Monica Billio
Complete list of
publications and
research papers
·Publications
· Research
papers
Billio M. and M. Caporin (2011),
Contagion Dating through Market Interdependence Analysis and
Correlation Stability, in Financial Contagion: The Viral Threat to the
Wealth of Nations, Robert W. Kolb (Ed.), Wiley, Chap. 4.
Billio M., M. Getmansky and L.
Pelizzon (2010), Dynamic Risk Exposure in Hedge Funds, Working Paper
DSE 17/07, Università Ca' Foscari and Yale ICF WP 07-14,
forthcoming Computational Statistics and Data Analysis.
Billio M. and R. Casarin (2010),
Identifying Business Cycle Turning Points with Sequential Monte Carlo
Methods: an on-line and real time application to the Euro area, Journal
of Forecasting, 1-2, 145-167.
Billio M. and M. Caporin (2010),
Market Linkages, Variance Spillover and Correlation Stability:
Empirical Evidences of Financial Contagion, Computational Statistics
and Data Analysis, 54/11, 2443-2458.
Billio M., M. Getmansky
and L. Pelizzon (2009),
Non-Parametric Analysis of Hedge Fund Returns: New Insights from High
Frequency
Data, forthcoming Journal of Alternative
Investments.
Billio M. and M. Caporin (2009), A
generalised
Dynamic Conditional Correlation model for portfolio risk evaluation, Mathematics and Computers in
Simulation, 79/8, 2566-2578.
Billio M., M. Getmansky
and L. Pelizzon (2008),
Calculating VaR for Hedge Funds, in The VAR Implementation Handbook, G. Gregoriou
(Ed.), McGraw Hill, pagg.
3-24.
Anas J., M. Billio, L.
Ferrara and G.L. Mazzi (2008), A System
for Dating
and Detecting Turning Points in the Euro Area, The
Manchester School, 76/5, 549 - 577.
Billio M., M. Caporin
and G. Cazzavillan (2007),
Dating Euro15 monthly business cycle jointly using GDP and IPI, Journal of Business Cycle Measurement and
Analysis, 3/3, 333-366.
Casarin R. and M. Billio
(2007), Stochastic Optimisation for Allocation Problem with Shortfall
Risk
Constraints, Applied Stochastic Models in Business and Industry,
23/3,
247-271.
Anas J., M. Billio, L.
Ferrara and M. Lo Duca (2007), Business
cycle analysis with multivariate Markov switching models, in Growth and Cycle in the Eurozone (eds
G.L.
Mazzi and G. Savio),
249-260, Palgrave Macmillan.
Anas J., M. Billio, L.
Ferrara and M. Lo Duca (2007), A
turning point chronology for the Euro-zone classical and growth cycle,
in Growth
and Cycle in the Eurozone (eds
G.L.
Mazzi and G. Savio),
261-274, Palgrave Macmillan.
Billio M., R. Casarin
and D. Sartore (2007), Bayesian
inference in dynamic models with latent factors, in Growth and Cycle in the Eurozone (eds
G.L.
Mazzi and G. Savio),
25-44,
Palgrave Macmillan.
Billio M. and M. Caporin (2006), A
generalised Dynamic Conditional Correlation model for portfolio risk
evaluation,
forthcoming Mathematics and Computers in Simulation.
Billio M., M. Caporin
and M. Gobbo (2006), Flexible
Dynamic Conditional Correlation Multivariate GARCH for Asset Allocation,
Applied
Financial Economics Letters, 2, 123–130.
Billio M. and M. Caporin (2005), Multivariate Markov switching
dynamic
conditional correlation GARCH representations for contagion analysis, Statistical
Methods and Applications, 14/2, 145-161.
Billio M. and L. Pelizzon (2003), Volatility and shocks spillover
before and after EMU in
Billio M. and D. Sartore (2003), Stochastic Volatility Model: A
Survey with
Applications to Option Pricing and Value at Risk, chap.
Billio M. and A. Monfort (2003) Kernel-Based
Indirect Inference, Journal of Financial Econometrics, 1,
3, 297-326.
Billio M. and L. Pelizzon (2003), Contagion
and Interdependence in Stock Markets: Have they been misdiagnosed?,
Journal
of Economics and Business 55, 5/6, 405-426.
Billio M., M. Corazza
and M. Gobbo (2002), Option
Pricing via Regime Switching Models and MultiLayer
Perceptrons: a Comparative Approach, Rendiconti
per gli Studi
Economici Quantitativi
39-59.
Billio M. (2002), Simulation
Based Methods for Financial Time Series, Atti della XLI Riunione
Scientifica della
Società Italiana di Statistica,
5-7 giugno 2002, CLEUP, Padova.
Billio M., D. Sartore
and C. Toffano (2000), Combining
forecasts: some results on exchange and interest rates, The
European
Journal of Finance, 6/2, 1-20.
Billio M. and L. Pelizzon (2000), Value-at-Risk:
a multivariate switching regime approach, Journal of Empirical
Finance,
7, 531-554. Reprinted in Financial
Mathematics and
Economics, Vol. 1/2, 2002.
Billio M., A. Monfort
and C.P. Robert (1999), Bayesian
estimation of switching ARMA models, Journal of Econometrics,
93/2,
229-255.
Billio M., R. Casarin,
C. Méhu and D. Sartore
(1999), Investment Styles in the European Equity
Market, in Advances in Quantitative Asset Management, ed. C. Dunis, Kluwer
Academic Publishers.
Billio M. and M. Patron (1999),
L’utilizzo di
trading rules in modelli a
cambiamenti di regime,
in Gli strumenti derivati, ed. D. Sartore, Ipsoa.
Billio M. and S. Tommasi
(1999), L’analisi tecnica ed i modelli a logica sfocata, in Gli
strumenti derivati, ed. D. Sartore, Ipsoa.
Billio M. and D. Sartore (1999),
La combinazione di previsioni, in Gli strumenti derivati, ed. D.
Sartore, Ipsoa.
Tiozzo
C. L., M. Billio and D. Sartore (1999), Modelli neurali
artificiali geneticamente evoluti per trading system su strumenti
derivati, Amministrazione
e Finanza, 21.
Billio M. and A. Monfort (1998), Switching state space models:
likelihood,
filtering and smoothing, Journal of Statistical Planning and
Inference,
68/1, 65-103.
Billio M., A. Monfort and C.P. Robert (1998), A MCMC approach
to maximum
likelihood estimation, Prague Stochastics’98, Vol
1, pagg. 49-54, ed. M.
Huskova, P. Lachout
and J.A. Visek,
Billio M. and L. Pelizzon (1997), Pricing options with switching
volatility,
Money, Finance, Banking and Insurance, ed. C. Hipp, Verlang
and Nota di Lavoro n. 97.07 DSE Università Ca'
Foscari, Venice.
Billio M., L. Cappellina
and D. Sartore
(1997), Cicli
e cambiamenti di regime negli indici azionari italiani, Quaderni di
Statistica e Matematica Applicata alle Scienze
economico-
sociali, Università di Trento, Vol
XVII,
1-2-3.
Billio
M., L. Calès and D. Guégan
(2009), Portfolio Symmetry and Momentum, Working Paper DSE 05/09, Università Ca' Foscari.
Billio M. and L. Calès (2008), Momentum through the
Long/Short Equally Weighted
Strategies, mimeo Università di Venezia.
Billio M., M. Getmansky and L. Pelizzon
(2008),
Crisis and Hedge Fund Risk, Working Paper DSE 10/08, Università
Ca' Foscari.
Billio M., M. Getmansky
and L. Pelizzon (2007),
Dynamic Risk Exposure in Hedge Funds, Working Paper DSE 17/07, Università Ca' Foscari
and Yale ICF
WP 07-14.
Billio M. and R. Casarin (2006), Identifying Business Cycle
Turning Points
with Sequential
Billio M., M. Getmansky
and L. Pelizzon (2006),
Phase-Locking
and Switching
Volatility in Hedge Funds, Working Paper DSE 54/06, Università Ca’ Foscari.
Billio
M. and S. Di Sanzo (2006), Granger-causality in Markov
Switching Models, WP DSE 20/06, Università
Ca’ Foscari,
Billio M. and M. Caporin (2005), Market Linkages, Variance Spillover and Correlation Stability: Empirical
Evidences of
Financial Contagion, mimeo DSE, Università
Ca’ Foscari,
Billio M., M. Lo Duca and L. Pelizzon
(2005),
Contagion Detection with Switching Regime Models: a Short and Long Run
Analysis, mimeo DSE, Università
Ca’ Foscari,
Billio M. and M. Caporin (2004), A generalised Dynamic
Conditional
Correlation model for portfolio risk evaluation, Working paper 0405
GRETA,
Billio M., M. Caporin
and M. Gobbo (2003),
Block Dynamic Conditional Correlation Multivariate GARCH models, Working
paper 0303 GRETA,
Billio M., M. Lo Duca and L. Pelizzon
(2003),
Contagion and interdependence measures: some words of caution , Working paper 0302
GRETA,
Billio M., M. Lo Duca and L. Pelizzon
(2003), The
DCC test: powerless evidence of no contagion, Working paper
0307 GRETA,
Billio M. (2002), Correlated
Markov chains,
mimeo DSE, Università Ca’
Foscari, Venice.
Billio M., R. Casarin and G. Toniolo
(2002),
Extreme returns in a shortfall risk framework, Working paper 0203
GRETA,
Billio M., G. Bison, A. Giacomelli, L. Pelizzon
and D. Sartore (2001), Dynamic derivative
use
and accounting information, Working paper 0103 GRETA,
Billio M. and L. Pelizzon (2001), Contagion and Volatility
transmission: a
Multivariate Switching Regime approach, mimeo DSE, Università
Ca’ Foscari,
Billio M., A. Monfort
and C.P. Robert (2001), The simulated
Billio M., M. Corazza and M. Gobbo (2001),
Modelli Neuronali e Modelli Switching
Regime per
Billio M. and F. Marangoni (1999), Kalman
filter
and term structure of interest rates: an application of CIR model to
Italian
bond market, Working paper 9909 GRETA,
Billio M., A. Monfort
and C.P. Robert (1998), The simulated
likelihood
ratio (SLR) method, Document de Travail du
CREST 9821,
Billio M. and L. Pelizzon (1998), Switching Volatility and GARCH
Option
Pricing Models: a Comparison, working paper Dipartimento
di Scienze Economiche, Ca’ Foscari,
Billio M. (1994),
General equilibrium models of the term structure of interest rates: the
N-production processes case, Nota di lavoro n. 94.20 DSE, Università
Ca' Foscari,
