Monica Billio

Available identifiers

zbMath Open billio.monicaDBLP31/1444WikidataQ29570546 ScholiaQ29570546MaRDI QIDQ635188

List of research outcomes

Publication	Date of Publication	Type
Bayesian Markov-Switching Tensor Regression for Time-Varying Networks	2024-03-19	Paper
Bayesian Dynamic Tensor Regression	2024-03-05	Paper
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis	2023-03-13	Paper
Markov switching panel with endogenous synchronization effects	2022-09-14	Paper
A \textit{meta}-measure of performance related to both investors and investments characteristics	2022-07-05	Paper
Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case	2021-10-22	Paper
Granger-causality in Markov switching models	2020-11-04	Paper
Bayesian nonparametric sparse VAR models	2019-09-02	Paper
Modeling systemic risk with Markov switching graphical SUR models	2019-04-30	Paper
The univariate MT-STAR model and a new linearity and unit root test procedure	2018-11-23	Paper
Bayesian Nonparametric Sparse Vector Autoregressive Models	2018-10-12	Paper
Efficient Gibbs sampling for Markov switching GARCH models	2018-08-15	Paper
Markov Switching GARCH Models: Filtering, Approximations and Duality	2018-03-26	Paper
Time-varying combinations of predictive densities using nonlinear filtering	2014-06-06	Paper
Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion	2014-04-14	Paper
Dynamic risk exposures in hedge funds	2012-12-30	Paper
Portfolio symmetry and momentum	2011-08-19	Paper
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area	2011-01-06	Paper
A generalized dynamic conditional correlation model for portfolio risk evaluation	2009-06-18	Paper
Stochastic optimization for allocation problems with shortfall risk constraints	2007-12-16	Paper
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis	2006-03-28	Paper
Switching state-space models: likelihood function, filtering and smoothing	2000-09-26	Paper

Research outcomes over time

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