All Stories

  1. Compounding geopolitical and energy risks: A clustered stochastic multi-COVOL model

    Article • Energy Economics, July 2025, Elsevier

    Professor Monica Billio

  2. Rising tides, rising funds: Floods and climate mitigation campaigns in equity crowdfunding

    Article • Finance Research Letters, March 2025, Elsevier

    Professor Monica Billio

  3. Modeling Turning Points in the Global Equity Market

    Article • Econometrics and Statistics, April 2024, Elsevier

    Professor Monica Billio

  4. COVID-19 spreading in financial networks: A semiparametric matrix regression model

    Article • Econometrics and Statistics, January 2024, Elsevier

    Professor Monica Billio

  5. Eccellenze cafoscarine nella storia del Dipartimento di Economia

    Article • November 2022, Edizioni Ca Foscari

    Professor Monica Billio

  6. The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification

    Article • International Review of Economics & Finance, November 2022, Elsevier

    Professor Massimiliano Caporin, Professor Monica Billio

  7. Bayesian Markov-Switching Tensor Regression for Time-Varying Networks

    Article • Journal of the American Statistical Association, September 2022, Taylor & Francis

    Professor Monica Billio

  8. Bayesian Dynamic Tensor Regression

    Article • Journal of Business and Economic Statistics, March 2022, Taylor & Francis

    Professor Monica Billio

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

    Article • Symmetry, January 2022, MDPI AG

    Professor Monica Billio

  10. A New World Post COVID-19

    Article • July 2020, Edizioni Ca Foscari

    Professor Monica Billio

  11. Pandemics, Climate and Public Finance

    Article • July 2020, Edizioni Ca Foscari

    Professor Monica Billio

  12. The European Repo Market, ECB Intervention and the COVID-19 Crisis

    Article • July 2020, Edizioni Ca Foscari

    Professor Monica Billio

  13. On the role of domestic and international financial cyclical factors in driving economic growth

    Article • Applied Economics, September 2019, Taylor & Francis

    Professor Monica Billio

  14. Credit Scoring in SME Asset-Backed Securities: An Italian Case Study

    Article • Journal of Risk and Financial Management, May 2019, MDPI AG

    Professor Monica Billio

  15. Le discipline economiche e aziendali nei 150 anni di storia di Ca’ Foscari

    Article • October 2018, Edizioni Ca Foscari

    Professor Monica Billio

  16. Which market integration measure?

    Article • Journal of Banking & Finance, March 2017, Elsevier

    Professor Monica Billio

  17. An entropy-based early warning indicator for systemic risk

    Article • Journal of International Financial Markets Institutions and Money, November 2016, Elsevier

    Professor Monica Billio

  18. Efficient Gibbs sampling for Markov switching GARCH models

    Article • Computational Statistics & Data Analysis, August 2016, Elsevier

    Professor Monica Billio

  19. Bayesian Panel Markov-Switching VAR Model

    Article • Journal of Applied Econometrics, January 2016, Wiley

    Professor Monica Billio

  20. Validating Markov Switching VAR Through Spectral Representations

    Article • December 2015, Springer Science + Business Media

    Professor Monica Billio

  21. Backward/forward optimal combination of performance measures for equity screening

    Article • The North American Journal of Economics and Finance, November 2015, Elsevier

    Professor Massimiliano Caporin, Professor Monica Billio

  22. Bayesian Graphical VAR

    Article • Journal of Applied Econometrics, February 2015, Wiley

    Dr Daniel Felix Ahelegbey, Professor Monica Billio

  23. Granger-causality in Markov switching models

    Article • Journal of Applied Statistics, January 2015, Taylor & Francis

    Professor Monica Billio

  24. Turning point chronology for the euro area

    Article • OECD Journal Journal of Business Cycle Measurement and Analysis, September 2014, OECD

    Professor Monica Billio

  25. CFEnetwork: The Annals of Computational and Financial Econometrics

    Article • Computational Statistics & Data Analysis, August 2014, Elsevier

    Professor Olivier Scaillet, Professor Monica Billio

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

    Article • Computational Statistics & Data Analysis, August 2014, Elsevier

    Professor Monica Billio

  27. Nonlinear dynamics and recurrence plots for detecting financial crisis

    Article • The North American Journal of Economics and Finance, December 2013, Elsevier

    Professor Monica Billio

  28. Time-varying combinations of predictive densities using nonlinear filtering

    Article • Journal of Econometrics, December 2013, Elsevier

    Professor Monica Billio

  29. Errata

    Article • Financial Analysts Journal, November 2013, Taylor & Francis

    Professor Monica Billio

  30. Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area

    Article • Journal of Forecasting, July 2013, Wiley

    Professor Monica Billio

  31. On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)

    Article • Financial Analysts Journal, March 2013, CFA Institute

    Professor Monica Billio

  32. Crises and Funds of Hedge Funds Tail Risk

    Article • January 2013, Elsevier

    Professor Monica Billio

  33. The Annals of Computational and Financial Econometrics, first issue

    Article • Computational Statistics & Data Analysis, November 2012, Elsevier

    Peter Winker, Professor Monica Billio

  34. Combination schemes for turning point predictions

    Article • The Quarterly Review of Economics and Finance, November 2012, Elsevier

    Professor Monica Billio

  35. Dynamic risk exposures in hedge funds

    Article • Computational Statistics & Data Analysis, November 2012, Elsevier

    Professor Monica Billio

  36. Econometric measures of connectedness and systemic risk in the finance and insurance sectors

    Article • Journal of Financial Economics, June 2012, Elsevier

    Professor Monica Billio

  37. Contagion Dating through Market Interdependence Analysis and Correlation Stability

    Article • November 2011, Wiley

    Professor Massimiliano Caporin, Professor Monica Billio

  38. Portfolio symmetry and momentum

    Article • European Journal of Operational Research, November 2011, Elsevier

    Professor Monica Billio

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

    Article • Computational Statistics & Data Analysis, November 2010, Elsevier

    Professor Massimiliano Caporin, Professor Monica Billio

  40. Identifying business cycle turning points with sequential Monte Carlo methods: an online and real‐time application to the Euro area

    Article • Journal of Forecasting, December 2009, Wiley

    Professor Monica Billio

  41. Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data

    Article • The Journal of Alternative Investments, June 2009, Institutional Investor Journals

    Professor Monica Billio

  42. A generalized Dynamic Conditional Correlation model for portfolio risk evaluation

    Article • Mathematics and Computers in Simulation, April 2009, Elsevier

    Professor Massimiliano Caporin, Professor Monica Billio

  43. A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA

    Article • Manchester School, August 2008, Wiley

    Professor Monica Billio

  44. Stochastic optimization for allocation problems with shortfall risk constraints

    Article • Applied Stochastic Models in Business and Industry, February 2007, Wiley

    Professor Monica Billio

  45. Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation

    Article • Applied Financial Economics Letters, March 2006, Taylor & Francis

    Professor Massimiliano Caporin, Professor Monica Billio

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

    Article • Statistical Methods & Applications, November 2005, Springer Science + Business Media

    Professor Massimiliano Caporin, Professor Monica Billio

  47. Volatility and shocks spillover before and after EMU in European stock markets

    Article • Journal of Multinational Financial Management, December 2003, Elsevier

    Professor Monica Billio

  48. Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk

    Article • September 2003, Wiley

    Professor Monica Billio

  49. Contagion and interdependence in stock markets: Have they been misdiagnosed?

    Article • Journal of Economics and Business, September 2003, Elsevier

    Professor Monica Billio