20
H index
30
i10 index
2461
Citations
Università Ca' Foscari Venezia | 20 H index 30 i10 index 2461 Citations RESEARCH PRODUCTION: 52 Articles 143 Papers 4 Chapters RESEARCH ACTIVITY: 26 years (1998 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pbi55 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Monica Billio. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 5 |
Computational Statistics & Data Analysis | 4 |
Econometrics and Statistics | 3 |
Journal of Banking & Finance | 3 |
The North American Journal of Economics and Finance | 2 |
Energy Economics | 2 |
Year | Title of citing document | |
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2023 | The 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 | |
2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper | |
2023 | Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662. Full description at Econpapers || Download paper | |
2023 | Portfolio 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 | |
2024 | Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925. Full description at Econpapers || Download paper | |
2023 | A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997. Full description at Econpapers || Download paper | |
2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper | |
2023 | Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434. Full description at Econpapers || Download paper | |
2023 | A 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 | |
2024 | Co-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 | |
2023 | Company 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 | |
2023 | Efficient 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 | |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper | |
2023 | Statistical 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 | |
2024 | Shifting 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 | |
2023 | Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418. Full description at Econpapers || Download paper | |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper | |
2023 | Portfolio 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 | |
2023 | Vector 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 | |
2023 | Bayesian 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 | |
2024 | Estimating 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 | |
2024 | Can we hedge carbon risk? A network embedding approach. (2023). Pocelli, Maria Chiara ; Azzone, Michele ; Stocco, Davide. In: Papers. RePEc:arx:papers:2311.12450. Full description at Econpapers || Download paper | |
2024 | Randomized Control in Performance Analysis and Empirical Asset Pricing. (2024). Tsigaridas, Elias ; Fisikopoulos, Vissarion ; Chalkis, Apostolos ; Bachelard, Cyril. In: Papers. RePEc:arx:papers:2403.00009. Full description at Econpapers || Download paper | |
2024 | Macroeconomic Spillovers of Weather Shocks across U.S. States. (2024). Moramarco, Graziano ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:2403.10907. Full description at Econpapers || Download paper | |
2024 | Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price. (2024). Wu, Boyao ; Huang, Difang ; Zheng, Lifen ; Li, Nan ; Chen, Muzi. In: Papers. RePEc:arx:papers:2403.19363. Full description at Econpapers || Download paper | |
2024 | Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy. (2024). Huang, Difang ; Wu, Boyao ; Wang, Yuhang ; Chen, Muzi. In: Papers. RePEc:arx:papers:2403.19439. Full description at Econpapers || Download paper | |
2024 | Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335. Full description at Econpapers || Download paper | |
2024 | Financial risk under the shock of global warming: Evidence from China. (2024). Hao, YU ; Li, Lianqing ; Gao, Zhiyuan. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:2:p:335-351. Full description at Econpapers || Download paper | |
2024 | Anatomy 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. Full description at Econpapers || Download paper | |
2023 | Can “Concerted†Macroprudential Policies Mitigate Cross?border Contagion of Financial Risks? Evidence from China and Its Financially Connected Economies. (2021). Chen, Xiaoli ; Liu, Xiaoyu. In: China & World Economy. RePEc:bla:chinae:v:29:y:2021:i:3:p:26-54. Full description at Econpapers || Download paper | |
2023 | An 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 | |
2024 | Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets. (2024). Mateus, Irina ; Bagirov, Miramir. In: International Review of Finance. RePEc:bla:irvfin:v:24:y:2024:i:1:p:83-103. Full description at Econpapers || Download paper | |
2023 | Bank 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 | Fire?Sale Spillovers in Debt Markets. (2021). Hortasu, Ali ; Falato, Antonio ; Shin, Chae Hee ; Li, Dan. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3055-3102. Full description at Econpapers || Download paper | |
2023 | Modelling of Economic and Financial Conditions for Real?Time Prediction of Recessions. (2021). Çakmaklı, Cem ; Altug, Sumru ; Ircani, Hamza Dem. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:663-685. Full description at Econpapers || Download paper | |
2023 | Where 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 | |
2023 | Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765. Full description at Econpapers || Download paper | |
2023 | Quantifying 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 | |
2023 | New evidence on financial integration in Latin America. (2023). Jouini, Jamel. In: Economics Bulletin. RePEc:ebl:ecbull:eb-23-00467. Full description at Econpapers || Download paper | |
2023 | Density 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 | |
2023 | Measuring 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 | |
2023 | Loss 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 | |
2024 | Dynamics of momentum in financial markets based on the information diffusion in complex social networks. (2024). Yang, Haijun ; Huang, Weihua ; Xia, Wei ; Cai, Xing. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000121. Full description at Econpapers || Download paper | |
2024 | Examining the bidirectional ripple effects in the NFT markets: Risky center or hedging center?. (2024). Rauf, Abdul ; Du, Yuting ; Naeem, Muhammad Abubakr ; Zhang, XU. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000194. Full description at Econpapers || Download paper | |
2023 | Volatility 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 | |
2023 | A 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 | |
2024 | Generalized latent space model for one-mode networks with awareness of two-mode networks. (2024). Qin, Ruixuan ; Pu, Dan ; Fang, Kuangnan. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:193:y:2024:i:c:s0167947323002268. Full description at Econpapers || Download paper | |
2023 | A 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 | |
2023 | Beyond distance: The spatial relationships of European regional economic growth. (2023). Glocker, Christian ; Krisztin, Tamas ; Piribauer, Philipp. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:155:y:2023:i:c:s0165188923001410. Full description at Econpapers || Download paper | |
2023 | The 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 | |
2023 | Asymmetric 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 | |
2023 | Interconnectedness 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 | |
2023 | How 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 | |
2023 | Frequency 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 | |
2023 | Systemic 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 | |
2023 | Drivers of risk correlation among financial institutions: A study based on a textual risk disclosure perspective. (2023). Feng, Yuyao ; Li, Jingyu ; Jing, Zhongbo. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002808. Full description at Econpapers || Download paper | |
2023 | Sustainable investment under ESG volatility and ambiguity. (2023). Yan, Qianhui ; Shan, Xun ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002833. Full description at Econpapers || Download paper | |
2023 | ESG rating confusion and bond spreads. (2023). Yan, Jingzhou ; Zou, Jin ; Deng, Guoying. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s026499932300367x. Full description at Econpapers || Download paper | |
2023 | Building 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 | |
2023 | The 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 | |
2023 | Analyzing 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 | |
2023 | How 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 | |
2023 | Spillover 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 | |
2023 | Cross-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 | |
2023 | The 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 | |
2024 | Risk 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. Full description at Econpapers || Download paper | |
2024 | Clustering effects and evolution of the global major 10-year government bond market structure: A network perspective. (2024). Peng, Hongjuan ; Tang, Pan ; Zhang, Ditian ; Zhuang, Yangyang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001870. Full description at Econpapers || Download paper | |
2024 | How 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. Full description at Econpapers || Download paper | |
2023 | High-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 | |
2023 | Reprint 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 | |
2023 | Shrinkage 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 | |
2023 | Model 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 | |
2023 | On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates. (2023). Zhang, Boyuan ; Shin, Minchul ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001464. Full description at Econpapers || Download paper | |
2023 | A flexible predictive density combination for large financial data sets in regular and crisis periods. (2023). Casarin, Roberto ; Grassi, Stefano ; van Dijk, Herman K ; Ravazzolo, Francesco. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002093. Full description at Econpapers || Download paper | |
2024 | High 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. Full description at Econpapers || Download paper | |
2024 | Industrial 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. Full description at Econpapers || Download paper | |
2023 | Hedging 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 | |
2024 | A simulation-based method for estimating systemic risk measures. (2024). Chen, Pengzhan ; Zhou, YI ; Ye, Wuyi ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324. Full description at Econpapers || Download paper | |
2024 | Persistence in financial connectedness and systemic risk. (2024). BarunÃk, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407. Full description at Econpapers || Download paper | |
2024 | Distributed mean reversion online portfolio strategy with stock network. (2024). Li, Hongyi ; Xu, Weijun ; Zhong, Yannan. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1143-1158. Full description at Econpapers || Download paper | |
2023 | Margin 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 | |
2023 | Determinants 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 | |
2023 | Systemic 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 | |
2023 | Can 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 | |
2023 | A 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 | |
2024 | Enforcement 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. Full description at Econpapers || Download paper | |
2023 | Multilayer 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 | |
2023 | A 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 | |
2023 | The risk spillover of high carbon enterprises in China: Evidence from the stock market. (2023). Yin, Hua ; Zhu, Pingheng ; Wu, Baohui ; Wen, Fenghua. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004371. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2019 | Opinion Dynamics and Disagreements on Financial Networks In: Advances in Decision Sciences. [Full Text][Citation analysis] | article | 1 |
2018 | Bayesian nonparametric sparse VAR models In: Papers. [Full Text][Citation analysis] | paper | 20 |
2019 | Bayesian nonparametric sparse VAR models.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
2020 | The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach In: Papers. [Full Text][Citation analysis] | paper | 6 |
2021 | The 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: 6 | paper | |
2021 | COVID-19 spreading in financial networks: A semiparametric matrix regression model In: Papers. [Full Text][Citation analysis] | paper | 5 |
2024 | COVID-19 spreading in financial networks: A semiparametric matrix regression model.(2024) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
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2011 | Combining 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 | |
2012 | Combining 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 | |
2012 | Combination schemes for turning point predictions In: Working Paper. [Full Text][Citation analysis] | paper | 28 |
2012 | Combination 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: 28 | article | |
2011 | Combination Schemes for Turning Point Predictions.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
2012 | Combination schemes for turning point predictions.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
2013 | Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model In: Working Paper. [Full Text][Citation analysis] | paper | 10 |
2014 | Interactions 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: 10 | paper | |
2014 | Interactions 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: 10 | paper | |
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2012 | Efficient Gibbs Sampling for Markov Switching GARCH Models.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2010 | Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 66 |
2007 | Market 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: 66 | paper | |
2012 | Dynamic risk exposures in hedge funds In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 34 |
2007 | Dynamic Risk Exposure in Hedge Funds.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
2014 | The univariate MT-STAR model and a new linearity and unit root test procedure In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 4 |
2014 | The 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 | |
2014 | The 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 | |
2014 | The 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 | |
2013 | Nonlinear dynamics and recurrence plots for detecting financial crisis In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 32 |
2013 | Nonlinear 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: 32 | paper | |
2013 | Nonlinear 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: 32 | paper | |
2013 | Nonlinear dynamics and recurrence plots for detecting financial crisis.(2013) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
2013 | Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis.(2013) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
2013 | Nonlinear 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: 32 | paper | |
2013 | Nonlinear 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: 32 | paper | |
2015 | Backward/forward optimal combination of performance measures for equity screening In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 7 |
2012 | Backward/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 | |
2013 | Time-varying combinations of predictive densities using nonlinear filtering In: Journal of Econometrics. [Full Text][Citation analysis] | article | 106 |
2012 | Time-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: 106 | paper | |
2019 | Modeling systemic risk with Markov Switching Graphical SUR models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 20 |
2018 | Modeling Systemic Risk with Markov Switching Graphical SUR Models.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
1999 | Bayesian estimation of switching ARMA models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
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2016 | Networks in risk spillovers: a multivariate GARCH perspective.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2020 | Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2018 | Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2024 | Modeling Turning Points in the Global Equity Market In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 0 |
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2011 | Portfolio symmetry and momentum In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 5 |
2009 | Portfolio 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: 5 | paper | |
2011 | Portfolio 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: 5 | paper | |
2009 | Portfolio Symmetry and Momentum.(2009) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2011 | Portfolio Symmetry and Momentum.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2011 | Portfolio Symmetry and Momentum.(2011) In: PSE-Ecole d'économie de Paris (Postprint). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2009 | Portfolio 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: 5 | paper | |
2009 | Portfolio Symmetry and Momentum.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2000 | Value-at-Risk: a multivariate switching regime approach In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 62 |
2024 | Learning from experts: Energy efficiency in residential buildings In: Energy Economics. [Full Text][Citation analysis] | article | 0 |
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2018 | Markov switching GARCH models for Bayesian hedging on energy futures markets In: Energy Economics. [Full Text][Citation analysis] | article | 27 |
2014 | Markov 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: 27 | paper | |
2016 | An entropy-based early warning indicator for systemic risk In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 23 |
2015 | An entropy-based early warning indicator for systemic risk.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2023 | Complexity and the default risk of mortgage-backed securities In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
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2017 | Which market integration measure? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 43 |
2016 | Which market integration measure?.(2016) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 43 | paper | |
2003 | Contagion and interdependence in stock markets: Have they been misdiagnosed? In: Journal of Economics and Business. [Full Text][Citation analysis] | article | 67 |
2012 | Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1183 |
2010 | Econometric 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: 1183 | chapter | |
2011 | Econometric 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: 1183 | paper | |
2009 | A generalized Dynamic Conditional Correlation model for portfolio risk evaluation In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 44 |
2006 | A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
2003 | Volatility and shocks spillover before and after EMU in European stock markets In: Journal of Multinational Financial Management. [Full Text][Citation analysis] | article | 48 |
2023 | The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 9 |
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2019 | Credit Scoring in SME Asset-Backed Securities: An Italian Case Study In: JRFM. [Full Text][Citation analysis] | article | 7 |
2019 | Credit 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: 7 | paper | |
2013 | Evaluation 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] | paper | 6 |
2013 | Evaluation 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 | |
2014 | Nonlinear Dynamics and Wavelets for Business Cycle Analysis In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 5 |
2014 | Nonlinear Dynamics and Wavelets for Business Cycle Analysis.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2014 | Nonlinear 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: 5 | paper | |
2014 | Nonlinear 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: 5 | chapter | |
2014 | Turning point chronology for the euro area: A distance plot approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 4 |
2014 | Turning 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 | |
2014 | Turning 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 | |
2014 | Turning 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 | |
2017 | Dynamical Interaction between Financial and Business Cycles In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 2 |
2017 | Dynamical Interaction between Financial and Business Cycles.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2017 | Dynamical Interaction Between Financial and Business Cycles.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2022 | High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
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2009 | Evaluation 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] | paper | 0 |
2009 | Evaluation 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 | |
2009 | Evaluation 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 | |
2010 | A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
2010 | A 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 | |
2010 | A 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 | |
2010 | A Cross-Sectional Performance Measure for Portfolio Management In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
2010 | A Cross-Sectional Performance Measure for Portfolio Management.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2010 | A 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 | |
2011 | A Cross-Sectional Score for the Relative Performance of an Allocation In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 6 |
2011 | A Cross-Sectional Score for the Relative Performance of an Allocation.(2011) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2011 | A 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: 6 | paper | |
2015 | A Rank-based Approach to Cross-Sectional Analysis In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
2015 | A Rank-based Approach to Cross-Sectional Analysis.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2011 | A test for a new modelling : The Univariate MT-STAR Model In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 1 |
2011 | A 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 | |
2011 | A 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 | |
2012 | Alternative 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] | paper | 2 |
2012 | Alternative 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 | |
2012 | Alternative 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 | |
2012 | Cross-Sectional Analysis through Rank-based Dynamic Portfolios In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
2012 | Cross-Sectional Analysis through Rank-based Dynamic Portfolios.(2012) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2013 | Understanding Exchange Rates Dynamics In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 8 |
2013 | Understanding Exchange Rates Dynamics.(2013) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2013 | Understanding 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 | |
2013 | Turning point chronology for the Euro-Zone: A Distance Plot Approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
2013 | Turning 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 | |
2013 | Turning 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 | |
2013 | Turning 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 | |
2016 | Clustering 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] | paper | 6 |
2016 | Clustering 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: 6 | paper | |
2016 | Clustering 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: 6 | paper | |
2016 | Clustering 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: 6 | paper | |
2017 | Multivariate Reflection Symmetry of Copula Functions In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
2017 | Multivariate Reflection Symmetry of Copula Functions.(2017) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2017 | Multivariate 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 | |
2021 | A meta-measure of performance related to both investors and investments characteristics In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
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2022 | A 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 | |
2010 | Identifying 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] | article | 6 |
2022 | Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] | article | 3 |
2020 | Buildings 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: 3 | paper | |
2019 | Buildings 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: 3 | paper | |
2013 | A New Modelling Test: The Univariate MT-STAR Model In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] | paper | 1 |
2013 | Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] | paper | 1 |
2012 | Cross-Sectional Analysis through Rank-based Dynamic In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] | paper | 0 |
2014 | Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area In: Rivista italiana degli economisti. [Full Text][Citation analysis] | article | 0 |
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2003 | Kernel-Based Indirect Inference In: Journal of Financial Econometrics. [Citation analysis] | article | 10 |
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2008 | Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
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2007 | Stochastic optimization for allocation problems with shortfall risk constraints.(2007) In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
2006 | Phase-Locking and Switching Volatility in Hedge Funds In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
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2012 | Bayesian Graphical Models for Structural Vector Autoregressive Processes In: Working Papers. [Full Text][Citation analysis] | paper | 104 |
2016 | Bayesian Graphical Models for STructural Vector Autoregressive Processes.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 104 | article | |
2012 | CDS Industrial Sector Indices, credit and liquidity risk In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2013 | �Markov Switching Models for Volatility: Filtering, Approximation and Duality� In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Growth-cycle phases in China�s provinces: A panel Markov-switching approach In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Sparse Graphical Vector Autoregression: A Bayesian Approach In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2015 | Measuring Financial Integration: Lessons from the Correlation In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2016 | Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Bayesian nonparametric sparse seemingly unrelated regression model (SUR) In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | The importance of compound risk in the nexus of COVID-19, climate change and finance In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2020 | Inside the ESG Ratings: (Dis)agreement and performance In: Working Papers. [Full Text][Citation analysis] | paper | 55 |
2021 | Inside 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: 55 | article | |
2020 | Inside the ESG ratings: (Dis)agreement and performance.(2020) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 55 | paper | |
2021 | Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case In: Dependence Modeling. [Full Text][Citation analysis] | article | 0 |
2024 | Unpacking the ESG ratings: Does one size fit all? In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2021 | Global realignment in financial market dynamics: Evidence from ETF networks In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2022 | Sustainable finance: A journey toward ESG and climate risk In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2022 | Creditworthiness and buildings energy efficiency in the Italian mortgage market In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
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