Monica Billio : Citation Profile

Università Ca' Foscari Venezia

22

H index

32

i10 index

2794

Citations

RESEARCH PRODUCTION:

61

Articles

146

Papers

4

Chapters

RESEARCH ACTIVITY:

   27 years (1998 - 2025). See details.
   Cites by year: 103
   Journals where Monica Billio has often published
   Relations with other researchers
   Recent citing documents: 356.    Total self citations: 100 (3.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbi55
   Updated: 2025-12-13    RAS profile: 2025-09-07    
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Relations with other researchers

Works with:

Casarin, Roberto (13)

Pelizzon, Loriana (13)

Dufour, Alfonso (4)

Riedel, Max (3)

Caporin, Massimiliano (3)

Osuntuyi, Ayokunle (2)

Ahelegbey, Daniel Felix (2)

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

Is cited by:

Giudici, Paolo (65)

Ahelegbey, Daniel Felix (64)

Casarin, Roberto (52)

Ravazzolo, Francesco (38)

Caporin, Massimiliano (37)

Ferrara, Laurent (33)

Napoletano, Mauro (22)

Aastveit, Knut Are (21)

Addo, Peter Martey (21)

Guerini, Mattia (20)

Wang, Gang-Jin (20)

Cites to:

Casarin, Roberto (63)

Hamilton, James (42)

Diebold, Francis (37)

Pelizzon, Loriana (36)

Ravazzolo, Francesco (36)

Lo, Andrew (31)

van Dijk, Herman (28)

Engle, Robert (25)

Bekaert, Geert (23)

Harding, Don (23)

pagan, adrian (23)

Main data

Where Monica Billio has published?

Journals with more than one article published# docs
Journal of Econometrics5
Computational Statistics & Data Analysis4
Econometrics and Statistics3
Annals of Operations Research3
Journal of Banking & Finance3
Journal of Applied Econometrics2
Energy Economics2
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"41
Post-Print / HAL24
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL22
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne16
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE11
Tinbergen Institute Discussion Papers / Tinbergen Institute7
PSE-Ecole d'conomie de Paris (Postprint) / HAL6
Papers / arXiv.org4
Working Papers / University of Brescia, Department of Economics3
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 (2025 and 2024)

YearTitle of citing document
2025Multivariate Granger causality between financial markets: Evidence from US, Europe, Asia and Emerging market. (2025). Enow, Samuel Tabot. In: International Journal of Business Ecosystem & Strategy (2687-2293). RePEc:adi:ijbess:v:7:y:2025:i:2:p:270-275.

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2024Macroeconomic Spillovers of Weather Shocks across U.S. States. (2024). Moramarco, Graziano ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: FEEM Working Papers. RePEc:ags:feemwp:343506.

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2024Value Relevance of Accounting Information in Uncertain Economic Policy Context: Evidence from Tunisia. (2024). Khaldi, Hejer ; Hamama, Feten. In: Journal of Accounting and Management Information Systems. RePEc:ami:journl:v:23:y:2024:i:3:p:570-595.

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2025Factor Network Autoregressions. (2025). Moramarco, Graziano ; Cavaliere, Giuseppe ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

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2025A Dynamic Stochastic Block Model for Multi-Layer Networks. (2022). Casarin, Roberto ; L'Opez, Ovielt Baltodano. In: Papers. RePEc:arx:papers:2209.09354.

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2025A Comprehensive Survey on Enterprise Financial Risk Analysis from Big Data Perspective. (2025). Zhao, YU ; Du, Huaming. In: Papers. RePEc:arx:papers:2211.14997.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382.

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2024Shifting Cryptocurrency Influence: A High-Resolution Network Analysis of Market Leaders. (2024). Chava, Sudheer ; Hiray, Arnav ; Shah, Agam. In: Papers. RePEc:arx:papers:2307.16874.

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2024Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218.

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2024Hedging carbon risk with a network approach. (2024). Azzone, Michele ; Pocelli, Maria Chiara ; Stocco, Davide. In: Papers. RePEc:arx:papers:2311.12450.

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2025Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?. (2025). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2402.02482.

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2024Randomized Control in Performance Analysis and Empirical Asset Pricing. (2024). Fisikopoulos, Vissarion ; Tsigaridas, Elias ; Bachelard, Cyril ; Chalkis, Apostolos. In: Papers. RePEc:arx:papers:2403.00009.

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2025Macroeconomic Spillovers of Weather Shocks across U.S. States. (2024). Moramarco, Graziano ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:2403.10907.

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2024Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price. (2024). Li, Nan ; Chen, Muzi ; Zheng, Lifen ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2403.19363.

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2024Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy. (2024). Wang, Yuhang ; Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2403.19439.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach. (2024). Wilms, Ines ; Hecq, Alain ; Ricardo, Ivan. In: Papers. RePEc:arx:papers:2407.07973.

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2025Global Balance and Systemic Risk in Financial Correlation Networks. (2024). Grassi, Rosanna ; Uberti, Pierpaolo ; Bartesaghi, Paolo ; Diaz-Diaz, Fernando. In: Papers. RePEc:arx:papers:2407.14272.

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2024Bayesian modelling of VAR precision matrices using stochastic block networks. (2024). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Scheckel, Tobias. In: Papers. RePEc:arx:papers:2407.16349.

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2024Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression. (2024). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2408.12210.

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2024Hidden Markov graphical models with state-dependent generalized hyperbolic distributions. (2024). Petrella, Lea ; Merlo, Luca ; Foroni, Beatrice. In: Papers. RePEc:arx:papers:2412.03668.

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2024Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. (2024). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2412.05664.

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2025Copula Central Asymmetry of Equity Portfolios. (2025). Frattarolo, Lorenzo. In: Papers. RePEc:arx:papers:2501.00634.

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2025A mixture transition distribution approach to portfolio optimization. (2025). Petroni, Filippo ; Galati, Luca ; de Blasis, Riccardo. In: Papers. RePEc:arx:papers:2501.04646.

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2025Follow the Leader: Enhancing Systematic Trend-Following Using Network Momentum. (2025). Ferreira, William ; Li, Linze. In: Papers. RePEc:arx:papers:2501.07135.

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2025Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Barigozzi, Matteo ; Trapin, Luca. In: Papers. RePEc:arx:papers:2502.04112.

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2025Systemic Risk and Default Cascades in Global Equity Markets: Extending the Gai-Kapadia Framework with Stochastic Simulations and Network Analysis. (2025). , Ana. In: Papers. RePEc:arx:papers:2504.01969.

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2025Systemic Risk in the European Insurance Sector. (2025). Borri, Nicola ; di Giorgio, Giorgio ; Consiglio, Andrea ; Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:2505.02635.

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2025Predicting Financial Market Crises using Multilayer Network Analysis and LSTM-based Forecasting of Spillover Effects. (2025). Sefidi, Mahdi Kohan. In: Papers. RePEc:arx:papers:2505.11019.

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2025Hierarchical Representations for Evolving Acyclic Vector Autoregressions (HEAVe). (2025). Cornell, Cameron ; Roughan, Matthew ; Mitchell, Lewis. In: Papers. RePEc:arx:papers:2505.12806.

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2025From Data Acquisition to Lag Modeling: Quantitative Exploration of A-Share Market with Low-Coupling System Design. (2025). Fang, Jianyong ; Wu, Sitong ; Tong, Junfan. In: Papers. RePEc:arx:papers:2506.19255.

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2025Detecting Fraud in Financial Networks: A Semi-Supervised GNN Approach with Granger-Causal Explanations. (2025). Boersma, Marcel ; Acar, Erman ; Nguyen, Linh. In: Papers. RePEc:arx:papers:2507.01980.

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2025Multi-Scale Network Dynamics and Systemic Risk: A Model Context Protocol Approach to Financial Markets. (2025). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2507.08065.

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2025Mapping Microscopic and Systemic Risks in TradFi and DeFi: a literature review. (2025). Vivo, Pierpaolo ; Caccioli, Fabio ; Bartolucci, Silvia ; Aufiero, Sabrina. In: Papers. RePEc:arx:papers:2508.12007.

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2025A Heterogeneous Spatiotemporal GARCH Model: A Predictive Framework for Volatility in Financial Networks. (2025). Aouri, Atika ; Otto, Philipp. In: Papers. RePEc:arx:papers:2508.20101.

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2025Large Language Models and Futures Price Factors in China. (2025). Zhou, Heyang ; Cheng, Yuhan ; Liu, Yanchu. In: Papers. RePEc:arx:papers:2509.23609.

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2025Does FOMC Tone Really Matter? Statistical Evidence from Spectral Graph Network Analysis. (2025). Choi, Jaeho ; Chung, Seyoung ; Kim, Jaewon ; Lee, Yoonsoo. In: Papers. RePEc:arx:papers:2510.02705.

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2025Network Contagion Dynamics in European Banking: A Navier-Stokes Framework for Systemic Risk Assessment. (2025). Kikuchi, Tatsuru. In: Papers. RePEc:arx:papers:2510.19630.

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2025Market-Implied Sustainability: Insights from Funds Portfolio Holdings. (2025). Giacometti, Rosella ; Lauria, Davide ; Bonomelli, Marco ; Torri, Gabriele. In: Papers. RePEc:arx:papers:2510.20434.

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2025ESG Momentum in International Equity Returns and the SDG content of financial asset portfolios. (2025). Koundouri, Phoebe ; Pittis, Nikitas ; Landis, Conrad. In: DEOS Working Papers. RePEc:aue:wpaper:2523.

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2024Measuring the connectedness of the Nigerian banking network and its implications for systemic risk. (2024). Kamah, Miriam ; Riti, Joshua. In: Modern Finance. RePEc:bdy:modfin:v:2:y:2024:i:2:p:96-119:id:111.

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2024PEnvironmental Preferences and Sector Valuations. (2024). Stalla-Bourdillon, Arthur ; Jourde, Tristan. In: Working papers. RePEc:bfr:banfra:964.

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2024Financial risk under the shock of global warming: Evidence from China. (2024). Gao, Zhiyuan ; Hao, YU ; Li, Lianqing. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:2:p:335-351.

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2024Firms sustainability engagement and sustainability‐related controversies. (2024). Kotzian, Peter. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:3:p:1610-1625.

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2024ESG rating divergence and corporate green innovation. (2024). Lei, Xiaodong ; Zhou, Jian ; Yu, Jianglong. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:4:p:2911-2930.

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2024Sustainable finance disclosure regulation insights: Unveiling socially responsible funds performance during COVID‐19 pandemic and Russia–Ukraine war. (2024). Rimo, Giuseppe ; Gentile, Vincenzo ; Cosma, Simona ; Cucurachi, Paolo. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:4:p:3242-3257.

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2024Anatomy of the chimera: Environmental, Social, and Governance ratings beyond the myth. (2024). Severini, Sabrina ; Lucarelli, Caterina. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:5:p:4198-4217.

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2024“Long GFC”? The global financial crisis, health care, and COVID‐19 deaths. (2024). Wagner, Alexander ; Ongena, Steven ; Moreno, Antonio ; Veghazy, Alexia Ventula. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:2:p:865-891.

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2024Economic and financial integration, capital controls, and risk sharing. (2024). Donadelli, Michael ; Gufler, Ivan. In: Economica. RePEc:bla:econom:v:91:y:2024:i:364:p:1482-1520.

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2024Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets. (2024). Bagirov, Miramir ; Mateus, Irina. In: International Review of Finance. RePEc:bla:irvfin:v:24:y:2024:i:1:p:83-103.

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2024On the connectedness of commodity markets: A critical and selective survey of empirical studies and bibliometric analysis. (2024). USMAN, OJONUGWA ; Ağan, Büşra ; Agan, Busra ; Balcilar, Mehmet. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:97-136.

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2024When climate meets real estate: A survey of the literature. (2024). Suandi, Matthew ; Contat, Justin ; Mejia, Luis ; Hopkins, Carrie. In: Real Estate Economics. RePEc:bla:reesec:v:52:y:2024:i:3:p:618-659.

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2025More Philanthropy, More Consistency? Examining the Impact of Corporate Charitable Donations on ESG Rating Uncertainty. (2025). Yufei, Gan ; Meiyi, LI. In: Economics - The Open-Access, Open-Assessment Journal. RePEc:bpj:econoa:v:19:y:2025:i:1:p:21:n:1001.

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2025ADVANCING KNOWLEDGE IN FINANCIAL RISK MANAGEMENT: A BIBLIOMETRIC APPROACH. (2025). Spulbar, Cristi ; Dumitru, Cinciulescu ; Cristi, Spulbar. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2025:v:1:p:23-53.

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2025Evaluating the Effects of the German Debt Brake: A Synthetic Control Approach. (2025). Nientiedt, Daniel ; Feld, Lars ; Hassib, Joshua ; Langer, Maximilian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11933.

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2025Evaluating the Effects of the German Debt Brake: A Synthetic Control Approach. (2025). Nientiedt, Daniel ; Feld, Lars ; Langer, Maximilian ; Hassib, Joshua. In: CESifo Working Paper Series. RePEc:ces:ceswps:_119333.

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2025Economic Interdependencies in the Great Lakes–St. Lawrence Region: A Dynamic Analysis of Manufacturing Connectedness. (2025). Warin, Thierry ; Trpanier, Martin ; Kader, Adam Abdel. In: CIRANO Working Papers. RePEc:cir:cirwor:2025s-25.

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2025The term structure of interest rates in a noisy information model. (2025). McNeil, James ; Coulombe, Raphaelle G. In: Working Papers. RePEc:dal:wpaper:daleconwp2025-01.

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2024The euro area business cycle and its drivers. (2024). Toth, Mate ; Grigora, Veaceslav ; Warmedinger, Thomas ; Saiz, Lorena ; Stoevsky, Grigor ; Palenzuela, Diego Rodriguez. In: Occasional Paper Series. RePEc:ecb:ecbops:2024354.

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2024Tackling the volatility paradox: spillover persistence and systemic risk. (2024). Kubitza, Christian. In: Working Paper Series. RePEc:ecb:ecbwps:20242981.

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2024Research on optimization strategy of futures hedging dependent on market state. (2024). Li, Yanyan ; Yu, Xing ; Zhao, Qian. In: Applied Energy. RePEc:eee:appene:v:373:y:2024:i:c:s0306261924012686.

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2024Dynamics of momentum in financial markets based on the information diffusion in complex social networks. (2024). Cai, Xing ; Xia, Wei ; Huang, Weihua ; Yang, Haijun. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000121.

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2024Examining the bidirectional ripple effects in the NFT markets: Risky center or hedging center?. (2024). Du, Yuting ; Zhang, XU ; Naeem, Muhammad Abubakr ; Rauf, Abdul. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000194.

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2024Does every cloud (bubble) have a silver lining? An investigation of ESG financial markets. (2024). Foglia, Matteo ; Miglietta, Federica. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:42:y:2024:i:c:s2214635024000431.

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2024Generalized latent space model for one-mode networks with awareness of two-mode networks. (2024). Fan, Xinyan ; Qin, Ruixuan ; Fang, Kuangnan ; Pu, Dan. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:193:y:2024:i:c:s0167947323002268.

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2025Facilitating or inhibiting? The impact of climate policy uncertainty on enterprises ESG performance in China. (2025). Han, Qingyang ; Gao, Hongying. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:86:y:2025:i:c:p:1329-1345.

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2024Detecting statistically significant changes in connectedness: A bootstrap-based technique. (2024). Nguyen, Viet Hoang ; Kočenda, Evžen ; Greenwood-Nimmo, Matthew ; Koenda, Even. In: Economic Modelling. RePEc:eee:ecmode:v:140:y:2024:i:c:s0264999324002001.

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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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2024Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan. (2024). Ruan, Jia ; Ni, Jianhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x.

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2024Clustering effects and evolution of the global major 10-year government bond market structure: A network perspective. (2024). Zhuang, Yangyang ; Tang, Pan ; Peng, Hongjuan ; Zhang, Ditian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001870.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2024Stock market pattern recognition using symbol entropy analysis. (2024). Magner, Nicolas S ; Valle, Mauricio A ; Lavin, Jaime F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s106294082400086x.

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2024Unlocking portfolio resilient and persistent risk: A holistic approach to unveiling potential grounds. (2024). Reis, Pedro Nogueira ; Soares, Antonio Pedro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001232.

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2024Does the international oil market interact with China’s financial market? New evidence from time-varying higher moments. (2024). Liu, Xiaoxing ; Zhou, Donghai ; Tang, Chun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001177.

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2024Size and ESG premiums: Evidence from Chinese A-share market. (2024). Wu, Yanran ; Zhou, Riwang ; Zhang, Chao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001712.

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2024Network measurement and influence mechanism of dynamic risk contagion among global stock markets: Based on time-varying spillover index and complex network method. (2024). Ouyang, Haiqin ; Guan, Chao ; Yu, BO ; Lin, Binzhao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001839.

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2025Introducing a novel fragility index for assessing financial stability amid asset bubble episodes. (2025). Dumitrescu, Dan Gabriel ; Lupu, Iulia ; Clin, Adrian Cantemir. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s106294082400216x.

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2025Multiscale dynamic interdependency between China’s crude oil futures and petrochemical-related commodity futures: An integrated perspective from the industry chain system. (2025). Feng, Yun ; Yang, Jie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002213.

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2025Systemic risk and network effects in RCEP financial markets: Evidence from the TEDNQR model. (2025). Zhang, Feipeng ; Luo, Qiong ; Chen, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002420.

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2025ESG rating divergence and stock price crash risk. (2025). Ju, Chunhua ; Fang, Xusheng ; Shen, Zhonghua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002481.

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2025Economic policy uncertainty, investor sentiment and systemic financial risk: Evidence from China. (2025). Zhao, Xiaofang ; Fang, Guobin ; Zhou, Xuehua ; Ma, Huimin ; Deng, Yaoxun ; Xie, Luoyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082400281x.

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2025An early prediction model on systemic risk under global risk: Using FinBERT and temporal fusion transformer to multimodal data fusion framework. (2025). Lin, Shu-Ling ; Jin, Xiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000014.

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2025Imported risk in global financial markets: Evidence from cross-market connectedness. (2025). Ouyang, Zisheng ; Chen, Zhen ; Zhou, Xuewei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000142.

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2025Nature scenario plausibility: A dynamic Bayesian network approach. (2025). Senni, Chiara Colesanti ; Goel, Skand. In: Ecological Economics. RePEc:eee:ecolec:v:236:y:2025:i:c:s0921800925001302.

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2025Portfolio hedging through a novel equity index based on the verified emissions of EU ETS-regulated firms. (2025). Chiappari, Mattia ; Scotti, Francesco ; Flori, Andrea. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176524006165.

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2024High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times. (2024). Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000472.

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2024Scenario-based quantile connectedness of the U.S. interbank liquidity risk network. (2024). Bai, Jushan ; Ando, Tomohiro ; Vojtech, Cindy M ; Lu, Lina. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001325.

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2025Supervised factor modeling for high-dimensional linear time series. (2025). Lu, Kexin ; Huang, Feiqing ; Zheng, Yao ; Li, Guodong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000491.

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2024Industrial Connectedness and Business Cycle Comovements. (2024). Owyang, Michael ; Guisinger, Amy ; Soques, Daniel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:132-149.

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2024Contagion among European financial indices, evidence from a quantile VAR approach. (2024). Tedeschi, Marco ; Palomba, Giulio. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:2:s0939362524000050.

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2024The role of emission disclosure for the low-carbon transition. (2024). Kolb, Benedikt ; Frankovic, Ivan. In: European Economic Review. RePEc:eee:eecrev:v:167:y:2024:i:c:s0014292124001211.

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2024A simulation-based method for estimating systemic risk measures. (2024). Zhou, YI ; Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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2024Distributed mean reversion online portfolio strategy with stock network. (2024). Zhong, Yannan ; Xu, Weijun ; Li, Hongyi. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1143-1158.

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2024Enforcement actions and systemic risk. (2024). Lee, Chien-Chiang ; Tian, Yiming ; Zhang, Xiaoming. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000104.

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2024Nonlinear network connectedness: Assessing financial risk transmission in MENA and influence of external financial conditions. (2024). USMAN, OJONUGWA ; Duman, Gazi Murat ; Balcilar, Mehmet. In: Emerging Markets Review. RePEc:eee:ememar:v:62:y:2024:i:c:s1566014124000815.

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2024Connectedness and risk spillovers among sub-Saharan Africa and MENA equity markets. (2024). Marcelin, Isaac ; Lo, Gaye-Del ; Bassne, Thophile. In: Emerging Markets Review. RePEc:eee:ememar:v:63:y:2024:i:c:s1566014124000888.

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2024Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain. (2024). Chen, Ying ; Peng, Hanqiu ; Trimborn, Simon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000641.

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2024Corporate ESG rating divergence and excess stock returns. (2024). Jiao, Shuaipeng ; Wang, Haijun ; Sun, Guanglin ; Ge, Chen. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007740.

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2024Determinants and effects of country ESG controversy. (2024). Beckmann, Joscha ; Rogmann, Jennifer. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000343.

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2024Impact of climate risk on energy market risk spillover: Evidence from dynamic heterogeneous network analysis. (2024). Wang, Yuyouting ; Tian, Sihua ; Li, Shaofang ; Gu, Qinen. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004833.

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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.
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2018Bayesian nonparametric sparse VAR models In: Papers.
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2025Bayesian Outlier Detection for Matrix-variate Models In: Papers.
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2014Interconnectedness and systemic risk: hedge funds, banks, insurance companies In: BANCARIA.
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2008A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA In: Manchester School.
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2010Combining predictive densities using Bayesian filtering with applications to US economics data In: Working Paper.
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2011Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data.(2011) In: Tinbergen Institute Discussion Papers.
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2012Combining predictive densities using Bayesian filtering with applications to US economic data.(2012) In: Working Papers.
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2012Combination schemes for turning point predictions In: Working Paper.
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2012Combination schemes for turning point predictions.(2012) In: The Quarterly Review of Economics and Finance.
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2011Combination Schemes for Turning Point Predictions.(2011) In: Tinbergen Institute Discussion Papers.
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2014Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model.(2014) In: Tinbergen Institute Discussion Papers.
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2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
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2018Markov Switching Panel with Network Interaction Effects In: Working Papers.
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1998The Simulated Likelihood Ratio (SLR) Method In: Working Papers.
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1999Functional Indirect Inference In: Working Papers.
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2016Efficient Gibbs sampling for Markov switching GARCH models In: Computational Statistics & Data Analysis.
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2013Nonlinear dynamics and recurrence plots for detecting financial crisis.(2013) In: Post-Print.
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2018Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers.
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1999Bayesian estimation of switching ARMA models In: Journal of Econometrics.
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2023Networks in risk spillovers: A multivariate GARCH perspective In: Econometrics and Statistics.
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2016Networks in risk spillovers: a multivariate GARCH perspective.(2016) In: Working Papers.
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2020Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers.
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2018Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series.
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2024Modeling Turning Points in the Global Equity Market In: Econometrics and Statistics.
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2020Modeling Turning Points In Global Equity Market.(2020) In: DEM Working Papers Series.
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2011Portfolio symmetry and momentum In: European Journal of Operational Research.
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2009Portfolio Symmetry and Momentum.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Portfolio Symmetry and Momentum.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Portfolio Symmetry and Momentum.(2011) In: Post-Print.
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2011Portfolio Symmetry and Momentum.(2011) In: PSE-Ecole d'économie de Paris (Postprint).
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2009Portfolio Symmetry and Momentum.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009Portfolio Symmetry and Momentum.(2009) In: Working Papers.
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2024Learning from experts: Energy efficiency in residential buildings In: Energy Economics.
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2025The systemic risk of leveraged and covenant-lite loan syndications In: International Review of Financial Analysis.
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2025Rising tides, rising funds: Floods and climate mitigation campaigns in equity crowdfunding In: Finance Research Letters.
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2016An entropy-based early warning indicator for systemic risk In: Journal of International Financial Markets, Institutions and Money.
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2015An entropy-based early warning indicator for systemic risk.(2015) In: Working Papers.
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2023Complexity and the default risk of mortgage-backed securities In: Journal of Banking & Finance.
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2024Corrigendum to “Complexity and the default risk of mortgage-backed securities” [Journal of Banking and Finance 155 (2023) 106993].(2024) In: Journal of Banking & Finance.
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2016Which market integration measure?.(2016) In: SAFE Working Paper Series.
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2003Contagion and interdependence in stock markets: Have they been misdiagnosed? In: Journal of Economics and Business.
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2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
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2010Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Chapters.
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2011Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers.
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2025Bond supply expectations and the term structure of interest rates In: Journal of International Money and Finance.
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2009A generalized Dynamic Conditional Correlation model for portfolio risk evaluation In: Mathematics and Computers in Simulation (MATCOM).
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2006A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation.(2006) In: Working Papers.
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2003Volatility and shocks spillover before and after EMU in European stock markets In: Journal of Multinational Financial Management.
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2023The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification In: International Review of Economics & Finance.
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2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification.(2017) In: SAFE Working Paper Series.
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2022Understanding Economic Instability during the Pandemic: A Factor Model Approach In: Contributions to Economic Analysis.
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2019Credit Scoring in SME Asset-Backed Securities: An Italian Case Study In: JRFM.
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2019Credit scoring in SME asset-backed securities: An Italian case study.(2019) In: SAFE Working Paper Series.
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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).
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2022High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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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).
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2010A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios.(2010) In: Post-Print.
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2010A performance measure of Zero-dollar Long/Short equally weighted portfolios.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2010A Cross-Sectional Performance Measure for Portfolio Management In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010A Cross-Sectional Performance Measure for Portfolio Management.(2010) In: Post-Print.
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2011A Cross-Sectional Score for the Relative Performance of an Allocation In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011A Cross-Sectional Score for the Relative Performance of an Allocation.(2011) In: Post-Print.
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2011A Cross-Sectional Score for the Relative Performance of an Allocation.(2011) In: PSE-Ecole d'économie de Paris (Postprint).
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2015A Rank-based Approach to Cross-Sectional Analysis In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2015A Rank-based Approach to Cross-Sectional Analysis.(2015) In: Post-Print.
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2011A test for a new modelling : The Univariate MT-STAR Model In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011A test for a new modelling : The Univariate MT-STAR Model.(2011) In: Post-Print.
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2012Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach.(2012) In: Post-Print.
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2012Cross-Sectional Analysis through Rank-based Dynamic Portfolios In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Cross-Sectional Analysis through Rank-based Dynamic Portfolios.(2012) In: Post-Print.
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2013Understanding Exchange Rates Dynamics In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Turning point chronology for the Euro-Zone: A Distance Plot Approach.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Turning point chronology for the Euro-Zone: A Distance Plot Approach.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone.(2016) In: Post-Print.
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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.
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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.
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