Monica BILLIO

Cited by

	All	Since 2020
Citations	8381	3984
h-index	35	23
i10-index	71	43

1000

500

250

750

2003200420052006200720082009201020112012201320142015201620172018201920202021202220232024202530 35 69 63 60 100 116 161 170 241 337 417 417 519 445 521 553 590 624 716 815 987 241

Public access

View all

26 articles

2 articles

available

not available

Based on funding mandates

Co-authors

Loriana PelizzonSAFE Goethe University Frankfurt and Ca' Foscari University of VeniceVerified email at unive.it
Roberto CASARINCa' Foscari University of VeniceVerified email at unive.it
Mila GetmanskyUMass AmherstVerified email at isenberg.umass.edu
Massimiliano CaporinUniversity of Padova - Department of Statistical SciencesVerified email at unipd.it
Francesco RavazzoloBI Norwegian Business School and Free University of Bozen-BolzanoVerified email at unibz.it
Herman Koene van DijkErasmus University, Tinbergen InstituteVerified email at ese.eur.nl
Carmelo LatinoLeibniz Institute for Financial Research SAFEVerified email at safe-frankfurt.de
Peter Martey AddoAgence Française développement - AFDVerified email at afd.fr
Lorenzo FrattaroloUniversità degli studi di VeronaVerified email at univr.it
Daniel Felix AhelegbeyUniversity of Essex, UKVerified email at essex.ac.uk
Alain MonfortProfesseurVerified email at ensae.fr
Matteo IacopiniLUISS UniversityVerified email at luiss.it
Domenico SartoreCa' Foscari University of VeniceVerified email at unive.it
Simone VarottoProfessor of Finance, ICMA Centre, Henley Business SchoolVerified email at icmacentre.ac.uk
Massimo GuidolinBocconi UniversityVerified email at unibocconi.it
Marco Lo DucaAdviser, European Central BankVerified email at ecb.europa.eu
Christian RobertUniversité Paris Dauphine, PSL & University of WarwickVerified email at ceremade.dauphine.fr
Roberto Calogero PanzicaBank of PortugalVerified email at bportugal.pt
Michael DonadelliUniversity of BresciaVerified email at unibs.it
Luca RossiniAssociate Professor in Statistics - University of MilanVerified email at unimi.it

Monica BILLIO

Ca' Foscari University of Venice

Verified email at unive.it - Homepage

Financial Econometrics Systemic Risk Network Econometrics Sustainable Finance ESG


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Econometric measures of connectedness and systemic risk in the finance and insurance sectors M Billio, M Getmansky, AW Lo, L Pelizzon Journal of financial economics 104 (3), 535-559, 2012	3067	2012
Inside the ESG ratings:(Dis) agreement and performance M Billio, M Costola, I Hristova, C Latino, L Pelizzon Corporate Social Responsibility and Environmental Management 28 (5), 1426-1445, 2021	686	2021
Value-at-risk: a multivariate switching regime approach M Billio, L Pelizzon Journal of Empirical Finance 7 (5), 531-554, 2000	282	2000
Flexible dynamic conditional correlation multivariate garch models for asset allocation M Billio, M Caporin, M Gobbo Applied Financial Economics Letters 2 (02), 123-130, 2006	246	2006
Bayesian graphical models for structural vector autoregressive processes DF Ahelegbey, M Billio, R Casarin Journal of Applied Econometrics 31 (2), 357-386, 2016	238	2016
Contagion and interdependence in stock markets: Have they been misdiagnosed? M Billio, L Pelizzon Journal of economics and business 55 (5-6), 405-426, 2003	186	2003
Time-varying combinations of predictive densities using nonlinear filtering M Billio, R Casarin, F Ravazzolo, HK Van Dijk Journal of Econometrics 177 (2), 213-232, 2013	165	2013
Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion M Billio, M Caporin Computational statistics & data analysis 54 (11), 2443-2458, 2010	165	2010
Measuring systemic risk in the finance and insurance sectors M Billio, M Getmansky, AW Lo, L Pelizzon Cambridge, MA; Alfred P. Sloan School of Management, Massachusetts Institute …, 2010	164	2010
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis M Billio, M Caporin Statistical methods and applications 14 (2), 145-161, 2005	164	2005
Volatility and shocks spillover before and after EMU in European stock markets M Billio, L Pelizzon Journal of Multinational Financial Management 13 (4-5), 323-340, 2003	152	2003
Dynamic risk exposures in hedge funds M Billio, M Getmansky, L Pelizzon Computational Statistics & Data Analysis 56 (11), 3517-3532, 2012	143	2012
Crises and hedge fund risk M Billio, M Getmansky Sherman, L Pelizzon UMASS-Amherst Working Paper, Yale ICF Working Paper, 10-08, 2010	117	2010
A generalized dynamic conditional correlation model for portfolio risk evaluation M Billio, M Caporin Mathematics and Computers in Simulation 79 (8), 2566-2578, 2009	117	2009
Which market integration measure? M Billio, M Donadelli, A Paradiso, M Riedel Journal of Banking & Finance 76, 150-174, 2017	108	2017
Interconnections between eurozone and US booms and busts using a Bayesian panel Markov‐switching VAR model M Billio, R Casarin, F Ravazzolo, HK Van Dijk Journal of Applied Econometrics 31 (7), 1352-1370, 2016	108*	2016
Bayesian estimation of switching ARMA models M Billio, A Monfort, CP Robert Journal of econometrics 93 (2), 229-255, 1999	98	1999
Nonlinear dynamics and recurrence plots for detecting financial crisis PM Addo, M Billio, D Guegan The North American Journal of Economics and Finance 26, 416-435, 2013	97	2013
An entropy-based early warning indicator for systemic risk M Billio, R Casarin, M Costola, A Pasqualini Journal of International Financial Markets, Institutions and Money 45, 42-59, 2016	95	2016
Bayesian nonparametric sparse VAR models M Billio, R Casarin, L Rossini Journal of Econometrics 212 (1), 97-115, 2019	91	2019

The system can't perform the operation now. Try again later.

Articles 1–20

Citations per year

Duplicate citations

Merged citations

Add co-authorsCo-authors

Follow

Cited by

Co-authors