Monica Billio : Citation Profile

Are you Monica Billio?

Università Ca' Foscari Venezia

21

H index

33

i10 index

2420

Citations

RESEARCH PRODUCTION:

47

Articles

141

Papers

4

Chapters

RESEARCH ACTIVITY:

   25 years (1998 - 2023). See details.
   Cites by year: 96
   Journals where Monica Billio has often published
   Relations with other researchers
   Recent citing documents: 161.    Total self citations: 92 (3.66 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbi55
   Updated: 2024-01-16    RAS profile: 2023-07-28    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Pelizzon, Loriana (15)

Casarin, Roberto (9)

Riedel, Max (2)

Caporin, Massimiliano (2)

Osuntuyi, Ayokunle (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 (76)

Giudici, Paolo (64)

Ahelegbey, Daniel Felix (56)

Casarin, Roberto (43)

Ravazzolo, Francesco (38)

Ferrara, Laurent (28)

Aastveit, Knut Are (21)

Addo, Peter Martey (21)

Napoletano, Mauro (20)

Guerini, Mattia (20)

van Dijk, Herman (20)

Cites to:

Casarin, Roberto (64)

Hamilton, James (43)

Diebold, Francis (38)

Ravazzolo, Francesco (35)

Lo, Andrew (31)

Pelizzon, Loriana (31)

van Dijk, Herman (27)

Engle, Robert (24)

Harding, Don (23)

pagan, adrian (23)

Reichlin, Lucrezia (23)

Main data

Where Monica Billio has published?

Journals with more than one article published# docs
Journal of Econometrics5
Computational Statistics & Data Analysis4
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 / HAL24
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) / HAL22
Documents de travail du Centre d'Economie de la Sorbonne / Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne16
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE9
Tinbergen Institute Discussion Papers / Tinbergen Institute7
PSE-Ecole d'économie de Paris (Postprint) / HAL6
Working Papers / University of Brescia, Department of Economics3
Papers / arXiv.org3
Working Papers / Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School2
Working Papers / Center for Research in Economics and Statistics2

Recent works citing Monica Billio (2024 and 2023)

YearTitle of citing document
2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

Full description at Econpapers || Download paper

2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

Full description at Econpapers || Download paper

2023Predictive 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

2023Portfolio 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.

Full description at Econpapers || Download paper

2023Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

Full description at Econpapers || Download paper

2023A 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

2023Bayesian 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

2023Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434.

Full description at Econpapers || Download paper

2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

Full description at Econpapers || Download paper

2023Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

Full description at Econpapers || Download paper

2023Company Competition Graph. (2023). Dai, Rui ; Li, Xinyi ; Zhang, Cien ; Huang, Jiawei ; Mao, Haitao ; Lu, Yutong. In: Papers. RePEc:arx:papers:2304.00323.

Full description at Econpapers || Download paper

2023Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950.

Full description at Econpapers || Download paper

2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

Full description at Econpapers || Download paper

2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

Full description at Econpapers || Download paper

2023Shifting Cryptocurrency Influence: A High-Resolution Network Analysis of Market Leaders. (2023). Chava, Sudheer ; Shah, Agam ; Hiray, Arnav. In: Papers. RePEc:arx:papers:2307.16874.

Full description at Econpapers || Download paper

2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

Full description at Econpapers || Download paper

2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

Full description at Econpapers || Download paper

2023Portfolio Selection via Topological Data Analysis. (2023). Zaytsev, Alexey ; Makhneva, Elizaveta ; Kuznetsov, Kristian ; Sokerin, Petr. In: Papers. RePEc:arx:papers:2308.07944.

Full description at Econpapers || Download paper

2023Vector Autoregression in Cryptocurrency Markets: Unraveling Complex Causal Networks. (2023). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2308.15769.

Full description at Econpapers || Download paper

2023Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Iacopini, Matteo ; Costola, Michele ; Wichers, Casper. In: Papers. RePEc:arx:papers:2310.17473.

Full description at Econpapers || Download paper

2023Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218.

Full description at Econpapers || Download paper

2023Can we hedge carbon risk? A network embedding approach. (2023). Stocco, Davide ; Pocelli, Maria Chiara ; Azzone, Michele. In: Papers. RePEc:arx:papers:2311.12450.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57.

Full description at Econpapers || Download paper

2023An analysis of the evolution of global financial network of the coordinated portfolio investment survey. (2023). Ahn, Seryoong ; Koo, Hyeng Keun ; Jung, Jae Woong. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:437-459.

Full description at Econpapers || Download paper

2023Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades. (2023). Pham, Thu Phuong ; Zurbruegg, Ralf ; Wasi, Md Abdul. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:411-440.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Where does the risk lie? Systemic risk and tail risk networks in the Chinese financial market. (2023). Gao, Chenyin ; Deng, Yang. In: Pacific Economic Review. RePEc:bla:pacecr:v:28:y:2023:i:2:p:167-190.

Full description at Econpapers || Download paper

2023Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2023). Vespignani, Joaquin ; Vocalelli, Giorgio ; Ravazzolo, Francesco ; Grassi, Stefano. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps100.

Full description at Econpapers || Download paper

2023Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765.

Full description at Econpapers || Download paper

2023Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768.

Full description at Econpapers || Download paper

2023Density forecasts of inflation: a quantile regression forest approach. (2023). Paredes, Joan ; Moutachaker, Ines ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20232830.

Full description at Econpapers || Download paper

2023Measuring systemic financial stress and its risks for growth. (2023). Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232842.

Full description at Econpapers || Download paper

2023Loss sharing in central clearinghouses: winners and losers. (2023). Kubitza, Christian ; Sherman, Mila Getmansky ; Pelizzon, Loriana. In: Working Paper Series. RePEc:ecb:ecbwps:20232873.

Full description at Econpapers || Download paper

2023Volatility and dark trading: Evidence from the Covid-19 pandemic. (2023). Rzayev, Khaladdin ; Ibikunle, Gbenga. In: The British Accounting Review. RePEc:eee:bracre:v:55:y:2023:i:4:s0890838922001111.

Full description at Econpapers || Download paper

2023A sparse Bayesian hierarchical vector autoregressive model for microbial dynamics in a wastewater treatment plant. (2023). Curtis, Thomas P ; Heaps, Sarah E ; Hannaford, Naomi E ; Wilkinson, Darren J ; Golightly, Andrew ; Allen, Ben. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:179:y:2023:i:c:s0167947322002390.

Full description at Econpapers || Download paper

2023A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688.

Full description at Econpapers || Download paper

2023The impact of climate change on banking systemic risk. (2023). Taghizadeh-Hesary, Farhad ; Yang, Mingyuan ; Lu, Lanxin ; Qi, Hanying ; Bai, Xiao ; Wu, Xin. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:419-437.

Full description at Econpapers || Download paper

2023Asymmetric contagion of jump risk in the Chinese financial sector: Monetary policy transmission matters. (2023). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003443.

Full description at Econpapers || Download paper

2023Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x.

Full description at Econpapers || Download paper

2023How to foresee crises? A new synthetic index of vulnerabilities for emerging economies. (2023). Molina, Luis ; Alonso-Alvarez, Irma. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001165.

Full description at Econpapers || Download paper

2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669.

Full description at Econpapers || Download paper

2023Systemic political risk. (2023). Uribe, Jorge ; Chuliá, Helena ; Estevez, Marc ; Chulia, Helena. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001876.

Full description at Econpapers || Download paper

2023Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723.

Full description at Econpapers || Download paper

2023The impact of COVID-19 on the tourism and hospitality Industry: Evidence from international stock markets. (2023). Yang, Feng ; Liao, Stephen Shaoyi ; Cheng, Xian ; Liu, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002108.

Full description at Econpapers || Download paper

2023Analyzing quantile spillover effects among international financial markets. (2023). Pan, NA ; Liu, Tangyong ; Wang, Jie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000049.

Full description at Econpapers || Download paper

2023How does inter-industry spillover improve the performance of volatility forecasting?. (2023). Zhu, Xingting ; Xiao, Wen ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000013.

Full description at Econpapers || Download paper

2023Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086.

Full description at Econpapers || Download paper

2023Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300058x.

Full description at Econpapers || Download paper

2023The effect of interconnectivity on stock returns during the Global Financial Crisis. (2023). Tabak, Benjamin ; Silva, Thiago ; Berri, Paulo Victor. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000633.

Full description at Econpapers || Download paper

2023High-dimensional VARs with common factors. (2023). Su, Liangjun ; Phillips, Peter ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:155-183.

Full description at Econpapers || Download paper

2023Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2023). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:s:p:70-90.

Full description at Econpapers || Download paper

2023Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892.

Full description at Econpapers || Download paper

2023Model averaging for asymptotically optimal combined forecasts. (2023). Liu, Chu-An ; Chen, Yi-Ting. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:592-607.

Full description at Econpapers || Download paper

2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

Full description at Econpapers || Download paper

2023Hedging with automatic liquidation and leverage selection on bitcoin futures. (2023). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:478-493.

Full description at Econpapers || Download paper

2023Margin trading and spillover effects: Evidence from the Chinese stock markets. (2023). Ye, Qing ; Zhou, Shengjie. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014123000109.

Full description at Econpapers || Download paper

2023Determinants of connectedness in financial institutions: Evidence from Taiwan. (2023). Mo, Wan-Shin ; Chiang, Shu-Hen ; Chen, Yu-Lun. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000681.

Full description at Econpapers || Download paper

2023Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250.

Full description at Econpapers || Download paper

2023Can corporate financing through the stock market create systemic risk? Evidence from the BRVM securities market. (2023). Amenounve, Edoh ; Soumare, Issouf ; Kanga, Desire. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000365.

Full description at Econpapers || Download paper

2023A financial risk meter for China. (2023). Hardle, Wolfgang Karl ; Althof, Michael ; Wang, Ruting. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000572.

Full description at Econpapers || Download paper

2023Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets. (2023). Zhang, Xinhua ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001378.

Full description at Econpapers || Download paper

2023A new multilayer network for measuring interconnectedness among the energy firms. (2023). Zhang, Xiaotong ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s014098832300378x.

Full description at Econpapers || Download paper

2023Measuring financial soundness around the world: A machine learning approach. (2023). Mertzanis, Charilaos ; Cerchiello, Paola ; Bitetto, Alessandro. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s105752192200401x.

Full description at Econpapers || Download paper

2023Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033.

Full description at Econpapers || Download paper

2023Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets. (2023). Zhu, You ; Uddin, Gazi Salah ; Xie, Chi ; Feng, Yusen ; Wan, LI ; Wang, Gang-Jin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000340.

Full description at Econpapers || Download paper

2023ESG, risk, and (tail) dependence. (2023). Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge ; Bax, Karoline. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000297.

Full description at Econpapers || Download paper

2023Modeling the global sovereign credit network under climate change. (2023). Yang, Lu ; Hamori, Shigeyuki. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001345.

Full description at Econpapers || Download paper

2023Possibility versus feasibility: International portfolio diversification under financial liberalization. (2023). Yao, Shujie ; Wan, Hong ; Chen, Yiqing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001680.

Full description at Econpapers || Download paper

2023Issuing bonds during the Covid-19 pandemic: Was there an ESG premium?. (2023). Ferriani, Fabrizio. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001692.

Full description at Econpapers || Download paper

2023Can CoCo-bonds mitigate systemic risk?. (2023). Petras, Matthias ; Kund, Arndt-Gerrit. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002028.

Full description at Econpapers || Download paper

2023Non-banks contagion and the uneven mitigation of climate risk. (2023). Sydow, Matthias ; Gourdel, Regis. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002557.

Full description at Econpapers || Download paper

2023Examining financial and business cycle interaction using cross recurrence plot analysis. (2023). Egan, Paul ; Ashe, Sinead. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006377.

Full description at Econpapers || Download paper

2023Systemic risk and CO2 emissions in the U.S.. (2023). Zervopoulos, Panagiotis ; Molyneux, Philip ; Kanas, Angelos. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001097.

Full description at Econpapers || Download paper

2023Networks, interconnectedness, and interbank information asymmetry. (2023). Harris, Jeffrey ; Mankad, Shawn ; Brunetti, Celso. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000633.

Full description at Econpapers || Download paper

2023Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis1. (2023). Elsayed, Ahmed ; Balcilar, Mehmet ; Hammoudeh, Shawkat. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001287.

Full description at Econpapers || Download paper

2023Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers. (2023). Foglia, Matteo ; Xie, Chi ; Zhu, You ; Zhou, Yang ; Wang, Gang-Jin ; Gong, Jue. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s104244312300001x.

Full description at Econpapers || Download paper

2023Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality. (2023). Sha, Yezhou ; Yin, Shiqi ; Zhang, Ping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000513.

Full description at Econpapers || Download paper

2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

Full description at Econpapers || Download paper

2023Real-time inflation forecasting using non-linear dimension reduction techniques. (2023). Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:901-921.

Full description at Econpapers || Download paper

2023Penalized estimation of panel vector autoregressive models: A panel LASSO approach. (2023). Camehl, Annika. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1185-1204.

Full description at Econpapers || Download paper

2023Macroeconomic forecasting in the euro area using predictive combinations of DSGE models. (2023). ÄŒapek, Jan ; Reichel, Vlastimil ; Hauzenberger, Niko ; Cuaresma, Jesus Crespo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1820-1838.

Full description at Econpapers || Download paper

2023Share pledge financing network and systemic risks: Evidence from China. (2023). Wang, ZE ; Qin, Xiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:152:y:2023:i:c:s037842662300095x.

Full description at Econpapers || Download paper

2023Macro-financial spillovers. (2023). Yilmaz, Kamil ; Hallam, Mark ; Cotter, John. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000256.

Full description at Econpapers || Download paper

2023The network and own effects of global-systemically-important-bank designations. (2023). Egger, Peter ; Zhu, Jiaqing ; Li, Jie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000803.

Full description at Econpapers || Download paper

2023Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289.

Full description at Econpapers || Download paper

2023Futures hedging in crude oil markets: A trade-off between risk and return. (2023). Shen, Xilin ; Lu, Junli ; Li, Yanyan ; Yu, Xing. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005906.

Full description at Econpapers || Download paper

2023Static and dynamic linkages between oil, gold and global equity markets in various crisis episodes: Evidence from the Wavelet TVP-VAR. (2023). Yousaf, Imran ; Shah, Waheed Ullah ; Younis, Ijaz. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006420.

Full description at Econpapers || Download paper

2023Assessing oil price volatility co-movement with stock market volatility through quantile regression approach. (2023). Gao, Junjun ; Umair, Muhammad ; Liu, Fang. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000831.

Full description at Econpapers || Download paper

2023Oil price bubbles: The role of network centrality on idiosyncratic sovereign risk. (2023). Yang, Lu. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002015.

Full description at Econpapers || Download paper

2023Measuring the frequency and quantile connectedness between policy categories and global oil price. (2023). Liu, Hongxiao ; Nong, Huifu. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723002763.

Full description at Econpapers || Download paper

2023The extreme risk connectedness of the global financial system: G7 and BRICS evidence. (2023). Lu, Shuai ; Li, Shaofang ; Chen, Ning. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:69:y:2023:i:c:s1042444x23000312.

Full description at Econpapers || Download paper

2023Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market. (2023). Cheng, Lee-Young ; Wang, Shengjin ; Yang, Yuhong ; Li, Ruihai ; Shen, Anran ; Zheng, Yingfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000379.

Full description at Econpapers || Download paper

2023Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices. (2023). Pagnottoni, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:615:y:2023:i:c:s037843712300136x.

Full description at Econpapers || Download paper

2023The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis. (2023). Shouyang, Wang ; Yahan, Wang ; Fangcheng, Tang ; Kun, Guo ; Jiajia, Liu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:105-119.

Full description at Econpapers || Download paper

2023A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models. (2023). Xie, Wenzhao ; Zheng, Chengli ; Yao, Yinhong ; Su, Kuangxi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:35-50.

Full description at Econpapers || Download paper

2023Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors. (2023). Zhu, Haoyang ; Dai, Zhifeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:421-450.

Full description at Econpapers || Download paper

2023Dependency of Islamic bank rates on conventional rates in a dual banking system: A trade-off between religious and economic fundamentals. (2023). Hassan, M. Kabir ; Saeed, Shifa Mohamed ; Rashid, Mamunur ; Abdeljawad, Islam. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:1003-1021.

Full description at Econpapers || Download paper

2023Are Islamic stocks immune from financial crises? Evidence from contagion tests. (2023). Hoque, Ariful ; Hassan, Kamrul ; Wong, Wing-Keung ; Gasbarro, Dominic. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:919-948.

Full description at Econpapers || Download paper

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

Works by Monica Billio:

YearTitleTypeCited
2019Opinion Dynamics and Disagreements on Financial Networks In: Advances in Decision Sciences.
[Full Text][Citation analysis]		article0
2018Bayesian nonparametric sparse VAR models In: Papers.
[Full Text][Citation analysis]		paper18
2019Bayesian nonparametric sparse VAR models.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		article
2020The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach In: Papers.
[Full Text][Citation analysis]		paper2
2021The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2021COVID-19 spreading in financial networks: A semiparametric matrix regression model In: Papers.
[Full Text][Citation analysis]		paper2
2021COVID-19 spreading in financial networks: A semiparametric matrix regression model.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2014Interconnectedness and systemic risk: hedge funds, banks, insurance companies In: BANCARIA.
[Full Text][Citation analysis]		article1
2008A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA In: Manchester School.
[Full Text][Citation analysis]		article39
2010Combining predictive densities using Bayesian filtering with applications to US economics data In: Working Paper.
[Full Text][Citation analysis]		paper11
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 nother version. Agregated cites: 11		paper
2012Combining predictive densities using Bayesian filtering with applications to US economic data.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2012Combination schemes for turning point predictions In: Working Paper.
[Full Text][Citation analysis]		paper27
2012Combination schemes for turning point predictions.(2012) In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		article
2011Combination Schemes for Turning Point Predictions.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2012Combination schemes for turning point predictions.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2013Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model In: Working Paper.
[Full Text][Citation analysis]		paper11
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 nother version. Agregated cites: 11		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 nother version. Agregated cites: 11		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 nother version. Agregated cites: 11		paper
2018Markov Switching Panel with Network Interaction Effects In: Working Papers.
[Full Text][Citation analysis]		paper2
2011Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article11
2021Markov Switching Panel with Endogenous Synchronization Effects In: BEMPS - Bozen Economics & Management Paper Series.
[Full Text][Citation analysis]		paper3
2022Markov switching panel with endogenous synchronization effects.(2022) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
1998The Simulated Likelihood Ratio (SLR) Method In: Working Papers.
[Full Text][Citation analysis]		paper3
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]		article11
2012Efficient Gibbs Sampling for Markov Switching GARCH Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2010Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article64
2007Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		paper
2012Dynamic risk exposures in hedge funds In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article34
2007Dynamic Risk Exposure in Hedge Funds.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		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 nother version. Agregated cites: 4		paper
2014The univariate MT-STAR model and a new linearity and unit root test procedure.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2014The univariate MT-STAR model and a new linearity and unit root test procedure.(2014) In: PSE-Ecole d'économie de Paris (Postprint).
[Citation analysis]
This paper has nother 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]		article30
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 nother version. Agregated cites: 30		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 nother version. Agregated cites: 30		paper
2013Nonlinear dynamics and recurrence plots for detecting financial crisis.(2013) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 30		paper
2013Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis.(2013) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		paper
2013Nonlinear dynamics and recurrence plots for detecting financial crisis.(2013) In: PSE-Ecole d'économie de Paris (Postprint).
[Citation analysis]
This paper has nother version. Agregated cites: 30		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 nother version. Agregated cites: 30		paper
2015Backward/forward optimal combination of performance measures for equity screening In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article7
2012Backward/forward optimal combination of performance measures for equity screening.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2013Time-varying combinations of predictive densities using nonlinear filtering In: Journal of Econometrics.
[Full Text][Citation analysis]		article101
2012Time-varying Combinations of Predictive Densities using Nonlinear Filtering.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 101		paper
2019Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
1999Bayesian estimation of switching ARMA models In: Journal of Econometrics.
[Full Text][Citation analysis]		article21
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 nother 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 nother version. Agregated cites: 4		paper
2009Portfolio Symmetry and Momentum.(2009) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2011Portfolio Symmetry and Momentum.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2011Portfolio Symmetry and Momentum.(2011) In: PSE-Ecole d'économie de Paris (Postprint).
[Full Text][Citation analysis]
This paper has nother 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 nother version. Agregated cites: 4		paper
2009Portfolio Symmetry and Momentum.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2000Value-at-Risk: a multivariate switching regime approach In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article59
2018Markov switching GARCH models for Bayesian hedging on energy futures markets In: Energy Economics.
[Full Text][Citation analysis]		article25
2014Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		paper
2016An entropy-based early warning indicator for systemic risk In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article20
2015An entropy-based early warning indicator for systemic risk.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2017Which market integration measure? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article34
2016Which market integration measure?.(2016) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2003Contagion and interdependence in stock markets: Have they been misdiagnosed? In: Journal of Economics and Business.
[Full Text][Citation analysis]		article66
2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1107
2010Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Chapters.
[Citation analysis]
This paper has nother version. Agregated cites: 1107		chapter
2011Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1107		paper
2009A generalized Dynamic Conditional Correlation model for portfolio risk evaluation In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article43
2006A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 43		paper
2003Volatility and shocks spillover before and after EMU in European stock markets In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article49
2023The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article10
2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification.(2017) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
In: .
[Full Text][Citation analysis]		chapter0
In: .
[Full Text][Citation analysis]		chapter0
2019Credit Scoring in SME Asset-Backed Securities: An Italian Case Study In: JRFM.
[Full Text][Citation analysis]		article6
2019Credit scoring in SME asset-backed securities: An Italian case study.(2019) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
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]		paper6
2013Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area.(2013) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2013Evaluation of Regime Switching Models for Real?Time Business Cycle Analysis of the Euro Area.(2013) In: Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2014Nonlinear Dynamics and Wavelets for Business Cycle Analysis In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper4
2014Nonlinear Dynamics and Wavelets for Business Cycle Analysis.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2014Nonlinear Dynamics and Wavelets for Business Cycle Analysis.(2014) In: PSE-Ecole d'économie de Paris (Postprint).
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2014Nonlinear Dynamics and Wavelets for Business Cycle Analysis.(2014) In: Dynamic Modeling and Econometrics in Economics and Finance.
[Citation analysis]
This paper has nother version. Agregated cites: 4		chapter
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: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2014Turning point chronology for the euro area: A distance plot approach.(2014) In: PSE-Ecole d'économie de Paris (Postprint).
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
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 nother version. Agregated cites: 4		article
2017Dynamical Interaction between Financial and Business Cycles In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper2
2017Dynamical Interaction between Financial and Business Cycles.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2017Dynamical Interaction Between Financial and Business Cycles.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2022High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper0
2022High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization.(2022) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother 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
2009Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area.(2009) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2009Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
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: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
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 nother 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: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
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 nother 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]		paper5
2011A Cross-Sectional Score for the Relative Performance of an Allocation.(2011) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2011A Cross-Sectional Score for the Relative Performance of an Allocation.(2011) In: PSE-Ecole d'économie de Paris (Postprint).
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2015A Rank-based Approach to Cross-Sectional Analysis In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper0
2015A Rank-based Approach to Cross-Sectional Analysis.(2015) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
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: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
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 nother 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]		paper2
2012Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach.(2012) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
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 nother version. Agregated cites: 2		paper
2012Cross-Sectional Analysis through Rank-based Dynamic Portfolios In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper0
2012Cross-Sectional Analysis through Rank-based Dynamic Portfolios.(2012) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
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: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2013Understanding Exchange Rates Dynamics.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has nother 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: Post-Print.
[Full Text][Citation analysis]
This paper has nother 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.
[Citation analysis]
This paper has nother 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 nother 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]		paper5
2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone.(2016) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		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.
[Citation analysis]
This paper has nother version. Agregated cites: 5		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 nother version. Agregated cites: 5		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: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
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 nother version. Agregated cites: 0		paper
2020A Meta-Measure of Performance related to Charactersitics of both Investors and Investments In: Post-Print.
[Citation analysis]		paper0
2021A meta-measure of performance related to both investors and investments characteristics In: Post-Print.
[Citation analysis]		paper0
2022A meta-measure of performance related to both investors and investments characteristics.(2022) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
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
2022Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case In: The Journal of Real Estate Finance and Economics.
[Full Text][Citation analysis]		article2
2020Buildings Energy Efficiency and the Probability of Mortgage Default: The Dutch Case.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2019Buildings energy efficiency and the probability of mortgage default: The Dutch case.(2019) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
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 Working Papers.
[Full Text][Citation analysis]		paper81
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 nother version. Agregated cites: 0		paper
2003Kernel-Based Indirect Inference In: The Journal of Financial Econometrics.
[Citation analysis]		article10
2020Modeling Turning Points In Global Equity Market In: DEM Working Papers Series.
[Full Text][Citation analysis]		paper0
2014A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation In: Bankers, Markets & Investors.
[Full Text][Citation analysis]		article1
2005Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article64
2006Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation In: Applied Financial Economics Letters.
[Full Text][Citation analysis]		article103
2020On the role of domestic and international financial cyclical factors in driving economic growth In: Applied Economics.
[Full Text][Citation analysis]		article2
2000Combining forecasts: some results on exchange and interest rates In: The European Journal of Finance.
[Full Text][Citation analysis]		article3
2015Granger-causality in Markov switching models In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article6
2006Granger-causality in Markov Switching Models.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2023Bayesian Dynamic Tensor Regression In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2018Bayesian Dynamic Tensor Regression.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		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]		paper4
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]		paper29
2016Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov?Switching VAR Model.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		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]		paper16
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 nother version. Agregated cites: 16		article
2006Phase-Locking and Switching Volatility in Hedge Funds In: Working Papers.
[Full Text][Citation analysis]		paper2
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]		paper26
2007Bayesian Inference on Dynamic Models with Latent Factors In: Working Papers.
[Full Text][Citation analysis]		paper2
2008Crisis and Hedge Fund Risk In: Working Papers.
[Full Text][Citation analysis]		paper1
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		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]		paper94
2016Bayesian Graphical Models for STructural Vector Autoregressive Processes.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		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]		paper4
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]		paper14
2015Measuring Financial Integration: Lessons from the Correlation In: Working Papers.
[Full Text][Citation analysis]		paper4
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]		paper12
2020Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2018Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2016Bayesian nonparametric sparse seemingly unrelated regression model (SUR) In: Working Papers.
[Full Text][Citation analysis]		paper1
2018Bayesian Markov Switching Tensor Regression for Time-varying Networks In: Working Papers.
[Full Text][Citation analysis]		paper0
2020The importance of compound risk in the nexus of COVID-19, climate change and finance In: Working Papers.
[Full Text][Citation analysis]		paper3
2020Inside the ESG Ratings: (Dis)agreement and performance In: Working Papers.
[Full Text][Citation analysis]		paper26
2021Inside the ESG ratings: (Dis)agreement and performance.(2021) In: Corporate Social Responsibility and Environmental Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2020Inside the ESG ratings: (Dis)agreement and performance.(2020) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2021Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2021Global realignment in financial market dynamics: Evidence from ETF networks In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper1
2022Sustainable finance: A journey toward ESG and climate risk In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0
2022Creditworthiness and buildings energy efficiency in the Italian mortgage market In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team