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ORCIDMonica Billio
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- affiliation: Ca' Foscari Università Venezia
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2020 – today
- 2024
[j13]Monica Billio, Bertrand Maillet
, Loriana Pelizzon:
Correction to: A meta-measure of performance related to both investors and investments characteristics. Ann. Oper. Res. 332(1): 1271 (2024)- 2022
- [j12]Monica Billio, Bertrand Maillet, Loriana Pelizzon:
A meta-measure of performance related to both investors and investments characteristics. Ann. Oper. Res. 313(2): 1405-1447 (2022) - [j11]Monica Billio, Lorenzo Frattarolo, Dominique Guégan:
High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization. Symmetry 14(1): 97 (2022) - 2021
- [j10]Monica Billio, Roberto Casarin, Michele Costola, Matteo Iacopini:
A Matrix-Variate t Model for Networks. Frontiers Artif. Intell. 4: 674166 (2021)
2010 – 2019
- 2016
- [j9]Monica Billio, Roberto Casarin, Anthony Osuntuyi:
Efficient Gibbs sampling for Markov switching GARCH models. Comput. Stat. Data Anal. 100: 37-57 (2016) - [p1]Monica Billio, Maddalena Cavicchioli:
Validating Markov Switching VAR Through Spectral Representations. Causal Inference in Econometrics 2016: 3-15 - 2014
- [j8]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:
CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. Comput. Stat. Data Anal. 76: 1-3 (2014) - [j7]Peter Martey Addo, Monica Billio, Dominique Guégan:
The univariate MT-STAR model and a new linearity and unit root test procedure. Comput. Stat. Data Anal. 76: 4-19 (2014) - 2012
- [j6]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:
The Annals of Computational and Financial Econometrics, first issue. Comput. Stat. Data Anal. 56(11): 2991-2992 (2012) - [j5]Monica Billio, Mila Getmansky, Loriana Pelizzon:
Dynamic risk exposures in hedge funds. Comput. Stat. Data Anal. 56(11): 3517-3532 (2012) - 2011
- [j4]Monica Billio, Ludovic Calès, Dominique Guégan:
Portfolio symmetry and momentum. Eur. J. Oper. Res. 214(3): 759-767 (2011) - 2010
- [j3]Monica Billio, Massimiliano Caporin:
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion. Comput. Stat. Data Anal. 54(11): 2443-2458 (2010)
2000 – 2009
- 2009
- [j2]Monica Billio, Massimiliano Caporin:
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation. Math. Comput. Simul. 79(8): 2566-2578 (2009) - 2005
- [j1]Monica Billio, Massimiliano Caporin:
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. Stat. Methods Appl. 14(2): 145-161 (2005)
Coauthor Index
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