← All authors Monica Billio Ca' Foscari University of Venice (from arXiv:2503.19515, 2025) · ORCID · OpenAlex
69 papers in scope · 67 published · 2 on the econ.EM arXiv · 3,858 citations · h-index 27 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Andrea Bastianin Graziano Moramarco Emanuele Bacchiocchi Anthony Osuntuyi Enrica De Cian Malcolm Mistry Roberto Casarin Luca Rossini Toru Kitagawa Claudia Foroni Marco Zoso Wenying Yao Thomas T. Yang Henrique F. Pires Francesco Ravazzolo Anirban Sengupta Y. Kuang Rong Chen Donia Besher Lorenzo Tonni Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 69)
Compounding geopolitical and energy risks: A clustered stochastic multi-COVOL model
published 2025 · Energy Economics · 1 citations
Delisting and emission intensity
published 2025 · Applied Economics Letters · 2 citations
with Stefano Colonnello, Ivan Gufler
Rising tides, rising funds: Floods and climate mitigation campaigns in equity crowdfunding
published 2025 · Finance research letters · 6 citations
with Vincenzo Butticè, Francesca Di Pietro, Francesca Tenca, Silvio Vismara
working paper 2025 · arXiv
The systemic risk of leveraged and covenant-lite loan syndications
published 2024 · International Review of Financial Analysis · 3 citations · first circulated 2022
with Ana Sina, Aurélie Dufour, Francesco Rocciolo, Simone Varotto, Alfonso Dufour
Bond supply expectations and the term structure of interest rates
published 2024 · Journal of International Money and Finance · 5 citations · first circulated 2020
with Filippo Busetto, Aurélie Dufour, Simone Varotto, Alfonso Dufour
Learning from experts: Energy efficiency in residential buildings
published 2024 · Energy Economics · 14 citations · first circulated 2023
Sustainable and Climate Finance: An Integrative Framework from Corporates to Markets and Society
published 2024 · Review of Corporate Finance · 25 citations
with Maurizio Murgia, Silvio Vismara
Sustainable Finance: A Journey Toward ESG and Climate Risk
published 2024 · International Review of Environmental and Resource Economics · 19 citations · first circulated 2022
Complexity and the default risk of mortgage-backed securities” [Journal of Banking and Finance 155 (2023) 106993
published 2023 · Journal of Banking & Finance · 7 citations
with Alfonso Dufour, Samuele Segato, Simone Varotto
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
published 2022 · International Review of Economics & Finance · 19 citations · first circulated 2016
Bayesian Markov-Switching Tensor Regression for Time-Varying Networks
published 2022 · Journal of the American Statistical Association · 14 citations · first circulated 2017
Bayesian Dynamic Tensor Regression
published 2022 · Journal of Business and Economic Statistics · 33 citations · first circulated 2017
High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization
published 2022 · Symmetry · 4 citations
Forecasting Economic Indicators with Robust Factor Models
published 2022 · National Accounting Review · 10 citations
Modeling Turning Points in the Global Equity Market
published 2021 · Econometrics and Statistics · 9 citations · first circulated 2020
published 2021 · Econometrics and Statistics · 11 citations
Inside the ESG ratings: (Dis)agreement and performance
published 2021 · Corporate Social Responsibility and Environmental Management · 579 citations · first circulated 2020
A meta-measure of performance related to both investors and investments characteristics
published 2021 · Annals of Operations Research · 2 citations
Markov switching panel with endogenous synchronization effects
published 2021 · Journal of Econometrics · 17 citations
A Matrix-Variate t Model for Networks
published 2021 · Frontiers in Artificial Intelligence · 7 citations
Networks in risk spillovers: A multivariate GARCH perspective
published 2021 · Econometrics and Statistics · 11 citations · first circulated 2016
Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
published 2021 · Dependence Modeling · 1 citations
working paper 2020 · arXiv · 6 citations
On the role of domestic and international financial cyclical factors in driving economic growth
published 2019 · Applied Economics · 2 citations
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
published 2019 · Journal of risk and financial management · 12 citations
Bayesian nonparametric sparse VAR models
published 2019 · Journal of Econometrics · 74 citations
Modeling systemic risk with Markov Switching Graphical SUR models
published 2018 · Journal of Econometrics · 73 citations
Markov switching GARCH models for Bayesian hedging on energy futures markets
published 2017 · Energy Economics · 58 citations · first circulated 2013
Which market integration measure?
published 2016 · Journal of Banking & Finance · 96 citations
with Michael Donadelli, Antonio Paradiso, Max Riedel
An entropy-based early warning indicator for systemic risk
published 2016 · Journal of International Financial Markets Institutions and Money · 76 citations · first circulated 2015
Hedge Fund Tail Risk: An Investigation in Stressed Markets
published 2016 · The Journal of Alternative Investments · 4 citations
Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model
published 2016 · Journal of Applied Econometrics · 59 citations · first circulated 2013
Sparse Graphical Vector Autoregression: A Bayesian Approach
published 2016 · Annals of Economics and Statistics · 51 citations · first circulated 2014
Backward/forward optimal combination of performance measures for equity screening
published 2015 · The North American Journal of Economics and Finance · 8 citations · first circulated 2012
Bayesian Graphical Models for STructural Vector Autoregressive Processes
published 2015 · Journal of Applied Econometrics · 205 citations · first circulated 2012
Granger-causality in Markov switching models
published 2015 · Journal of Applied Statistics · 7 citations · first circulated 2006
with Silvio Di Sanzo
Turning point chronology for the euro area
published 2014 · OECD Journal Journal of Business Cycle Measurement and Analysis · 6 citations
with Peter Martey Addo, Dominique Guégan
Interconnectedness and systemic risk: hedge funds, banks, insurance companies
published 2014 · BANCARIA
no link
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
Efficient Gibbs sampling for Markov switching GARCH models
published 2014 · Computational Statistics & Data Analysis · 36 citations · first circulated 2012
The univariate MT-STAR model and a new linearity and unit root test procedure
published 2014 · Computational Statistics & Data Analysis · 3 citations
with Peter Martey Addo, Dominique Guégan
Business Cycle and Markov Switching Models with Distributed Lags: A Comparison between US and Euro Area
published 2014 · Rivista italiana degli economisti · 1 citations
with Maddalena Cavicchioli
Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area
published 2013 · Journal of Forecasting · 29 citations
Time-varying combinations of predictive densities using nonlinear filtering
published 2013 · Journal of Econometrics · 155 citations · first circulated 2012
Nonlinear dynamics and recurrence plots for detecting financial crisis
published 2013 · The North American Journal of Economics and Finance · 68 citations
with Peter Martey Addo, Dominique Guégan
On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)
published 2013 · Financial Analysts Journal · 66 citations
Combination schemes for turning point predictions
published 2012 · The Quarterly Review of Economics and Finance · 46 citations · first circulated 2011
The Annals of Computational and Financial Econometrics, first issue
published 2012 · Computational Statistics & Data Analysis
Econometric measures of connectedness and systemic risk in the finance and insurance sectors
published 2012 · Journal of Financial Economics · 641 citations · first circulated 2010
Portfolio symmetry and momentum
published 2011 · European Journal of Operational Research · 7 citations · first circulated 2009
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
published 2011 · Studies in Nonlinear Dynamics and Econometrics · 19 citations
Dynamic risk exposures in hedge funds
published 2010 · Computational Statistics & Data Analysis · 111 citations
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real‐time application to the Euro area
published 2009 · Journal of Forecasting · 25 citations · first circulated 2008
Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
published 2009 · The Journal of Alternative Investments · 10 citations · first circulated 2008
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion
published 2009 · Computational Statistics & Data Analysis · 101 citations · first circulated 2007
with Massimiliano Caporin
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
published 2008 · Mathematics and Computers in Simulation · 67 citations · first circulated 2006
with Massimiliano Caporin
Dating EU15 monthly business cycle jointly using GDP and IPI
published 2008 · Journal of Business Cycle Measurement and Analysis · 3 citations · first circulated 2007
with Massimiliano Caporin, Guido Cazzavillan
A SYSTEM FOR DATING AND DETECTING TURNING POINTS IN THE EURO AREA
published 2008 · Manchester School · 56 citations
Stochastic optimization for allocation problems with shortfall risk constraints
published 2007 · Applied Stochastic Models in Business and Industry · 21 citations · first circulated 2006
Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation
published 2006 · Applied Financial Economics Letters · 170 citations
with Massimiliano Caporin, Michele Gobbo
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
published 2005 · Statistical Methods & Applications · 111 citations
with Massimiliano Caporin
Contagion and interdependence in stock markets: Have they been misdiagnosed?
published 2003 · Journal of Economics and Business · 152 citations
Kernel-Based Indirect Inference
published 2003 · Journal of Financial Econometrics · 20 citations
with Alain Monfort
Volatility and shocks spillover before and after EMU in European stock markets
published 2003 · Journal of Multinational Financial Management · 117 citations
Value-at-Risk: a multivariate switching regime approach
published 2000 · Journal of Empirical Finance · 182 citations
Combining forecasts: some results on exchange and interest rates
published 2000 · European Journal of Finance · 12 citations
with Domenico Sartore, C. Priscilla Toffano
Bayesian estimation of switching ARMA models
published 1999 · Journal of Econometrics · 71 citations
with Alain Monfort, Christian P. Robert
Switching state-space models Likelihood function, filtering and smoothing
published 1998 · Journal of Statistical Planning and Inference · 22 citations
with Alain Monfort
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