Monica Billio

According to our database, Monica Billio authored at least 14 papers between 2005 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

Correction to: A meta-measure of performance related to both investors and investments characteristics.

Monica Billio, Bertrand Maillet, Loriana Pelizzon

Ann. Oper. Res., January, 2024

2022

High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization.

Monica Billio, Lorenzo Frattarolo, Dominique Guégan

Symmetry, 2022

A meta-measure of performance related to both investors and investments characteristics.

Monica Billio, Bertrand Maillet, Loriana Pelizzon

Ann. Oper. Res., 2022

2021

A Matrix-Variate t Model for Networks.

Monica Billio, Roberto Casarin, Michele Costola, Matteo Iacopini

Frontiers Artif. Intell., 2021

2016

Validating Markov Switching VAR Through Spectral Representations.

Monica Billio, Maddalena Cavicchioli

Proceedings of the Causal Inference in Econometrics, 2016

Efficient Gibbs sampling for Markov switching GARCH models.

Monica Billio, Roberto Casarin, Anthony Osuntuyi

Comput. Stat. Data Anal., 2016

2014

CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue.

Erricos John Kontoghiorghes, Herman K. van Dijk, David A. Belsley, Tim Bollerslev, Francis X. Diebold, Jean-Marie Dufour, Robert F. Engle, Andrew Harvey, Siem Jan Koopman, Hashem Pesaran, Peter C. B. Phillips, Richard J. Smith, Mike West, Qiwei Yao, Alessandra Amendola, Monica Billio, Cathy W. S. Chen, Carl Chiarella, Ana Colubi, Manfred Deistler, Christian Francq, Marc Hallin, Eric Jacquier, Kenneth Judd, Gary Koop, Helmut Lütkepohl, James G. MacKinnon, Stefan Mittnik, Yasuhiro Omori, D. S. G. Pollock, Tommaso Proietti, Jeroen V. K. Rombouts, Olivier Scaillet, Willi Semmler, Mike K. P. So, Mark F. J. Steel, Robert Taylor, Elias Tzavalis, Jean-Michel Zakoian, H. Peter Boswijk, Alessandra Luati, John M. Maheu

Comput. Stat. Data Anal., 2014

The univariate MT-STAR model and a new linearity and unit root test procedure.

Peter Martey Addo, Monica Billio, Dominique Guégan

Comput. Stat. Data Anal., 2014

2012

Dynamic risk exposures in hedge funds.

Monica Billio, Mila Getmansky, Loriana Pelizzon

Comput. Stat. Data Anal., 2012

The Annals of Computational and Financial Econometrics, first issue.

David A. Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Luc Bauwens, Siem Jan Koopman, Michael McAleer, Alessandra Amendola, Monica Billio, Christophe Croux, Cathy W. S. Chen, Russell Davidson, Pierre Duchesne, Paolo Foschi, Christian Francq, Ana-María Fuertes, Gary Koop, Lynda Khalaf, Marc S. Paolella, D. S. G. Pollock, Esther Ruiz, Richard Paap, Tommaso Proietti, Peter Winker, Philip L. H. Yu, Jean-Michel Zakoian, Achim Zeileis

Comput. Stat. Data Anal., 2012

2011

Portfolio symmetry and momentum.

Monica Billio, Ludovic Calès, Dominique Guégan

Eur. J. Oper. Res., 2011

2010

Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion.

Monica Billio, Massimiliano Caporin

Comput. Stat. Data Anal., 2010

2009

A generalized Dynamic Conditional Correlation model for portfolio risk evaluation.

Monica Billio, Massimiliano Caporin

Math. Comput. Simul., 2009

2005

Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis.

Monica Billio, Massimiliano Caporin

Stat. Methods Appl., 2005