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Monica Billio · SciRah

Researcher profile · Semantic Scholar

Monica Billio

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Monica Billio — researcher profile on SciRah

h-index: 33
Works: 183
Citations: 6,558

Most-cited papers

Inside the ESG Ratings: (Dis)Agreement and Performance
Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino +1 more
2020Social Science Research Network561 citations Open access
Semantic Scholar
Bayesian Graphical Models for STructural Vector Autoregressive Processes
D. Ahelegbey, Monica Billio, R. Casarin
2015Journal of applied econometrics204 citations Open access
Semantic Scholar
Time-varying Combinations of Predictive Densities using Nonlinear Filtering
Monica Billio, R. Casarin, F. Ravazzolo, H. V. van Dijk
2013154 citations Open access
Semantic Scholar
Which market integration measure
Monica Billio, M. Donadelli, A. Paradiso, M. Riedel
201795 citations
Semantic Scholar
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis
P. Addo, Monica Billio, D. Guégan
201376 citations Open access
Semantic Scholar
An Entropy-Based Early Warning Indicator for Systemic Risk
Monica Billio, R. Casarin, Michele Costola, Andrea Pasqualini
201674 citations Open access
Semantic Scholar
Bayesian nonparametric sparse VAR models
Monica Billio, R. Casarin, Luca Rossini
2016Journal of Econometrics72 citations Open access
Semantic Scholar
Modeling systemic risk with Markov Switching Graphical SUR models
Daniele Bianchi, Monica Billio, R. Casarin, Massimo Guidolin
2019Journal of Econometrics69 citations Open access
Semantic Scholar
Markov switching GARCH models for Bayesian hedging on energy futures markets
Monica Billio, R. Casarin, Anthony Osuntuyi
2013Energy Economics60 citations Open access
Semantic Scholar
Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model
Monica Billio, R. Casarin, F. Ravazzolo, H. V. van Dijk
2015Journal of applied econometrics57 citations Open access
Semantic Scholar
Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks ∗
Monica Billio, Mila Getmansky, D. Gray, Andrew W. Lo +2 more
201448 citations Open access
Semantic Scholar
Bayesian Dynamic Tensor Regression
Monica Billio, R. Casarin, Matteo Iacopini, S. Kaufmann
2017Journal of business & economic statistics39 citations Open access
Semantic Scholar
On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)
R. Merton, Monica Billio, Mila Getmansky, D. Gray +2 more
2013Financial analysts journal35 citations Open access
Semantic Scholar
Loriana Pelizzon Networks in risk spillovers : a multivariate GARCH perspective
Monica Billio, Massimiliano Caporin, L. Frattarolo, Loriana Pelizzon
201633 citations
Semantic Scholar
Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
Monica Billio, Michele Costola, Loriana Pelizzon, M. Riedel
2020Journal of real estate finance and economics32 citations Open access
Semantic Scholar
Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
Monica Billio, R. Casarin, F. Ravazzolo, H. V. van Dijk
201332 citations Open access
Semantic Scholar
Bayesian Markov-Switching Tensor Regression for Time-Varying Networks
Monica Billio, R. Casarin, Matteo Iacopini
2017Journal of the American Statistical Association25 citations Open access
Semantic Scholar
Modeling Contagion and Systemic Risk
Daniele Bianchi, Monica Billio, R. Casarin, Massimo Guidolin
201523 citations Open access
Semantic Scholar
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon
2016International Review of Economics & Finance19 citations Open access
Semantic Scholar
Markov switching panel with endogenous synchronization effects
K. Agudze, Monica Billio, R. Casarin, F. Ravazzolo
202116 citations Open access
Semantic Scholar
Granger-causality in Markov switching models
Monica Billio, Silvio Di Sanzo
201516 citations Open access
Semantic Scholar
COVID-19 Spreading in Financial Networks: A Semiparametric Matrix Regression Model
Monica Billio, R. Casarin, Michele Costola, Matteo Iacopini
2021Social Science Research Network15 citations Open access
Semantic Scholar
The Importance of Compound Risk in the Nexus of Covid-19, Climate Change and Finance
I. Monasterolo, Monica Billio, S. Battiston
2020Social Science Research Network13 citations Open access
Semantic Scholar
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
A. Bedin, Monica Billio, Michele Costola, Loriana Pelizzon
2019Journal of Risk and Financial Management10 citations Open access
Semantic Scholar
Network Connectivity and Systematic Risk
Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon
201510 citations
Semantic Scholar
Backward/forward optimal combination of performance measures for equity screening
Monica Billio, Massimiliano Caporin, Michele Costola
2015The North American journal of economics and finance10 citations Open access
Semantic Scholar
Nonlinear Dynamics and Wavelets for Business Cycle Analysis
P. Addo, Monica Billio, D. Guégan
20139 citations
Semantic Scholar
The European Repo Market, ECB Intervention and the COVID-19 Crisis
Monica Billio, Michela Costola, Francesco Mazzari, Loriana Pelizzon
20208 citations Open access
Semantic Scholar
Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone
Monica Billio, L. Frattarolo, Hayette Gatfaoui, Philippe de Peretti
20168 citations Open access
Semantic Scholar
Sparse Graphical Multivariate Autoregression: A Bayesian approach
D. Ahelegbey, Monica Billio, R. Casarin
20168 citations
Semantic Scholar
Turning point chronology for the Euro-Zone: A Distance Plot Approach
P. Addo, P. Addo, P. Addo, Monica Billio +2 more
20138 citations
Semantic Scholar
Modeling Turning Points In Global Equity Market
D. Ahelegbey, Monica Billio, R. Casarin
2020Social Science Research Network7 citations Open access
Semantic Scholar
Bayesian Dynamic Tensor Regression∗
Monica Billio, R. Casarin, S. Kaufmann, Matteo Iacopini
20187 citations
Semantic Scholar
The univariate MT-STAR model and a new linearity and unit root test procedure
P. Addo, Monica Billio, D. Guégan
2014Computational Statistics & Data Analysis7 citations
Semantic Scholar
Complexity and the default risk of mortgage-backed securities
Monica Billio, A. Dufour, Samuele Segato, S. Varotto
2023Journal of Banking & Finance6 citations Open access
Semantic Scholar
A Matrix-Variate t Model for Networks
Monica Billio, R. Casarin, Michele Costola, Matteo Iacopini
2021Frontiers in Artificial Intelligence6 citations Open access
Semantic Scholar
Dynamical Interaction Between Financial and Business Cycles
Monica Billio, Anna V. Petronevich
20176 citations Open access
Semantic Scholar
Hedge Fund Tail Risk: An Investigation in Stressed Markets
Monica Billio, L. Frattarolo, Loriana Pelizzon
2016The Journal of Alternative Investments6 citations Open access
Semantic Scholar
Global Realignment in Financial Market Dynamics: Evidence from ETF Networks
Monica Billio, Andrew W. Lo, Loriana Pelizzon, Mila Getmansky +1 more
2021Social Science Research Network5 citations Open access
Semantic Scholar
Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)
Monica Billio, R. Casarin, Luca Rossini
2016Social Science Research Network5 citations Open access
Semantic Scholar
Understanding Exchange Rates Dynamics
P. Addo, P. Addo, P. Addo, Monica Billio +2 more
20135 citations
Semantic Scholar
Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure
Monica Billio, Gregory Mathieu Jannin, Gregory Mathieu Jannin, Bertrand B. Maillet +3 more
20135 citations
Semantic Scholar
High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization
Monica Billio, L. Frattarolo, D. Guégan
2022Symmetry4 citations Open access
Semantic Scholar
Creditworthiness and buildings’ energy efficiency in the Italian mortgage market
Monica Billio, Michele Costola, Loriana Pelizzon, M. Riedel
2022Social Science Research Network4 citations Open access
Semantic Scholar
Modeling Turning Points in the Global Equity Market
D. Ahelegbey, Monica Billio, R. Casarin
2021Econometrics and Statistics4 citations Open access
Semantic Scholar
Markov Switching Panel with Network Interaction Effects
K. Agudze, Monica Billio, R. Casarin, F. Ravazzolo
20184 citations
Semantic Scholar
Markov Switching GARCH Models: Filtering, Approximations and Duality
Monica Billio, M. Cavicchioli
20174 citations Open access
Semantic Scholar
Measuring Financial Integration: Lessons from the Correlation
Monica Billio, A. Paradiso, M. Donadelli, M. Riedel
20154 citations Open access
Semantic Scholar
A time varying performance evaluation of hedge fund strategies through aggregation
Monica Billio, L. Frattarolo, Lauriana Pelizzon
20144 citations
Semantic Scholar
Forecasting Economic Indicators with Robust Factor Models
Fausto Corradin, Monica Billio, R. Casarin
2022National Accounting Review3 citations Open access
Semantic Scholar

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