between systemic and systematic risk measures: Assessing the empirical performance. (2020). Roggi, Oliviero ; Menchetti, Fiammetta ; Giannozzi, Alessandro ; Cipollini, Fabrizio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:316-332.

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2020Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective. (2020). Liu, Jiahao ; Lin, Renda ; Zhu, BO. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301018.

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2020Oil shocks and financial systemic stress: International evidence. (2020). Qin, Xiao. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302851.

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2020Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction. (2020). Galeano, Pedro ; Ausin, Concepcion M ; Virbickait, Audron. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303017.

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2020A dynamic network analysis of spot electricity prices in the Australian national electricity market. (2020). Truck, Stefan ; Yan, Guan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303121.

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2020Hedge fund strategies: A non-parametric analysis. (2020). Canepa, Alessandra ; Skinner, Frank S ; De, Maria. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919301802.

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2020Stock market integration in East and Southeast Asia: The role of global factors. (2020). Wu, Fei. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919304016.

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2020Global financial crisis and rising connectedness in the international commodity markets. (2020). Zhang, Dayong ; Broadstock, David C. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918304587.

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2020Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework. (2020). Zhuang, Xintian ; Zhang, Weiping ; Wang, Jian ; Lu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521919305381.

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2020Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S.. (2020). Li, Jingyu ; Casu, Barbara ; Yao, Yinhong ; Zhu, Xiaoqian. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301885.

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2020Do measures of systemic risk predict U.S. corporate bond default rates?. (2020). Kanas, Angelos ; Molyneux, Philip. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301976.

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2020Network structures and idiosyncratic contagion in the European sovereign credit default swap market. (2020). Yang, Lu ; Chen, Wang ; Ho, Kung-Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302386.

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2020Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis. (2020). Vo, Xuan Vinh ; Bouri, Elie ; Saeed, Tareq ; Lucey, Brian. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302489.

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2020Financial network linkages to predict economic output. (2020). Wang, Dan ; Huang, Wei-qiang . In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301746.

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2020Macroprudential policy and bank systemic risk. (2020). Vander Vennet, Rudi ; Meuleman, Elien. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300024.

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2020Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis. (2020). de Simone, Francisco Nadal ; Jin, Xisong. In: Journal of Financial Stability. RePEc:eee:finsta:v:49:y:2020:i:c:s1572308920300486.

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2020Assessing the contribution of China’s financial sectors to systemic risk. (2020). Vioto, Davide ; Morelli, David. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300760.

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2020The contribution of shadow insurance to systemic risk. (2020). Urga, Giovanni ; Pellegrini, Carlo Bellavite ; Leong, Soon Heng. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920300772.

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2020The more the Merrier? The reaction of euro area stock markets to new members. (2020). Hartwell, Christopher ; Celov, Dmitrij ; Grigaliuniene, Zana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:66:y:2020:i:c:s1042443120300792.

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2020Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model. (2020). Wolters, Maik ; Reif, Magnus ; Heinrich, Markus ; Carstensen, Kai. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:829-850.

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2020Forecasting global equity market volatilities. (2020). Liao, Yin ; Ma, Feng ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1454-1475.

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2020New centrality and causality metrics assessing air traffic network interactions. (2020). Gurtner, Grald ; Delgado, Luis ; Lillo, Fabrizio ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:85:y:2020:i:c:s0969699719305307.

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2020Is full banking integration desirable?. (2020). Tortosa-Ausina, Emili ; Peiro-Palomino, Jesus ; Arribas, Ivan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617301887.

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2020Too big to ignore? Hedge fund flows and bond yields. (2020). Poon, Ser-Huang ; Lin, Ming-Tsung ; Kolokolova, Olga. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302960.

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2021Bank liquidity creation and systemic risk. (2021). Vähämaa, Sami ; Yasar, Sara ; Vahamaa, Sami ; Davydov, Denis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302922.

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2020Spread the Word: International spillovers from central bank communication. (2020). Bertsch, Christoph ; Armelius, Hanna ; Zhang, Xin ; Hull, Isaiah. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560619302967.

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2021Assessing cross-border interconnectedness between shadow banking systems. (2021). Ho, Edmund ; Wan, Angela Kin ; Wing, Tom Pak. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302345.

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2021Interconnectedness in the global financial market. (2021). Raddant, Matthias ; Kenett, Dror Y. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302369.

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2020Comovement in the commodity futures markets: An analysis of the energy, grains, and livestock sectors. (2020). Putnam, Kyle J ; Adhikari, Ramesh. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:18:y:2020:i:c:s2405851318300680.

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2020Measuring the dynamics of COMESA output connectedness with the global economy. (2020). Orji, Anthony ; Manasseh, Charles ; Anthony-Orji, Onyinye ; Ogbuabor, Jonathan E. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494919300775.

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2020Volatility connectedness in global foreign exchange markets. (2020). Wang, Gang-Jin ; Wen, Tiange. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:54:y:2020:i:c:s1042444x20300062.

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2015Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode In: Tinbergen Institute Discussion Papers.
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2016Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model.(2016) In: Journal of Applied Econometrics.
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2018Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series.
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