Monica Billio : Citation Profile

Are you Monica Billio?

Università Ca' Foscari Venezia

16

H index

20

i10 index

1206

Citations

RESEARCH PRODUCTION:

37

Articles

95

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (1998 - 2019). See details.
   Cites by year: 57
   Journals where Monica Billio has often published
   Relations with other researchers
   Recent citing documents: 243.    Total self citations: 70 (5.49 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbi55
   Updated: 2019-09-14    RAS profile: 2019-06-09    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Casarin, Roberto (11)

Ravazzolo, Francesco (8)

van Dijk, Herman (7)

Addo, Peter Martey (6)

Pelizzon, Loriana (6)

Caporin, Massimiliano (4)

Donadelli, Michael (3)

Paradiso, Antonio (3)

Gatfaoui, Hayette (3)

GUEGAN, Dominique (3)

Bianchi, Daniele (2)

Rossini, Luca (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 (66)

McAleer, Michael (52)

Ravazzolo, Francesco (26)

Ferrara, Laurent (23)

Giudici, Paolo (22)

Addo, Peter Martey (21)

Casarin, Roberto (18)

van Dijk, Herman (16)

Aastveit, Knut Are (14)

Ahelegbey, Daniel Felix (12)

Leiva-Leon, Danilo (12)

Cites to:

Hamilton, James (37)

Casarin, Roberto (30)

Ravazzolo, Francesco (28)

Diebold, Francis (26)

van Dijk, Herman (22)

pagan, adrian (20)

Pelizzon, Loriana (20)

Harding, Don (20)

Engle, Robert (18)

Bekaert, Geert (18)

Ferrara, Laurent (17)

Main data

Where Monica Billio has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis4
Journal of Econometrics3
The North American Journal of Economics and Finance2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / Department of Economics, University of Venice "Ca' Foscari"33
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) / HAL21
Documents de travail du Centre d'Economie de la Sorbonne / Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne16
Tinbergen Institute Discussion Papers / Tinbergen Institute7
SAFE Working Paper Series / Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt3
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 (2019 and 2018)

YearTitle of citing document
2018Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23.

Full description at Econpapers || Download paper

2019A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2018). Donnat, Philippe ; Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier . In: Papers. RePEc:arx:papers:1703.00485.

Full description at Econpapers || Download paper

2018Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science. (2018). Gnabo, Jean-Yves ; Geraci, Marco Valerio ; Gandica, Y'Erali . In: Papers. RePEc:arx:papers:1707.00296.

Full description at Econpapers || Download paper

2018Ranking Causal Influence of Financial Markets via Directed Information Graphs. (2018). Diamandis, Theo ; Goldsmith, Andrea ; Murin, Yonathan. In: Papers. RePEc:arx:papers:1801.06896.

Full description at Econpapers || Download paper

2018Identifying systemically important companies in the entire liability network of a small open economy. (2018). Poledna, Sebastian ; Thurner, Stefan ; Hinteregger, Abraham. In: Papers. RePEc:arx:papers:1801.10487.

Full description at Econpapers || Download paper

2018Quantification of systemic risk from overlapping portfolios in the financial system. (2018). Poledna, Sebastian ; Thurner, Stefan ; Caccioli, Fabio ; Mart, Seraf'In. In: Papers. RePEc:arx:papers:1802.00311.

Full description at Econpapers || Download paper

2018Practical volume computation of structured convex bodies, and an application to modeling portfolio dependencies and financial crises. (2018). Calès, Ludovic ; Fisikopoulos, Vissarion ; Emiris, Ioannis Z ; Chalkis, Apostolos. In: Papers. RePEc:arx:papers:1803.05861.

Full description at Econpapers || Download paper

2018Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738.

Full description at Econpapers || Download paper

2018Stochastic model specification in Markov switching vector error correction models. (2018). Zoerner, Thomas ; Pfarrhofer, Michael ; Huber, Florian ; Zorner, Thomas O. In: Papers. RePEc:arx:papers:1807.00529.

Full description at Econpapers || Download paper

2018Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness. (2018). Milunovich, George. In: Papers. RePEc:arx:papers:1809.03072.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Cross-shareholding networks and stock price synchronicity: Evidence from China. (2019). Zhou, Wei-Xing ; Yuan, Yujie ; Wen, Fenghua. In: Papers. RePEc:arx:papers:1903.01655.

Full description at Econpapers || Download paper

2019A global economic policy uncertainty index from principal component analysis. (2019). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:1907.05049.

Full description at Econpapers || Download paper

2019calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty. (2019). Hu, Wentao. In: Papers. RePEc:arx:papers:1908.00982.

Full description at Econpapers || Download paper

2019Linkages and systemic risk in the European insurance sector: Some new evidence based on dynamic spanning trees. (2019). Denkowska, Anna ; Wanat, Stanislaw. In: Papers. RePEc:arx:papers:1908.01142.

Full description at Econpapers || Download paper

2018How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp118.

Full description at Econpapers || Download paper

2017Model averaging in markov-switching models: predicting national recessions with regional data. (2017). Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1727.

Full description at Econpapers || Download paper

2017Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751.

Full description at Econpapers || Download paper

2018Global financial interconnectedness: A Non-Linear Assessment of the Uncertainty Channel. (2018). Ferrara, Laurent ; Candelon, Bertrand ; Joets, M. In: Working papers. RePEc:bfr:banfra:661.

Full description at Econpapers || Download paper

2019Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1081.

Full description at Econpapers || Download paper

2018Measuring the dynamics of APEC output connectedness. (2018). Ogbuabor, Jonathan E ; Charles, Manasseh O ; Aneke, Gladys C ; Eigbiremolen, Godastime O. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:32:y:2018:i:1:p:29-44.

Full description at Econpapers || Download paper

2018Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness. (2018). Milunovich, George. In: Australian Economic Review. RePEc:bla:ausecr:v:51:y:2018:i:4:p:551-563.

Full description at Econpapers || Download paper

2019Does size matter in predicting hedge funds liquidation?. (2019). Gupta, Jairaj ; Gregoriou, Andros ; Becam, Adrien. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:271-309.

Full description at Econpapers || Download paper

2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

Full description at Econpapers || Download paper

2017Quantile Aggregation of Density Forecasts. (2017). Busetti, Fabio. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:4:p:495-512.

Full description at Econpapers || Download paper

2017Residential investment and recession predictability. (2017). Herstad, Eyo ; Anundsen, Andre ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0057.

Full description at Econpapers || Download paper

2018Testing the systemic risk differences in banks. (2018). Jokivuolle, Esa ; Vioto, Davide ; Tunaru, Radu. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_013.

Full description at Econpapers || Download paper

2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Luger, Richard ; Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4.

Full description at Econpapers || Download paper

2019A regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3.

Full description at Econpapers || Download paper

2019European Gas Markets, Trading Hubs, and Price Formation: A Network Perspective. (2019). Jamasb, T ; Karam, A ; Woroniuk, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1964.

Full description at Econpapers || Download paper

2019Real-estate concentration in the Irish banking system. (2019). Shaw, Frances ; Nevin, Ciaran ; Lyons, Paul. In: Financial Stability Notes. RePEc:cbi:fsnote:4/fs/19.

Full description at Econpapers || Download paper

2017Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle. (2017). Wolters, Maik ; Reif, Magnus ; Carstensen, Kai ; Heinrich, Markus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6457.

Full description at Econpapers || Download paper

2018Systemic Risk and the Great Depression. (2018). Das, Sanjiv R ; Vossmeyer, Angela ; Mitchener, Kris James. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7425.

Full description at Econpapers || Download paper

2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803.

Full description at Econpapers || Download paper

2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model. (2017). Ravazzolo, Francesco ; Marcellino, Massimiliano ; Foroni, Claudia ; Casarin, Roberto. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12339.

Full description at Econpapers || Download paper

2018Insurers as Asset Managers and Systemic Risk. (2018). Chotibhak, Jotikasthira ; Wagner, Wolf ; Lundblad, Christian ; Kartasheva, Anastasia ; Ellul, Andrew. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12849.

Full description at Econpapers || Download paper

2019Global financial interconnectedness: A non-linear assessment of the uncertainty channel. (2000). Ferrara, Laurent ; Joets, Marc ; Candelon, Bertrand. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_001.

Full description at Econpapers || Download paper

2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

Full description at Econpapers || Download paper

2018Do information contagion and business model similarities explain bank credit risk commonalities?. (2018). Lelyveld, Iman ; Schaumburg, Julia ; van Lelyveld, Iman ; Wang, Dieter . In: DNB Working Papers. RePEc:dnb:dnbwpp:619.

Full description at Econpapers || Download paper

2018Global Financial interconnectedness: A non-linear assessment of the uncertainty channel. (2018). Joëts, Marc ; Ferrara, Laurent ; Candelon, Bertrand ; Jots, Marc . In: EconomiX Working Papers. RePEc:drm:wpaper:2018-2.

Full description at Econpapers || Download paper

2019An explorative analysis of Italy banking financial stability. (2019). Angelini, Eliana ; Foglia, Matteo. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00071.

Full description at Econpapers || Download paper

2019Detecting turning points in global economic activity. (2019). Baumann, Ursel ; Seitz, Franz ; Salvador, Ramon Gomez . In: Working Paper Series. RePEc:ecb:ecbwps:20192310.

Full description at Econpapers || Download paper

2017Behavioral Finance and Financial Contagion: The Evidence of DCC-MGARCH Model From 63 Equity Markets. (2017). Talbi, Mariem ; Sebai, Saber ; Boubaker, Adel . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-48.

Full description at Econpapers || Download paper

2019The combination of interval forecasts in tourism. (2019). Liu, Anyu ; Zhou, Menglin ; Wu, Doris Chenguang. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:363-378.

Full description at Econpapers || Download paper

2019Visualising economic crises using accounting models. (2019). Kinsella, Stephen. In: Accounting, Organizations and Society. RePEc:eee:aosoci:v:75:y:2019:i:c:p:1-16.

Full description at Econpapers || Download paper

2018Financial risk network architecture of energy firms. (2018). Uribe, Jorge ; Manotas, Diego ; Restrepo, Natalia . In: Applied Energy. RePEc:eee:appene:v:215:y:2018:i:c:p:630-642.

Full description at Econpapers || Download paper

2018Short term load forecasting based on phase space reconstruction algorithm and bi-square kernel regression model. (2018). Fan, Guo-Feng ; Hong, Wei-Chiang ; Peng, Li-Ling. In: Applied Energy. RePEc:eee:appene:v:224:y:2018:i:c:p:13-33.

Full description at Econpapers || Download paper

2019The multiple effectiveness of state natural gas consumption constraint policies for achieving sustainable development targets in China. (2019). Lu, Can ; Li, Wei. In: Applied Energy. RePEc:eee:appene:v:235:y:2019:i:c:p:685-698.

Full description at Econpapers || Download paper

2018Integration of ASEAN banking sector stocks. (2018). Mensah, Jones Odei ; Premaratne, Gamini. In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:48-60.

Full description at Econpapers || Download paper

2019Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods. (2019). Iiboshi, Hirokuni ; Nakamura, Daisuke ; Matsumae, Tatsuyoshi ; Hasumi, Ryo. In: Journal of Asian Economics. RePEc:eee:asieco:v:60:y:2019:i:c:p:45-68.

Full description at Econpapers || Download paper

2018Chinese policy uncertainty shocks and the world macroeconomy: Evidence from STVAR. (2018). Fontaine, Idriss ; Didier, Laurent ; Razafindravaosolonirina, Justinien. In: China Economic Review. RePEc:eee:chieco:v:51:y:2018:i:c:p:1-19.

Full description at Econpapers || Download paper

2019Measuring network systemic risk contributions: A leave-one-out approach. (2019). Tokpavi, Sessi ; Lucotte, Yannick ; Hue, Sullivan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:86-114.

Full description at Econpapers || Download paper

2018Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408.

Full description at Econpapers || Download paper

2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

Full description at Econpapers || Download paper

2018RiskRank: Measuring interconnected risk. (2018). Mezei, Jozsef ; Sarlin, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:41-50.

Full description at Econpapers || Download paper

2018Systemic risk in the US: Interconnectedness as a circuit breaker. (2018). Dungey, Mardi ; Veredas, David ; Luciani, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:305-315.

Full description at Econpapers || Download paper

2018Financial integration in Africa: New evidence using network approach. (2018). Inekwe, John ; Bhattacharya, Mita ; Valenzuela, Maria Rebecca. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:379-390.

Full description at Econpapers || Download paper

2018Volatility spillover shifts in global financial markets. (2018). Bensaida, Ahmed ; Abdallah, Oussama ; Litimi, Houda. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353.

Full description at Econpapers || Download paper

2019Modeling, analysis and mitigation of contagion in financial systems. (2019). Cheng, Xian ; Zhao, Haichuan. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:281-292.

Full description at Econpapers || Download paper

2019Return spillovers around the globe: A network approach. (2019). Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:133-146.

Full description at Econpapers || Download paper

2019Economic policy uncertainty in the US and China and their impact on the global markets. (2019). Zhang, Dayong ; Ji, Qiang ; Lei, Lei ; Kutan, Ali M. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:47-56.

Full description at Econpapers || Download paper

2017Recurrence plots analysis of the CNY exchange markets based on phase space reconstruction. (2017). Yao, Can-Zhong ; Lin, Qing-Wen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:584-596.

Full description at Econpapers || Download paper

2019Network-based asset allocation strategies. (2019). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan ; Vrost, Tomas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:516-536.

Full description at Econpapers || Download paper

2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

Full description at Econpapers || Download paper

2019Screening rules and portfolio performance. (2019). Nieto, Belen ; Navarro, Lluis ; Leon, Angel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:642-662.

Full description at Econpapers || Download paper

2017Model averaging in Markov-switching models: Predicting national recessions with regional data. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:45-49.

Full description at Econpapers || Download paper

2019Redenomination-risk spillovers in the Eurozone. (2019). Borri, Nicola. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:173-178.

Full description at Econpapers || Download paper

2019Structural changes in large economic datasets: A nonparametric homogeneity test. (2019). Costola, Michele ; Casarin, Roberto. In: Economics Letters. RePEc:eee:ecolet:v:176:y:2019:i:c:p:55-59.

Full description at Econpapers || Download paper

2018Modeling maxima with autoregressive conditional Fréchet model. (2018). Zhao, Zifeng ; Chen, Rong ; Zhang, Zhengjun. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:325-351.

Full description at Econpapers || Download paper

2019Alternative tests for correct specification of conditional predictive densities. (2019). Sekhposyan, Tatevik ; Rossi, Barbara. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:638-657.

Full description at Econpapers || Download paper

2019Dynamic Bayesian predictive synthesis in time series forecasting. (2019). West, Mike ; McAlinn, Kenichiro. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:155-169.

Full description at Econpapers || Download paper

2019Forecast density combinations of dynamic models and data driven portfolio strategies. (2019). Hoogerheide, L ; Grassi, S ; Borowska, A ; Baturk, N ; van Dijk, H K. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:170-186.

Full description at Econpapers || Download paper

2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:187-202.

Full description at Econpapers || Download paper

2019Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115.

Full description at Econpapers || Download paper

2018A new particle filtering approach to estimate stochastic volatility models with Markov-switching. (2018). Karamé, Frédéric ; Karame, Frederic. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:204-230.

Full description at Econpapers || Download paper

2018Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence. (2018). Pätäri, Eero ; Yeomans, Julian S ; Luukka, Pasi ; Karell, Ville ; Patari, Eero. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:655-672.

Full description at Econpapers || Download paper

2018Robust and sparse banking network estimation. (2018). Torri, Gabriele ; Paterlini, Sandra ; Giacometti, Rosella. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:1:p:51-65.

Full description at Econpapers || Download paper

2018Local currency systemic risk. (2018). Borri, Nicola. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:111-123.

Full description at Econpapers || Download paper

2018Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model. (2018). GUPTA, RANGAN ; Bouri, Elie ; Marco, Chi Keung ; Hosseini, Seyed Mehdi. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:124-142.

Full description at Econpapers || Download paper

2018Interconnectedness and systemic risk of Chinas financial institutions. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Xie, Chi ; Lin, Min ; Jiang, Zhi-Qiang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:1-18.

Full description at Econpapers || Download paper

2018Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network. (2018). Ugolini, Andrea ; Arismendi Zambrano, Juan ; Rivera-Castro, Miguel A. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189.

Full description at Econpapers || Download paper

2018“On the (Ab)use of Omega?â€. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

Full description at Econpapers || Download paper

2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

Full description at Econpapers || Download paper

2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

Full description at Econpapers || Download paper

2019Conditional tail-risk in cryptocurrency markets. (2019). Borri, Nicola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:1-19.

Full description at Econpapers || Download paper

2018Dynamic and directional network connectedness of crude oil and currencies: Evidence from implied volatility. (2018). Singh, Vipul Kumar ; Kumar, Pawan ; Nishant, Shreyank. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:48-63.

Full description at Econpapers || Download paper

2018The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems. (2018). Chai, Shanglei ; Zhou, P. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:64-75.

Full description at Econpapers || Download paper

2019Liquidity, surprise volume and return premia in the oil market. (2019). Wagner, Niklasf ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:93-104.

Full description at Econpapers || Download paper

2019Identifying the peak point of systemic risk in international crude oil importing trade. (2019). Dong, Gaogao ; Du, Ruijin ; Stanley, Eugene H ; Zhang, Xin ; Zhao, Longfeng ; Wang, Yougui ; Tian, Lixin. In: Energy. RePEc:eee:energy:v:176:y:2019:i:c:p:281-291.

Full description at Econpapers || Download paper

2018Hedge fund performance attribution under various market conditions. (2018). Stafylas, Dimitrios ; Uddin, Moshfique ; Anderson, Keith. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:221-237.

Full description at Econpapers || Download paper

2018Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities. (2018). Roubaud, David ; Ji, Qiang ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:1-12.

Full description at Econpapers || Download paper

2019Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach. (2019). Kumar, Satish ; Tiwari, Aviral Kumar ; Ji, Qiang ; Chauhan, Yogesh. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:273-284.

Full description at Econpapers || Download paper

2018Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. (2018). Gözgör, Giray ; Demir, Ender ; Vigne, Samuel A ; Marco, Chi Keung ; Gozgor, Giray . In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:145-149.

Full description at Econpapers || Download paper

2019What determines bitcoin exchange prices? A network VAR approach. (2019). Abu-Hashish, Iman ; Giudici, Paolo. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:309-318.

Full description at Econpapers || Download paper

2019Financial sector bailouts, sovereign bailouts, and the transfer of credit risk. (2019). Nguyen, Viet Hoang ; Huang, Jingong ; Greenwood-Nimmo, Matthew. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:121-142.

Full description at Econpapers || Download paper

2017Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model. (2017). Elyasiani, Elyas ; Mansur, Iqbal. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:49-65.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Monica Billio:

YearTitleTypeCited
2018Bayesian nonparametric sparse VAR models In: Papers.
[Full Text][Citation analysis]		paper1
2014Interconnectedness and systemic risk: hedge funds, banks, insurance companies In: BANCARIA.
[Full Text][Citation analysis]		article0
2008A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA In: Manchester School.
[Full Text][Citation analysis]		article27
2010Combining predictive densities using Bayesian filtering with applications to US economics data In: Working Paper.
[Full Text][Citation analysis]		paper10
2011Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2012Combining predictive densities using Bayesian filtering with applications to US economic data.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2012Combination schemes for turning point predictions In: Working Paper.
[Full Text][Citation analysis]		paper16
2012Combination schemes for turning point predictions.(2012) In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		article
2011Combination Schemes for Turning Point Predictions.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2012Combination schemes for turning point predictions.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2013Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model In: Working Paper.
[Full Text][Citation analysis]		paper6
2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2014Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2018Markov Switching Panel with Network Interaction Effects In: Working Papers.
[Full Text][Citation analysis]		paper0
2011Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article10
1998The Simulated Likelihood Ratio (SLR) Method In: Working Papers.
[Full Text][Citation analysis]		paper2
1999Functional Indirect Inference In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Efficient Gibbs sampling for Markov switching GARCH models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article5
2012Efficient Gibbs Sampling for Markov Switching GARCH Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2010Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article43
2007Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43		paper
2012Dynamic risk exposures in hedge funds In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article20
2007Dynamic Risk Exposure in Hedge Funds.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2014The univariate MT-STAR model and a new linearity and unit root test procedure In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article4
2014The univariate MT-STAR model and a new linearity and unit root test procedure.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
2013Nonlinear dynamics and recurrence plots for detecting financial crisis In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article23
2013Nonlinear dynamics and recurrence plots for detecting financial crisis.(2013) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]
This paper has another version. Agregated cites: 23		paper
2013Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis.(2013) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2013Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2015Backward/forward optimal combination of performance measures for equity screening In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article6
2012Backward/forward optimal combination of performance measures for equity screening.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2013Time-varying combinations of predictive densities using nonlinear filtering In: Journal of Econometrics.
[Full Text][Citation analysis]		article63
2012Time-varying Combinations of Predictive Densities using Nonlinear Filtering.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63		paper
2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
1999Bayesian estimation of switching ARMA models In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
2011Portfolio symmetry and momentum In: European Journal of Operational Research.
[Full Text][Citation analysis]		article4
2009Portfolio Symmetry and Momentum.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2011Portfolio Symmetry and Momentum.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2009Portfolio Symmetry and Momentum.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2009Portfolio Symmetry and Momentum.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2000Value-at-Risk: a multivariate switching regime approach In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article43
2018Markov switching GARCH models for Bayesian hedging on energy futures markets In: Energy Economics.
[Full Text][Citation analysis]		article3
2014Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2016An entropy-based early warning indicator for systemic risk In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article6
2015An entropy-based early warning indicator for systemic risk.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2017Which market integration measure? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2016Which market integration measure?.(2016) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2003Contagion and interdependence in stock markets: Have they been misdiagnosed? In: Journal of Economics and Business.
[Full Text][Citation analysis]		article53
2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
[Full Text][Citation analysis]		article434
2011Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 434		paper
2009A generalized Dynamic Conditional Correlation model for portfolio risk evaluation In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article33
2006A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33		paper
2003Volatility and shocks spillover before and after EMU in European stock markets In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article37
2019Credit Scoring in SME Asset-Backed Securities: An Italian Case Study In: Journal of Risk and Financial Management.
[Full Text][Citation analysis]		article0
2013Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper5
2013Evaluation of regime switching models for real-time business cycle analysis of the euro area.(2013) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 5		paper
2013Evaluation of Regime Switching Models for Realâ€Time Business Cycle Analysis of the Euro Area.(2013) In: Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2014Nonlinear Dynamics and Wavelets for Business Cycle Analysis In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper0
2014Turning point chronology for the euro area: A distance plot approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper4
2014Turning point chronology for the euro area: A distance plot approach.(2014) In: OECD Journal: Journal of Business Cycle Measurement and Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2017Dynamical Interaction between Financial and Business Cycles In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper0
2017Dynamical Interaction Between Financial and Business Cycles.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2009Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper0
2010A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper0
2010A performance measure of Zero-dollar Long/Short equally weighted portfolios.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2010A Cross-Sectional Performance Measure for Portfolio Management In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper0
2010A Cross-Sectional Performance Measure for Portfolio Management.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2011A Cross-Sectional Score for the Relative Performance of an Allocation In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper2
2015A Rank-based Approach to Cross-Sectional Analysis In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper0
2011A test for a new modelling : The Univariate MT-STAR Model In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper1
2011A test for a new modelling: The Univariate MT-STAR Model.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2012Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper3
2012Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Citation analysis]
This paper has another version. Agregated cites: 3		paper
2012Cross-Sectional Analysis through Rank-based Dynamic Portfolios In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper0
2013Understanding Exchange Rates Dynamics In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper8
2013Understanding Exchange Rates Dynamics.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2013Turning point chronology for the Euro-Zone: A Distance Plot Approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper0
2013Turning point chronology for the Euro-Zone: A Distance Plot Approach.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2013Turning point chronology for the Euro-Zone: A Distance Plot Approach.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper3
2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone.(2016) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Citation analysis]
This paper has another version. Agregated cites: 3		paper
2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone.(2016) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2017Multivariate Reflection Symmetry of Copula Functions In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper0
2017Multivariate Reflection Symmetry of Copula Functions.(2017) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2010Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area In: Journal of Forecasting.
[Full Text][Citation analysis]		article6
2009Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]		paper0
2013A New Modelling Test: The Univariate MT-STAR Model In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]		paper1
2013Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]		paper1
2012Cross-Sectional Analysis through Rank-based Dynamic In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]		paper0
2014Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area In: Rivista italiana degli economisti.
[Full Text][Citation analysis]		article0
2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Chapters.
[Citation analysis]		chapter57
2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		paper
2008Dating EU15 monthly business cycle jointly using GDP and IPI In: Journal of Business Cycle Measurement and Analysis.
[Full Text][Citation analysis]		article0
2007Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2003Kernel-Based Indirect Inference In: Journal of Financial Econometrics.
[Citation analysis]		article6
2014A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation In: Bankers, Markets & Investors.
[Full Text][Citation analysis]		article0
2005Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article9
2006Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation In: Applied Financial Economics Letters.
[Full Text][Citation analysis]		article89
2000Combining forecasts: some results on exchange and interest rates In: The European Journal of Finance.
[Full Text][Citation analysis]		article1
2015Granger-causality in Markov switching models In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article5
2006Granger-causality in Markov Switching Models.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2011Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2011Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2015Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper11
2016Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markovâ€Switching VAR Model.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2008Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods In: Working Papers.
[Full Text][Citation analysis]		paper8
2010Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis In: Working Papers.
[Full Text][Citation analysis]		paper3
2006Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints In: Working Papers.
[Full Text][Citation analysis]		paper13
2007Stochastic 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: 13		article
2006Phase-Locking and Switching Volatility in Hedge Funds In: Working Papers.
[Full Text][Citation analysis]		paper1
2007Business Cycle Analysis with Multivariate Markov Switching Models In: Working Papers.
[Full Text][Citation analysis]		paper8
2007A turning point chronology for the Euro-zone In: Working Papers.
[Full Text][Citation analysis]		paper17
2007Bayesian Inference on Dynamic Models with Latent Factors In: Working Papers.
[Full Text][Citation analysis]		paper3
2008Crisis and Hedge Fund Risk In: Working Papers.
[Full Text][Citation analysis]		paper7
2009Crises and Hedge Fund Risk.(2009) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2008Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper0
2012Bayesian Graphical Models for Structural Vector Autoregressive Processes In: Working Papers.
[Full Text][Citation analysis]		paper46
2016Bayesian Graphical Models for STructural Vector Autoregressive Processes.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46		article
2012CDS Industrial Sector Indices, credit and liquidity risk In: Working Papers.
[Full Text][Citation analysis]		paper1
2013Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure In: Working Papers.
[Full Text][Citation analysis]		paper2
2013�Markov Switching Models for Volatility: Filtering, Approximation and Duality� In: Working Papers.
[Full Text][Citation analysis]		paper0
2014Growth-cycle phases in China�s provinces: A panel Markov-switching approach In: Working Papers.
[Full Text][Citation analysis]		paper0
2014Sparse Graphical Vector Autoregression: A Bayesian Approach In: Working Papers.
[Full Text][Citation analysis]		paper1
2015Measuring Financial Integration: Lessons from the Correlation In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Networks in risk spillovers: a multivariate GARCH perspective In: Working Papers.
[Full Text][Citation analysis]		paper5
2018Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2016Bayesian nonparametric sparse seemingly unrelated regression model (SUR) In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Bayesian Dynamic Tensor Regression In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Bayesian Markov Switching Tensor Regression for Time-varying Networks In: Working Papers.
[Full Text][Citation analysis]		paper0
2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team