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Monica Billio

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Monica Billio & Michele Costola & Iva Histova & Carmelo Latino & Loriana Pelizzon, 2020. "Inside the ESG Ratings: (Dis)agreement and performance," Working Papers 2020:17, Department of Economics, University of Venice "Ca' Foscari".

    Mentioned in:

    1. Climate Finance
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2021-05-31 11:38:10

Working papers

  1. Billio, Monica & Costola, Michele & Hristova, Iva & Latino, Carmelo & Pelizzon, Loriana, 2022. "Sustainable finance: A journey toward ESG and climate risk," SAFE Working Paper Series 349, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Michele Rubino & Ilaria Mastrorocco & Giovanni Maria Garegnani, 2024. "The influence of market and institutional factors on ESG rating disagreement," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(5), pages 3916-3926, September.
    2. Beckmann, Joscha & Rogmann, Jennifer, 2024. "Determinants and effects of country ESG controversy," Energy Economics, Elsevier, vol. 131(C).

  2. Billio, Monica & Costola, Michele & Pelizzon, Loriana & Riedel, Max, 2022. "Creditworthiness and buildings' energy efficiency in the Italian mortgage market," SAFE Working Paper Series 352, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Justin Contat & Carrie Hopkins & Luis Mejia & Matthew Suandi, 2024. "When climate meets real estate: A survey of the literature," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 52(3), pages 618-659, May.

  3. Komla M. Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo, 2021. "Markov Switching Panel with Endogenous Synchronization Effects," BEMPS - Bozen Economics & Management Paper Series BEMPS82, Faculty of Economics and Management at the Free University of Bozen.

    Cited by:

    1. Ge, Shuyi, 2023. "A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    2. Ibikunle, Gbenga & Rzayev, Khaladdin, 2023. "Volatility and dark trading: Evidence from the Covid-19 pandemic," The British Accounting Review, Elsevier, vol. 55(4).
    3. Guisinger, Amy Y. & Owyang, Michael T. & Soques, Daniel, 2024. "Industrial Connectedness and Business Cycle Comovements," Econometrics and Statistics, Elsevier, vol. 29(C), pages 132-149.
    4. Ovielt Baltodano L'opez & Roberto Casarin, 2022. "A Dynamic Stochastic Block Model for Multi-Layer Networks," Papers 2209.09354, arXiv.org.

  4. Billio, Monica & Lo, Andrew W. & Pelizzon, Loriana & Getmansky, Mila & Zareei, Abalfazl, 2021. "Global realignment in financial market dynamics: Evidence from ETF networks," SAFE Working Paper Series 304, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Ikhlaas Gurrib & Firuz Kamalov & Elgilani E. Alshareif, 2022. "High Frequency Return and Risk Patterns in U.S. Sector ETFs during COVID-19," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 441-456, September.

  5. Billio Monica & Casarin Roberto & Costola Michele & Iacopini Matteo, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Papers 2101.00422, arXiv.org.

    Cited by:

    1. Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
    2. Franch, Fabio & Nocciola, Luca & Vouldis, Angelos, 2022. "Temporal networks in the analysis of financial contagion," Working Paper Series 2667, European Central Bank.
    3. Maneejuk, Paravee & Kaewtathip, Nuttaphong & Jaipong, Peemmawat & Yamaka, Woraphon, 2022. "The transition of the global financial markets' connectedness during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    4. Piribauer, Philipp & Glocker, Christian & Krisztin, Tamás, 2023. "Beyond distance: The spatial relationships of European regional economic growth," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).

  6. Monica Billio & Michele Costola & Iva Histova & Carmelo Latino & Loriana Pelizzon, 2020. "Inside the ESG Ratings: (Dis)agreement and performance," Working Papers 2020:17, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Frankovic, Ivan & Kolb, Benedikt, 2023. "The role of emission disclosure for the low-carbon transition," Discussion Papers 33/2023, Deutsche Bundesbank.
    2. Liu, Xiangqiang & Yang, Qingqing & Wei, Kai & Dai, Peng-Fei, 2024. "ESG rating disagreement and idiosyncratic return volatility: Evidence from China," Research in International Business and Finance, Elsevier, vol. 70(PB).
    3. Torsten Ehlers & Ulrike Elsenhuber & Kumar Jegarasasingam & Eric Jondeau, 2022. "Deconstructing ESG Scores: How to Invest with Your own Criteria," Swiss Finance Institute Research Paper Series 22-23, Swiss Finance Institute.
    4. Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022. "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing," Papers 2206.02854, arXiv.org.
    5. Ozge Sahin & Karoline Bax & Claudia Czado & Sandra Paterlini, 2021. "Environmental, Social, Governance scores and the Missing pillar -- Why does missing information matter?," Papers 2106.15466, arXiv.org, revised Jun 2022.
    6. Francesco Cesarone & Lorenzo Lampariello & Davide Merolla & Jacopo Maria Ricci & Simone Sagratella & Valerio Giuseppe Sasso, 2023. "A bilevel approach to ESG multi-portfolio selection," Computational Management Science, Springer, vol. 20(1), pages 1-23, December.
    7. Gourdel, Régis & Sydow, Matthias, 2022. "Non-banks contagion and the uneven mitigation of climate risk," Working Paper Series 2757, European Central Bank.
    8. Ferriani, Fabrizio, 2023. "Issuing bonds during the Covid-19 pandemic: Was there an ESG premium?," International Review of Financial Analysis, Elsevier, vol. 88(C).
    9. Wang, Xue & Liu, Qingyuan, 2024. "Information disclosure and ESG rating disagreement: Evidence from green bond issuance in China," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
    10. Rzeźnik, Aleksandra & Hanley, Kathleen Weiss & Pelizzon, Loriana, 2021. "The salience of ESG ratings for stock pricing: Evidence from (potentially) confused investors," SAFE Working Paper Series 310, Leibniz Institute for Financial Research SAFE, revised 2021.
    11. Krahnen, Jan Pieter, 2023. "Welche Rolle spielt die Finanzwirtschaft im Angesicht des Klimawandels?," SAFE Policy Letters 101, Leibniz Institute for Financial Research SAFE.
    12. Foglia, Matteo & Miglietta, Federica, 2024. "Does every cloud (bubble) have a silver lining? An investigation of ESG financial markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
    13. Teti, Emanuele & Etro, Leonardo L. & Pausini, Lorenzo, 2024. "Does greenwashing affect Company's stock Price? Evidence from Europe," International Review of Financial Analysis, Elsevier, vol. 93(C).
    14. Cheng, Yiming & Zeng, Bo & Lin, Weixing, 2024. "Heterogenous effects of inclusive digital economy and resource distribution mismatch on corporate ESG performance in China," Resources Policy, Elsevier, vol. 92(C).
    15. Azeem, Naveed & Ullah, Muhammad & Ullah, Farid, 2023. "Board gender diversity and firms' financial resilience during the Covid-19 pandemic," Finance Research Letters, Elsevier, vol. 58(PA).
    16. Wan, Jieru & Yin, Libo & Wu, You, 2024. "Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 397-428.
    17. Michele Rubino & Ilaria Mastrorocco & Giovanni Maria Garegnani, 2024. "The influence of market and institutional factors on ESG rating disagreement," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(5), pages 3916-3926, September.
    18. Chang Liu & Zihao Xin, 2024. "Does environmental, social, and governance practice boost corporate human capital inflow in China? From the perspective of stakeholder response," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(4), pages 3251-3273, July.
    19. Billio, Monica & Costola, Michele & Hristova, Iva & Latino, Carmelo & Pelizzon, Loriana, 2022. "Sustainable finance: A journey toward ESG and climate risk," SAFE Working Paper Series 349, Leibniz Institute for Financial Research SAFE.
    20. Małgorzata Janicka & Artur Sajnóg, 2023. "Do environmental and economic performance go hand in hand? An industrial analysis of European Union companies with the non‐parametric data envelopment analysis method," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(5), pages 2590-2605, September.
    21. Iulia Lupu & Gheorghe Hurduzeu & Radu Lupu, 2022. "How Is the ESG Reflected in European Financial Stability?," Sustainability, MDPI, vol. 14(16), pages 1-14, August.
    22. Kun Luo & Sirui Wu, 2022. "Corporate sustainability and analysts' earnings forecast accuracy: Evidence from environmental, social and governance ratings," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 29(5), pages 1465-1481, September.
    23. Simona Cosma & Paolo Cucurachi & Vincenzo Gentile & Giuseppe Rimo, 2024. "Sustainable finance disclosure regulation insights: Unveiling socially responsible funds performance during COVID‐19 pandemic and Russia–Ukraine war," Business Strategy and the Environment, Wiley Blackwell, vol. 33(4), pages 3242-3257, May.
    24. Marius Banke & Stephanie Lenger & Christiane Pott, 2022. "ESG Ratings in the Corporate Reporting of DAX40 Companies in Germany: Effects on Market Participants," Sustainability, MDPI, vol. 14(15), pages 1-21, August.
    25. Bax, Karoline & Sahin, Özge & Czado, Claudia & Paterlini, Sandra, 2023. "ESG, risk, and (tail) dependence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    26. Zou, Jin & Yan, Jingzhou & Deng, Guoying, 2023. "ESG rating confusion and bond spreads," Economic Modelling, Elsevier, vol. 129(C).
    27. Luo, Deqing & Shan, Xun & Yan, Jingzhou & Yan, Qianhui, 2023. "Sustainable investment under ESG volatility and ambiguity," Economic Modelling, Elsevier, vol. 128(C).
    28. Michele Azzone & Maria Chiara Pocelli & Davide Stocco, 2023. "Hedging carbon risk with a network approach," Papers 2311.12450, arXiv.org, revised Mar 2024.
    29. Sheng, Jichuan & Ding, Rui & Yang, Hongqiang, 2024. "Corporate green innovation in an aging population: Evidence from Chinese listed companies," Technological Forecasting and Social Change, Elsevier, vol. 202(C).
    30. Marco Ghitti & Gianfranco Gianfrate & Lorenza Palma, 2024. "The agency of greenwashing," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 28(3), pages 905-941, September.
    31. Ouidad Yousfi & Nadia Loukil, 2024. "Environmental laws in France: What are the effects of the Grenelle laws on firms?," European Journal of Law and Economics, Springer, vol. 57(3), pages 347-389, June.
    32. Alessi, Lucia & Battiston, Stefano, 2021. "Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios," Working Papers 2021-14, Joint Research Centre, European Commission.
    33. Li, Li & Zhang, Du & Li, Rongrong, 2024. "ESG rating disagreement and corporate innovation: Evidence from China," Finance Research Letters, Elsevier, vol. 62(PA).
    34. Arianna Agosto & Paolo Giudici & Alessandra Tanda, 2023. "How to combine ESG scores? A proposal based on credit rating prediction," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(6), pages 3222-3230, November.
    35. Bang, Jeongseok & Ryu, Doojin & Webb, Robert I., 2023. "ESG controversy as a potential asset-pricing factor," Finance Research Letters, Elsevier, vol. 58(PA).
    36. Ping‐Chuan Jiang & Gen‐Fu Feng & Hai‐Jie Wang & Chun‐Ping Chang, 2024. "CSR from different perspectives: The global ESG indexes updated," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(5), pages 4694-4714, September.
    37. Angilella, Silvia & Doumpos, Michalis & Pappalardo, Maria Rosaria & Zopounidis, Constantin, 2024. "Assessing the performance of banks through an improved sigma-mu multicriteria analysis approach," Omega, Elsevier, vol. 127(C).
    38. Berenike Wiener & Georg von Schnurbein, 2023. "Foundation Investment Funds for Grant-Making Foundations in Germany: Do They Facilitate Sustainable Investing?," SAGE Open, , vol. 13(4), pages 21582440231, December.
    39. Tiffany Jurge & Eric Urbaniak & Matthew Liesch, 2024. "Campus sustainability office representations of the DEIJ-sustainability nexus," Journal of Environmental Studies and Sciences, Springer;Association of Environmental Studies and Sciences, vol. 14(3), pages 607-617, September.
    40. Burger, Eric & Grba, Fabian & Heidorn, Thomas, 2022. "The impact of ESG ratings on implied and historical volatility," Frankfurt School - Working Paper Series 230, Frankfurt School of Finance and Management.
    41. Chen, Yu & Lin, Boqiang, 2022. "Quantifying the extreme spillovers on worldwide ESG leaders' equity," International Review of Financial Analysis, Elsevier, vol. 84(C).
    42. Tenuta, Paolo & Cambrea, Domenico Rocco, 2022. "Corporate social responsibility and corporate financial performance: The role of executive directors in family firms," Finance Research Letters, Elsevier, vol. 50(C).
    43. Enrico Bernardini & Marco Fanari & Enrico Foscolo & Francesco Ruggiero, 2024. "Environmental data and scores: Lost in translation," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(5), pages 4796-4818, September.
    44. Francesco Cesarone & Manuel Luis Martino & Federica Ricca & Andrea Scozzari, 2023. "Managing ESG Ratings Disagreement in Sustainable Portfolio Selection," Papers 2312.10739, arXiv.org.
    45. Billio, Monica & Fitzpatrick, Aoife Claire & Latino, Carmelo & Pelizzon, Loriana, 2024. "Unpacking the ESG ratings: Does one size fit all?," SAFE Working Paper Series 415, Leibniz Institute for Financial Research SAFE.
    46. Renu Jonwall & Seema Gupta & Shuchi Pahuja, 2024. "Do socially responsible indices outperform conventional indices? Evidence from before and after the onset of Covid‐19," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(5), pages 4995-5011, September.
    47. Wang, Haijun & Jiao, Shuaipeng & Ge, Chen & Sun, Guanglin, 2024. "Corporate ESG rating divergence and excess stock returns," Energy Economics, Elsevier, vol. 129(C).
    48. Paolo Agnese & Francesca Romana Arduino & Massimiliano Cerciello & Simone Taddeo, 2024. "Does board knowledge matter for ESG performance in the European banking industry?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(5), pages 4454-4468, September.
    49. Xue, Qinyuan & Jin, Yifei & Zhang, Cheng, 2024. "ESG rating results and corporate total factor productivity," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    50. Yihe Lu & Yinyun Yu & Ting Qu, 2023. "An ESG Assessment Approach with Multi-Agent Preference Differences: Based on Fuzzy Reasoning and Group Decision-Making," Sustainability, MDPI, vol. 15(16), pages 1-17, August.
    51. Gourdel, Régis & Sydow, Matthias, 2023. "Non-banks contagion and the uneven mitigation of climate risk," International Review of Financial Analysis, Elsevier, vol. 89(C).
    52. Torsten Ehlers & Ulrike Elsenhuber & Anandakumar Jegarasasingam & Eric Jondeau, 2024. "Deconstructing ESG scores: investing at the category score level," Journal of Asset Management, Palgrave Macmillan, vol. 25(3), pages 222-244, May.
    53. Jian Zhou & Xiaodong Lei & Jianglong Yu, 2024. "ESG rating divergence and corporate green innovation," Business Strategy and the Environment, Wiley Blackwell, vol. 33(4), pages 2911-2930, May.
    54. Mio, Chiara & Fasan, Marco & Scarpa, Francesco, 2023. "Materiality investor perspectives on utilities’ ESG performance. An empirical analysis of ESG factors and cost of equity," Utilities Policy, Elsevier, vol. 82(C).
    55. Tristan Jourde & Arthur Stalla-Bourdillon, 2024. "PEnvironmental Preferences and Sector Valuations," Working papers 964, Banque de France.
    56. Antonios Persakis, 2024. "The impact of climate policy uncertainty on ESG performance, carbon emission intensity and firm performance: evidence from Fortune 1000 firms," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(9), pages 24031-24081, September.
    57. Alessi, Lucia & Battiston, Stefano, 2022. "Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios," International Review of Financial Analysis, Elsevier, vol. 84(C).
    58. Caterina Lucarelli & Sabrina Severini, 2024. "Anatomy of the chimera: Environmental, Social, and Governance ratings beyond the myth," Business Strategy and the Environment, Wiley Blackwell, vol. 33(5), pages 4198-4217, July.
    59. Luigi Aldieri & Alessandra Amendola & Vincenzo Candila, 2023. "The Impact of ESG Scores on Risk Market Performance," Sustainability, MDPI, vol. 15(9), pages 1-16, April.
    60. Zhihong Mao & Siyang Wang & Yu‐En Lin, 2024. "ESG, ESG rating divergence and earnings management: Evidence from China," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(4), pages 3328-3347, July.

  7. Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi, 2020. "The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach," Papers 2012.14693, arXiv.org.

    Cited by:

    1. Gourdel, Régis & Sydow, Matthias, 2022. "Non-banks contagion and the uneven mitigation of climate risk," Working Paper Series 2757, European Central Bank.
    2. Guo, Kun & Li, Yichong & Zhang, Yunhan & Ji, Qiang & Zhao, Wanli, 2023. "How are climate risk shocks connected to agricultural markets?," Journal of Commodity Markets, Elsevier, vol. 32(C).
    3. Bacchiocchi, Emanuele & Bastianin, Andrea & Moramarco, Graziano, 2024. "Macroeconomic Spillovers of Weather Shocks across U.S. States," FEEM Working Papers 343506, Fondazione Eni Enrico Mattei (FEEM).
    4. Gourdel, Régis & Sydow, Matthias, 2023. "Non-banks contagion and the uneven mitigation of climate risk," International Review of Financial Analysis, Elsevier, vol. 89(C).

  8. Irene Monasterolo & Monica Billio & Stefano Battiston, 2020. "The importance of compound risk in the nexus of COVID-19, climate change and finance," Working Papers 2020:15, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Ha, Le Thanh, 2022. "Storm after the Gloomy days: Influences of COVID-19 pandemic on volatility of the energy market," Resources Policy, Elsevier, vol. 79(C).
    2. Antonio Moreno & Steven Ongena & Alexia Ventula Veghazy & Alexander F. Wagner, 2024. "“Long GFC”? The global financial crisis, health care, and COVID‐19 deaths," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 865-891, April.
    3. Wu, Xin & Bai, Xiao & Qi, Hanying & Lu, Lanxin & Yang, Mingyuan & Taghizadeh-Hesary, Farhad, 2023. "The impact of climate change on banking systemic risk," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 419-437.
    4. Hoang, Anh Tuan & Sandro Nižetić, & Olcer, Aykut I. & Ong, Hwai Chyuan & Chen, Wei-Hsin & Chong, Cheng Tung & Thomas, Sabu & Bandh, Suhaib A. & Nguyen, Xuan Phuong, 2021. "Impacts of COVID-19 pandemic on the global energy system and the shift progress to renewable energy: Opportunities, challenges, and policy implications," Energy Policy, Elsevier, vol. 154(C).

  9. Monica Billio & Michele Costola & Loriana Pelizzon & Max Riedel, 2020. "Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case," Working Papers 2020:06, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Justin Contat & Carrie Hopkins & Luis Mejia & Matthew Suandi, 2024. "When climate meets real estate: A survey of the literature," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 52(3), pages 618-659, May.
    2. Giraudet, Louis-Gaëtan & Petronevich, Anna & Faucheux, Laurent, 2021. "Differentiated green loans," Energy Policy, Elsevier, vol. 149(C).
    3. Gróf, Gyula & Várgedő, Bálint & Sárvári, Balázs, 2024. "Az energiahatékonyság szerepe a jelzáloghitelek csődvalószínűségében és a tőkekövetelmények meghatározásában [The role of mortgage energy efficiency in the probability of default and in determining," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 653-670.

  10. Bedin, Andrea & Billio, Monica & Costola, Michele & Pelizzon, Loriana, 2019. "Credit scoring in SME asset-backed securities: An Italian case study," SAFE Working Paper Series 262, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Pranith Kumar Roy & Krishnendu Shaw, 2021. "A multicriteria credit scoring model for SMEs using hybrid BWM and TOPSIS," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    2. Pazhouhi , Asrar & Marzban , Hossein & Dehghan Shabani , Zahra & Moradi , Javad, 2020. "The Effects of Asset Securitization on Banks' Performances (Case Study: Bank Saderat Iran 2005-2015)," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(1), pages 1-24, January.
    3. Pranith Kumar Roy & Krishnendu Shaw & Alessio Ishizaka, 2023. "Developing an integrated fuzzy credit rating system for SMEs using fuzzy-BWM and fuzzy-TOPSIS-Sort-C," Annals of Operations Research, Springer, vol. 325(2), pages 1197-1229, June.
    4. David Edmund Allen & Elisa Luciano, 2019. "Risk Analysis and Portfolio Modelling," JRFM, MDPI, vol. 12(4), pages 1-4, September.
    5. Yusuf Priyo Anggodo & Abba Suganda Girsang, 2024. "A Novel Modified Binning and Logistics Regression to Handle Shifting in Credit Scoring," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2371-2403, June.
    6. Iryna Yanenkova & Yuliia Nehoda & Svetlana Drobyazko & Andrii Zavhorodnii & Lyudmyla Berezovska, 2021. "Modeling of Bank Credit Risk Management Using the Cost Risk Model," JRFM, MDPI, vol. 14(5), pages 1-15, May.
    7. Chrysovalantis Gaganis & Panagiota Papadimitri & Fotios Pasiouras & Menelaos Tasiou, 2023. "Social traits and credit card default: a two-stage prediction framework," Annals of Operations Research, Springer, vol. 325(2), pages 1231-1253, June.

  11. Monica Billio & Roberto Casarin & Sylvia Kaufmann & Matteo Iacopini, 2018. "Bayesian Dynamic Tensor Regression," Working Papers 2018:13, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Alain Hecq & Ivan Ricardo & Ines Wilms, 2024. "Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach," Papers 2407.07973, arXiv.org.
    2. Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".

  12. Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018. "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers 626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    2. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
    3. Alin Marius Andries & Steven Ongena & Nicu Sprincean & Radu Tunaru, 2020. "Risk Spillovers and Interconnectedness between Systemically Important Institutions," Swiss Finance Institute Research Paper Series 20-40, Swiss Finance Institute.
    4. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
    5. Daniel Felix Ahelegbey & Paolo Giudici, 2020. "NetVIX - A Network Volatility Index of Financial Markets," DEM Working Papers Series 192, University of Pavia, Department of Economics and Management.
    6. Eva F. Janssens & Robin L. Lumsdaine & Sebastiaan H.L.C.G. Vermeulen, 2022. "An Epidemiological Model of Economic Crisis Spread across Sectors in the United States," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(4), pages 885-919, June.
    7. Jozef Barunik & Michael Ellington, 2020. "Persistence in Financial Connectedness and Systemic Risk," Papers 2007.07842, arXiv.org, revised Nov 2023.
    8. Ahelegbey, Daniel Felix & Billio, Monica & Casarin, Roberto, 2024. "Modeling Turning Points in the Global Equity Market," Econometrics and Statistics, Elsevier, vol. 30(C), pages 60-75.
    9. Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
    10. Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
    11. Komla M. Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo, 2021. "Markov Switching Panel with Endogenous Synchronization Effects," BEMPS - Bozen Economics & Management Paper Series BEMPS82, Faculty of Economics and Management at the Free University of Bozen.
    12. Buse, Rebekka & Schienle, Melanie, 2019. "Measuring connectedness of euro area sovereign risk," International Journal of Forecasting, Elsevier, vol. 35(1), pages 25-44.
    13. Kenwin Maung, 2021. "Estimating high-dimensional Markov-switching VARs," Papers 2107.12552, arXiv.org.
    14. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
    15. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Leibniz Institute for Financial Research SAFE.
    16. Monica Billio & Roberto Casarin & Matteo Iacopini, 2018. "Bayesian Markov Switching Tensor Regression for Time-varying Networks," Working Papers 2018:14, Department of Economics, University of Venice "Ca' Foscari".
    17. Ouyang, Zisheng & Zhou, Xuewei & Wang, Gang-jin & Liu, Shuwen & Lu, Min, 2024. "Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 909-928.
    18. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector," International Review of Financial Analysis, Elsevier, vol. 90(C).
    19. Mike West, 2020. "Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 1-31, February.
    20. Georg Keilbar & Weining Wang, 2022. "Modelling systemic risk using neural network quantile regression," Empirical Economics, Springer, vol. 62(1), pages 93-118, January.
    21. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
    22. Hadjiantoni, Stella & Kontoghiorghes, Erricos John, 2022. "An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 1-18.
    23. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions," Research in International Business and Finance, Elsevier, vol. 65(C).
    24. Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).

  13. Monica Billio & Roberto Casarin & Matteo Iacopini, 2018. "Bayesian Markov Switching Tensor Regression for Time-varying Networks," Working Papers 2018:14, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".

  14. Komla Mawulom Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo, 2018. "Markov Switching Panel with Network Interaction Effects," Working Papers No 1/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.

    Cited by:

    1. Michael T. Owyang & Jeremy Piger & Daniel Soques, 2022. "Contagious switching," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 415-432, March.
    2. Antonio Pacifico, 2019. "Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems," Econometrics, MDPI, vol. 7(1), pages 1-24, March.

  15. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet, 2022. "Dynamic Large Financial Networks via Conditional Expected Shortfalls," Post-Print hal-03287947, HAL.
    2. Michele Costola & Matteo Iacopini & Casper Wichers, 2023. "Bayesian SAR model with stochastic volatility and multiple time-varying weights," Papers 2310.17473, arXiv.org.
    3. Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
    4. Tinic, Murat & Sensoy, Ahmet & Demir, Muge & Nguyen, Duc Khuong, 2020. "Broker Network Connectivity and the Cross-Section of Expected Stock Returns," MPRA Paper 104719, University Library of Munich, Germany.
    5. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto, 2019. "Estimation and model-based combination of causality networks among large US banks and insurance companies," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 1-21.
    6. Liu, Shaowen & Caporin, Massimiliano & Paterlini, Sandra, 2021. "Dynamic network analysis of North American financial institutions," Finance Research Letters, Elsevier, vol. 42(C).
    7. Costola, Michele & Iacopini, Matteo & Wichers, Casper, 2023. "Bayesian SAR model with stochastic volatility and multiple time-varying weights," SAFE Working Paper Series 407, Leibniz Institute for Financial Research SAFE.

  16. Monica Billio & Anna Petronevich, 2017. "Dynamical Interaction between Financial and Business Cycles," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01692239, HAL.

    Cited by:

    1. Cem Çakmakli & Hamza Dem I˙rcani & Sumru Altug, 2021. "Modelling of Economic and Financial Conditions for Real‐Time Prediction of Recessions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 663-685, June.
    2. Ashe, Sinéad & Egan, Paul, 2023. "Examining financial and business cycle interaction using cross recurrence plot analysis," Finance Research Letters, Elsevier, vol. 51(C).

  17. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.

    Cited by:

    1. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
    2. Daniel Felix Ahelegbey & Paolo Giudici, 2020. "NetVIX - A Network Volatility Index of Financial Markets," DEM Working Papers Series 192, University of Pavia, Department of Economics and Management.
    3. Daniel Felix Ahelegbey, 2022. "Statistical Modelling of Downside Risk Spillovers," FinTech, MDPI, vol. 1(2), pages 1-10, April.
    4. Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
    5. Ahelegbey, Daniel Felix & Billio, Monica & Casarin, Roberto, 2024. "Modeling Turning Points in the Global Equity Market," Econometrics and Statistics, Elsevier, vol. 30(C), pages 60-75.
    6. Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
    7. Nan Zhang & Daniel J. Graham & Daniel Hörcher & Prateek Bansal, 2021. "A causal inference approach to measure the vulnerability of urban metro systems," Transportation, Springer, vol. 48(6), pages 3269-3300, December.
    8. Minkun Kim & David Lindberg & Martin Crane & Marija Bezbradica, 2023. "Dirichlet Process Log Skew-Normal Mixture with a Missing-at-Random-Covariate in Insurance Claim Analysis," Econometrics, MDPI, vol. 11(4), pages 1-32, October.
    9. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
    10. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2023. "A flexible predictive density combination for large financial data sets in regular and crisis periods," Journal of Econometrics, Elsevier, vol. 237(2).
    11. Marco Tronzano, 2023. "Safe-Haven Currencies as Defensive Assets in Global Stocks Portfolios: A Reassessment of the Empirical Evidence (1999–2022)," JRFM, MDPI, vol. 16(5), pages 1-23, May.
    12. Camehl, Annika, 2023. "Penalized estimation of panel vector autoregressive models: A panel LASSO approach," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1185-1204.
    13. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
    14. Camehl, Annika & von Schweinitz, Gregor, 2023. "What explains international interest rate co-movement?," IWH Discussion Papers 3/2023, Halle Institute for Economic Research (IWH), revised 2023.
    15. Florian Huber & Gary Koop & Massimiliano Marcellino & Tobias Scheckel, 2024. "Bayesian modelling of VAR precision matrices using stochastic block networks," Papers 2407.16349, arXiv.org.
    16. Simon Beyeler & Sylvia Kaufmann, 2021. "Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 989-1012, November.
    17. Hu, Guanyu, 2021. "Spatially varying sparsity in dynamic regression models," Econometrics and Statistics, Elsevier, vol. 17(C), pages 23-34.
    18. Liu, Wei & Ma, Qianting & Liu, Xiaoxing, 2022. "Research on the dynamic evolution and its influencing factors of stock correlation network in the Chinese new energy market," Finance Research Letters, Elsevier, vol. 45(C).
    19. Florian Huber & Luca Rossini, 2020. "Inference in Bayesian Additive Vector Autoregressive Tree Models," Papers 2006.16333, arXiv.org, revised Mar 2021.
    20. Bernardi, Mauro & Costola, Michele, 2019. "High-dimensional sparse financial networks through a regularised regression model," SAFE Working Paper Series 244, Leibniz Institute for Financial Research SAFE.
    21. Zhang, Xingmin & Zhang, Shuai, 2021. "Optimal time-varying tail risk network with a rolling window approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).

  18. Monica Billio & Lorenzo Frattarolo & Hayette Gatfaoui & Philippe de Peretti, 2016. "Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01339826, HAL.

    Cited by:

    1. Candelon, Bertrand & Ferrara, Laurent & Joëts, Marc, 2021. "Global financial interconnectedness: a non-linear assessment of the uncertainty channel," LIDAM Reprints LFIN 2021003, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Franch, Fabio & Nocciola, Luca & Vouldis, Angelos, 2022. "Temporal networks in the analysis of financial contagion," Working Paper Series 2667, European Central Bank.
    3. Clemente, G.P. & Grassi, R., 2018. "Directed clustering in weighted networks: A new perspective," Chaos, Solitons & Fractals, Elsevier, vol. 107(C), pages 26-38.
    4. Atasoy, Burak Sencer & Özkan, İbrahim, 2024. "Correlation meets causality: A holistic measure of financial contagion," Finance Research Letters, Elsevier, vol. 65(C).

  19. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse seemingly unrelated regression model (SUR)," Working Papers 2016:20, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Chamberlain Mbah & Kris Peremans & Stefan Van Aelst & Dries F. Benoit, 2019. "Robust Bayesian seemingly unrelated regression model," Computational Statistics, Springer, vol. 34(3), pages 1135-1157, September.

  20. Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Laleh Tafakori & Armin Pourkhanali & Riccardo Rastelli, 2022. "Measuring systemic risk and contagion in the European financial network," Empirical Economics, Springer, vol. 63(1), pages 345-389, July.
    2. van de Leur, Michiel C.W. & Lucas, André & Seeger, Norman J., 2017. "Network, market, and book-based systemic risk rankings," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 84-90.
    3. Karatetskaya Efrosiniya & Lakshina Valeriya, 2018. "Volatility Spillovers With Spatial Effects On The Oil And Gas Market," HSE Working papers WP BRP 72/FE/2018, National Research University Higher School of Economics.
    4. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
    5. Xiurong Chen & Aimin Hao & Yali Li, 2020. "The impact of financial contagion on real economy-An empirical research based on combination of complex network technology and spatial econometrics model," PLOS ONE, Public Library of Science, vol. 15(3), pages 1-20, March.
    6. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto, 2019. "Estimation and model-based combination of causality networks among large US banks and insurance companies," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 1-21.
    7. Bernardi, Mauro & Costola, Michele, 2019. "High-dimensional sparse financial networks through a regularised regression model," SAFE Working Paper Series 244, Leibniz Institute for Financial Research SAFE.
    8. Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli, 2016. "A note on normalization schemes:The case of generalized forecast error variance decompositions," Department of Economics 0092, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    9. Francesco Caloia & Andrea Cipollini & Silvia Muzzioli, 2018. "On the financial connectedness of the commodity market: a replication of the Diebold and Yilmaz (2012) study," Department of Economics 0131, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    10. Caloia, Francesco Giuseppe & Cipollini, Andrea & Muzzioli, Silvia, 2019. "How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study," Energy Economics, Elsevier, vol. 84(C).
    11. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto Calogero, 2017. "Estimation and model-based combination of causality networks," SAFE Working Paper Series 165, Leibniz Institute for Financial Research SAFE.

  21. Billio, Monica & Donadelli, Michael & Paradiso, Antonio & Riedel, Max, 2016. "Which market integration measure?," SAFE Working Paper Series 159, Leibniz Institute for Financial Research SAFE.

    Cited by:

    1. Dai, Zhifeng & Zhu, Haoyang & Zhang, Xinhua, 2022. "Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle," Energy Economics, Elsevier, vol. 109(C).
    2. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2023. "Time-varying bond market integration and the impact of financial crises," International Review of Financial Analysis, Elsevier, vol. 90(C).
    3. Silvers, Roger, 2021. "Does regulatory cooperation help integrate equity markets?," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1275-1300.
    4. Raffaella Calabrese & Claudia Girardone & Alex Sclip, 2021. "Financial fragmentation and SMEs’ access to finance," Small Business Economics, Springer, vol. 57(4), pages 2041-2065, December.
    5. Starkey, Christopher Michael & Tsafack, Georges, 2023. "Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics," International Review of Financial Analysis, Elsevier, vol. 90(C).
    6. Zhang, Xu & Naeem, Muhammad Abubakr & Du, Yuting & Rauf, Abdul, 2024. "Examining the bidirectional ripple effects in the NFT markets: Risky center or hedging center?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
    7. He, Hongbo & Chen, Yiqing & Wan, Hong & Yao, Shujie, 2023. "Possibility versus feasibility: International portfolio diversification under financial liberalization," International Review of Financial Analysis, Elsevier, vol. 87(C).
    8. Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Patel, Ritesh, 2023. "The importance of ABS 2 journals in finance scholarship: Evidence from a bibliometric case study," Finance Research Letters, Elsevier, vol. 55(PA).
    9. David Roubaud & Bouri Elie & Qiang Ji, 2018. "Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities," Post-Print hal-02081506, HAL.
    10. Wu, Fei, 2020. "Stock market integration in East and Southeast Asia: The role of global factors," International Review of Financial Analysis, Elsevier, vol. 67(C).
    11. Mensah, Jones Odei & Premaratne, Gamini, 2018. "Integration of ASEAN banking sector stocks," Journal of Asian Economics, Elsevier, vol. 59(C), pages 48-60.
    12. Thomas F. P. Wiesen & Lakshya Bharadwaj, 2023. "Cryptocurrency Connectedness: Does Controlling for the Cross-Correlations Matter?," Applied Economics Letters, Taylor & Francis Journals, vol. 30(20), pages 2873-2880, November.
    13. Fotini Economou & Ioanna Kountouri & Yannis Panagopoulos & Georgia Skintzi & Ekaterini Tsouma, 2022. "Estimating excise tax revenue elasticity and buoyancy for tobacco products and alcoholic beverages: evidence from Greece," Applied Economics, Taylor & Francis Journals, vol. 54(39), pages 4557-4576, August.
    14. Patel, Ritesh & Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Yarovaya, Larisa, 2022. "A bibliometric review of financial market integration literature," International Review of Financial Analysis, Elsevier, vol. 80(C).
    15. Nardo, M. & Ossola, E. & Papanagiotou, E., 2022. "Financial integration in the EU28 equity markets: Measures and drivers," Journal of Financial Markets, Elsevier, vol. 57(C).
    16. Kunkler, Michael & MacDonald, Ronald, 2018. "Decomposition of the uncovered equity parity correlation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 44-58.
    17. Younis, Ijaz & Shah, Waheed Ullah & Yousaf, Imran, 2023. "Static and dynamic linkages between oil, gold and global equity markets in various crisis episodes: Evidence from the Wavelet TVP-VAR," Resources Policy, Elsevier, vol. 80(C).
    18. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 702-715.
    19. Krapl, Alain A., 2020. "The time-varying diversifiability of corporate foreign exchange exposure," Journal of Corporate Finance, Elsevier, vol. 65(C).
    20. Gelos, Gaston & Gornicka, Lucyna & Koepke, Robin & Sahay, Ratna & Sgherri, Silvia, 2021. "Capital Flows at Risk: Taming the Ebbs and Flows," CEPR Discussion Papers 15842, C.E.P.R. Discussion Papers.
    21. Ambrose Egwuonwu & Suman Lodh & Monomita Nandy, 2023. "Stock co‐movement and governance bundles: Does the quality of national governance moderate this relationship?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2530-2548, July.
    22. Jean-François Carpantier & Christelle Sapata, 2020. "The Ups and Downs of European Real Estate Markets’ Integration," Finance, Presses universitaires de Grenoble, vol. 41(2), pages 109-139.
    23. Donadelli, M. & Gufler, I. & Paradiso, A., 2024. "Financial market integration: A complex and controversial journey," International Review of Financial Analysis, Elsevier, vol. 92(C).
    24. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2022. "Measuring market integration during crisis periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    25. Wei Jiang & Yanyu Zhang, 2023. "Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1183-1203, September.
    26. Jian, Zhihong & Li, Xupei, 2021. "Skewness-based market integration: A systemic risk measure across international equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
    27. Schertler, Andrea & Moch, Nils, 2021. "Bank foreign assets, government support and international spillover effects of sovereign rating events on bank stock prices," Journal of Banking & Finance, Elsevier, vol. 130(C).
    28. Xie, Haixia & Sha, Yezhou & Li, Lingyi, 2024. "Synthesization of macroeconomic policies and stock return synchronicity: Evidence from countries along the Belt and Road Initiative," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
    29. Yao, Shujie & He, Hongbo & Chen, Shou & Ou, Jinghua, 2018. "Financial liberalization and cross-border market integration: Evidence from China's stock market," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 220-245.
    30. Sabilil Hakimi Amizuar & Anny Ratnawati & Trias Andati, 2017. "The Integration of International Capital Market from Indonesian Investors¡¯ Perspective: Do Integration Still Give Diversification Benefit," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(9), pages 157-165, September.
    31. Vo, Xuan Vinh & Tran, Thi Tuan Anh, 2020. "Modelling volatility spillovers from the US equity market to ASEAN stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
    32. Dong, Liang & Kot, Hung Wan & Lam, Keith S.K. & Liu, Ming, 2022. "Co-skewness and expected return: Evidence from international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    33. Zhang, Yaojie & Ma, Feng & Liao, Yin, 2020. "Forecasting global equity market volatilities," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1454-1475.
    34. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2024. "Diversification with globally integrated US stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    35. Umar, Zaghum & Zaremba, Adam & Umutlu, Mehmet & Mercik, Aleksander, 2024. "Interaction effects in the cross-section of country and industry returns," Journal of Banking & Finance, Elsevier, vol. 165(C).
    36. Jamel Jouini, 2023. "New evidence on financial integration in Latin America," Economics Bulletin, AccessEcon, vol. 43(4), pages 1802-1815.
    37. Michael Donadelli & Ivan Gufler, 2021. "Consumption smoothing, risk sharing and financial integration," The World Economy, Wiley Blackwell, vol. 44(1), pages 143-187, January.
    38. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Time and frequency connectedness and network across the precious metal and stock markets: Evidence from top precious metal importers and exporters," Resources Policy, Elsevier, vol. 72(C).
    39. Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022. "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, vol. 78(C).
    40. Zaimovic Azra & Arnaut-Berilo Almira & Bešlija Rijad, 2024. "International Portfolio Diversification Benefits: An Empirical Investigation of the 28 European Stock Markets During the Period 2014–2024," South East European Journal of Economics and Business, Sciendo, vol. 19(1), pages 96-112.
    41. Bhattacharya, Mita & Inekwe, John Nkwoma & Valenzuela, Maria Rebecca, 2018. "Financial integration in Africa: New evidence using network approach," Economic Modelling, Elsevier, vol. 72(C), pages 379-390.
    42. Biplab Bhattacharjee & Muhammad Shafi & Animesh Acharjee, 2017. "Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration," Data, MDPI, vol. 2(4), pages 1-28, December.
    43. Mohammad Benny Alexandri & Supriyanto, 2022. "Volatility Spillover between Stock Returns and Oil Prices during the Covid-19 Pandemic in ASEAN," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 126-133.
    44. He, Qing & Wang, Wenqing & Yu, Jishuang, 2023. "Exchange rate co-movements and corporate foreign exchange exposures: A study on RMB," International Review of Financial Analysis, Elsevier, vol. 90(C).

  22. Monica Billio & Roberto Casarin & Michele Costola & Andrea Pasqualini, 2015. "An entropy-based early warning indicator for systemic risk," Working Papers 2015:09, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Gruber, Lutz F. & West, Mike, 2017. "Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models," Econometrics and Statistics, Elsevier, vol. 3(C), pages 3-22.
    2. Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022. "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
    3. Cheng, Xian & Zhao, Haichuan, 2019. "Modeling, analysis and mitigation of contagion in financial systems," Economic Modelling, Elsevier, vol. 76(C), pages 281-292.
    4. Radu Lupu & Adrian Cantemir Călin & Cristina Georgiana Zeldea & Iulia Lupu, 2021. "Systemic Risk Spillovers in the European Energy Sector," Energies, MDPI, vol. 14(19), pages 1-23, October.
    5. Allaj, Erindi & Sanfelici, Simona, 2023. "Early Warning Systems for identifying financial instability," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1777-1803.
    6. Zhishuo Zhang & Yao Xiao & Zitian Fu & Kaiyang Zhong & Huayong Niu, 2022. "A Study on Early Warnings of Financial Crisis of Chinese Listed Companies Based on DEA–SVM Model," Mathematics, MDPI, vol. 10(12), pages 1-23, June.
    7. Casarin, Roberto & Costola, Michele, 2019. "Structural changes in large economic datasets: A nonparametric homogeneity test," Economics Letters, Elsevier, vol. 176(C), pages 55-59.
    8. De Novellis, G. & Musile Tanzi, P. & Ranalli, M.G. & Stanghellini, E., 2024. "Leveraged finance exposure in the banking system: Systemic risk and interconnectedness," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    9. Hossein Dastkhan, 2021. "Network‐based early warning system to predict financial crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 594-616, January.
    10. Cristina Zeldea, 2020. "Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions," Administrative Sciences, MDPI, vol. 10(3), pages 1-14, August.
    11. Chabot, Miia & Bertrand, Jean-Louis, 2021. "Complexity, interconnectedness and stability: New perspectives applied to the European banking system," Journal of Business Research, Elsevier, vol. 129(C), pages 784-800.
    12. Badics, Milan Csaba & Huszar, Zsuzsa R. & Kotro, Balazs B., 2023. "The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    13. Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Gong, Jue & Li, Zhao-Chen & Zhu, You, 2024. "Who dominate the information flowing between innovative and traditional financial assets? A multiscale entropy-based approach," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 329-358.
    14. Liang He & Shouwei Li, 2017. "Network Entropy and Systemic Risk in Dynamic Banking Systems," Complexity, Hindawi, vol. 2017, pages 1-7, November.
    15. Alonso-Alvarez, Irma & Molina, Luis, 2023. "How to foresee crises? A new synthetic index of vulnerabilities for emerging economies," Economic Modelling, Elsevier, vol. 125(C).
    16. Yang, Hsin-Feng & Liu, Chih-Liang & Yeutien Chou, Ray, 2020. "Bank diversification and systemic risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 311-326.
    17. Panayotis Michaelides & Mike Tsionas & Panos Xidonas, 2020. "A Bayesian Signals Approach for the Detection of Crises," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 551-585, September.
    18. Paulo L. dos Santos & Jangho Yang, 2019. "The persistent and informative distribution of returns on capital," Economics and Business Letters, Oviedo University Press, vol. 8(3), pages 156-165.
    19. Anna Maria Fiori & Francesco Porro, 2023. "A compositional analysis of systemic risk in European financial institutions," Annals of Finance, Springer, vol. 19(3), pages 325-354, September.
    20. Xin Su & Shengsen Duan & Shubing Guo & Haolong Liu, 2018. "Evolutionary Games in the Agricultural Product Quality and Safety Information System: A Multiagent Simulation Approach," Complexity, Hindawi, vol. 2018, pages 1-13, March.
    21. Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
    22. Marcellino, Massimiliano & Foroni, Claudia & Casarin, Roberto & Ravazzolo, Francesco, 2017. "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," CEPR Discussion Papers 12339, C.E.P.R. Discussion Papers.
    23. Li Wang, 2019. "The Risk Spillover Effects of Securities Companies in China’s Capital Market with the CoVaR Method," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(3), pages 1-7.

  23. Monica Billio & Michael Donadelli & Antonio Paradiso & Max Riedel, 2015. "Measuring Financial Integration: Lessons from the Correlation," Working Papers 2015:23, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Edson Zambon Monte & Renzo Caliman Souza & Ricardo Ramalhe Moreira, 2023. "Interrelationships Between the Brazilian Financial Market and Foreign Financial Markets: New Evidence During and After the Subprime Crisis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(5), pages 1-37, May.
    2. Edson Zambon Monte & Felipe Fantin Almeida, 2020. "Interrelationships Between The Stock Returns Of Brazilian Companies That Make Up The Sãƒo Paulo Stock Exchange Index," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 17(1), pages 115-145, January-J.
    3. Nardo, M. & Ossola, E. & Papanagiotou, E., 2022. "Financial integration in the EU28 equity markets: Measures and drivers," Journal of Financial Markets, Elsevier, vol. 57(C).
    4. Edson Z. Monte & Lucas B. Defanti, 2021. "Dynamic Interdependence and Volatility Transmission from the American to the Brazilian Stock Market," EERI Research Paper Series EERI RP 2021/09, Economics and Econometrics Research Institute (EERI), Brussels.

  24. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode," Tinbergen Institute Discussion Papers 15-111/III, Tinbergen Institute.

    Cited by:

    1. Michael T. Owyang & Jeremy Piger & Daniel Soques, 2022. "Contagious switching," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 415-432, March.
    2. Antonio Pacifico, 2019. "Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems," Econometrics, MDPI, vol. 7(1), pages 1-24, March.
    3. Martin Mandler & Michael Scharnagl & Ute Volz, 2022. "Heterogeneity in Euro Area Monetary Policy Transmission: Results from a Large Multicountry BVAR Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 627-649, March.
    4. Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," Working Paper series 18-12, Rimini Centre for Economic Analysis.
    5. Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi, 2020. "The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach," Papers 2012.14693, arXiv.org.
    6. Hauzenberger, Niko & Huber, Florian, 2018. "Model instability in predictive exchange rate regressions," Department of Economics Working Paper Series 276, WU Vienna University of Economics and Business.
    7. Duprey, Thibaut & Klaus, Benjamin, 2017. "How to predict financial stress? An assessment of Markov switching models," Working Paper Series 2057, European Central Bank.
    8. Komla M. Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo, 2021. "Markov Switching Panel with Endogenous Synchronization Effects," BEMPS - Bozen Economics & Management Paper Series BEMPS82, Faculty of Economics and Management at the Free University of Bozen.
    9. Eller, Markus & Hauzenberger, Niko & Huber, Florian & Schuberth, Helene & Vashold, Lukas, 2021. "The impact of macroprudential policies on capital flows in CESEE," Journal of International Money and Finance, Elsevier, vol. 119(C).
    10. Laura Liu & Christian Matthes & Katerina Petrova, 2022. "Monetary Policy Across Space and Time," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 37-64, Emerald Group Publishing Limited.
    11. Gianluca Cubadda & Stefano Grassi & Barbara Guardabascio, 2024. "The Time-Varying Multivariate Autoregressive Index Model," CEIS Research Paper 571, Tor Vergata University, CEIS, revised 10 Jan 2024.
    12. Huber, Florian & Pfarrhofer, Michael & Zörner, Thomas O., 2018. "Stochastic model specification in Markov switching vector error correction models," Working Papers in Economics 2018-3, University of Salzburg.
    13. Pfarrhofer, Michael & Niko , Hauzenberger, 2019. "Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy," Working Papers in Economics 2019-6, University of Salzburg.
    14. Grassi, Stefano & Ravazzolo, Francesco & Vespignani, Joaquin & Vocalelli, Giorgio, 2023. "Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach," Working Papers 2023-01, University of Tasmania, Tasmanian School of Business and Economics.
    15. Kundu, Srikanta & Paul, Amartya, 2022. "Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 597-612.
    16. Giulia Rivolta, 2018. "Potential ECB reaction functions with time-varying parameters: an assessment," Empirical Economics, Springer, vol. 55(4), pages 1425-1473, December.
    17. Camehl, Annika, 2023. "Penalized estimation of panel vector autoregressive models: A panel LASSO approach," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1185-1204.
    18. Schnücker, A.M., 2019. "Penalized Estimation of Panel Vector Autoregressive Models," Econometric Institute Research Papers EI-2019-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    19. Neville Francis & Michael T. Owyang & Daniel Soques, 2019. "Business Cycles Across Space and Time," Working Papers 2019-010, Federal Reserve Bank of St. Louis, revised 05 May 2021.
    20. Duprey, Thibaut & Klaus, Benjamin, 2022. "Early warning or too late? A (pseudo-)real-time identification of leading indicators of financial stress," Journal of Banking & Finance, Elsevier, vol. 138(C).
    21. Chan, Wai-Sum, 2022. "On temporal aggregation of some nonlinear time-series models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 38-49.
    22. Fontaine, Idriss & Razafindravaosolonirina, Justinien & Didier, Laurent, 2018. "Chinese policy uncertainty shocks and the world macroeconomy: Evidence from STVAR," China Economic Review, Elsevier, vol. 51(C), pages 1-19.
    23. Guisinger, Amy Y. & Owyang, Michael T. & Soques, Daniel, 2024. "Industrial Connectedness and Business Cycle Comovements," Econometrics and Statistics, Elsevier, vol. 29(C), pages 132-149.
    24. Idilbi-Bayaa, Yasmeen & Qadan, Mahmoud, 2022. "What the current yield curve says, and what the future prices of energy do," Resources Policy, Elsevier, vol. 75(C).
    25. Marcellino, Massimiliano & Foroni, Claudia & Casarin, Roberto & Ravazzolo, Francesco, 2017. "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," CEPR Discussion Papers 12339, C.E.P.R. Discussion Papers.
    26. Ovielt Baltodano L'opez & Roberto Casarin, 2022. "A Dynamic Stochastic Block Model for Multi-Layer Networks," Papers 2209.09354, arXiv.org.

  25. Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01310518, HAL.

    Cited by:

    1. Peter Martey Addo, 2014. "Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input," Papers 1407.7738, arXiv.org.
    2. Artur Silva Lopes & Gabriel Florin Zsurkis, 2019. "Are linear models really unuseful to describe business cycle data?," Applied Economics, Taylor & Francis Journals, vol. 51(22), pages 2355-2376, May.
    3. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.
    4. Lopes, Artur Silva & Zsurkis, Gabriel Florin, 2017. "Are linear models really unuseful to describe business cycle data?," Economics Discussion Papers 2017-5, Kiel Institute for the World Economy (IfW Kiel).

  26. Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "Turning point chronology for the euro area: A distance plot approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01310533, HAL.

    Cited by:

    1. Peter Martey Addo & Philippe De Peretti, 2014. "Detection and quantification of causal dependencies in multivariate time series: a novel information theoretic approach to understanding systemic risk," Documents de travail du Centre d'Economie de la Sorbonne 14069, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2. Peter Martey Addo, 2015. "Insights to the European debt crisis using recurrence quantification and network analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01164025, HAL.
    3. Peter Martey Addo, 2015. "Insights to the European debt crisis using recurrence quantification and network analysis," Post-Print halshs-01164025, HAL.

  27. Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01310513, HAL.

    Cited by:

    1. Marfatia, Hardik A., 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, Elsevier, vol. 34(C), pages 33-49.
    2. Bilgili, Faik & Kassouri, Yacouba & Kuşkaya, Sevda & Majok Garang, Aweng Peter, 2024. "The dynamic nexus of oil price fluctuations and banking sector in China: A continuous wavelet analysis," Resources Policy, Elsevier, vol. 88(C).
    3. María del Carmen Valls Martínez & Pedro Antonio Martín Cervantes, 2021. "Testing the Resilience of CSR Stocks during the COVID-19 Crisis: A Transcontinental Analysis," Mathematics, MDPI, vol. 9(5), pages 1-24, March.
    4. Hardik A. Marfatia, 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 33-49, September.
    5. Vera Ivanyuk, 2021. "Modeling of Crisis Processes in the Financial Market," Economies, MDPI, vol. 9(4), pages 1-17, October.

  28. Roberto Casarin & Monica Billio & Anthony Osuntuyi, 2014. "Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets," Working Papers 2014:07, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Chi Zhang & Zhengning Pu & Qin Zhou, 2018. "Sustainable Energy Consumption in Northeast Asia: A Case from China’s Fuel Oil Futures Market," Sustainability, MDPI, vol. 10(1), pages 1-14, January.
    2. Leng, Na & Li, Jiang-Cheng, 2020. "Forecasting the crude oil prices based on Econophysics and Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    3. Yu, Xing & Shen, Xilin & Li, Yanyan & Gong, Xue, 2023. "Selective hedging strategies for crude oil futures based on market state expectations," Global Finance Journal, Elsevier, vol. 57(C).
    4. Yu, Xing & Li, Yanyan & Lu, Junli & Shen, Xilin, 2023. "Futures hedging in crude oil markets: A trade-off between risk and return," Resources Policy, Elsevier, vol. 80(C).
    5. Wang, Yudong & Geng, Qianjie & Meng, Fanyi, 2019. "Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks," Energy, Elsevier, vol. 181(C), pages 815-826.
    6. Chun, Dohyun & Cho, Hoon & Kim, Jihun, 2019. "Crude oil price shocks and hedging performance: A comparison of volatility models," Energy Economics, Elsevier, vol. 81(C), pages 1132-1147.
    7. Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022. "On the stationarity of futures hedge ratios," Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
    8. Ataurima Arellano, Miguel & Rodríguez, Gabriel, 2020. "Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    9. Zhang Yue & Arash Farnoosh, 2018. "Analysing the Dynamic Impact of Electricity Futures on Revenue and Risks of Renewable Energy in China," Working Papers hal-03188814, HAL.
    10. Amaro, Raphael & Pinho, Carlos & Madaleno, Mara, 2022. "Forecasting the Value-at-Risk of energy commodities: A comparison of models and alternative distribution functions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 77-101.
    11. Carol Alexander & Jun Deng & Bin Zou, 2021. "Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading," Papers 2101.01261, arXiv.org, revised Aug 2021.
    12. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Liquidity, surprise volume and return premia in the oil market," Energy Economics, Elsevier, vol. 77(C), pages 93-104.
    13. Chang, Meng-Shiuh & Kung, Chih-Chun & Chen, Meng-Wei & Tian, Yuan, 2021. "Volatility regime, inverted asymmetry, contagion, and flights in the gold market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    14. Alexander, Carol & Deng, Jun & Zou, Bin, 2023. "Hedging with automatic liquidation and leverage selection on bitcoin futures," European Journal of Operational Research, Elsevier, vol. 306(1), pages 478-493.
    15. Cui, Yan & Feng, Yun, 2020. "Composite hedge and utility maximization for optimal futures hedging," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 15-32.
    16. Samet G nay, 2015. "Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 979-985.
    17. Li, Wei & Lu, Can, 2019. "The multiple effectiveness of state natural gas consumption constraint policies for achieving sustainable development targets in China," Applied Energy, Elsevier, vol. 235(C), pages 685-698.
    18. Gonzato, Luca & Sgarra, Carlo, 2021. "Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging," Energy Economics, Elsevier, vol. 99(C).
    19. Su, Kuangxi & Yao, Yinhong & Zheng, Chengli & Xie, Wenzhao, 2023. "A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 35-50.
    20. Mensi, Walid & Brahim, Mariem & Hammoudeh, Shawkat & Tiwari, Aviral Kumar & Kang, Sang Hoon, 2024. "Time-varying causality and correlations between spot and futures prices of natural gas, crude oil, heating oil, and gasoline," Resources Policy, Elsevier, vol. 93(C).
    21. Katleho Makatjane & Ntebogang Moroke, 2021. "Predicting Extreme Daily Regime Shifts in Financial Time Series Exchange/Johannesburg Stock Exchange—All Share Index," IJFS, MDPI, vol. 9(2), pages 1-18, March.
    22. Xianling Ren & Xinping Yu, 2024. "Hedging performance analysis of energy markets: Evidence from copula quantile regression," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 432-450, March.
    23. Cao, Min & Conlon, Thomas, 2023. "Composite jet fuel cross-hedging," Journal of Commodity Markets, Elsevier, vol. 30(C).
    24. Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2020. "Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction," Energy Economics, Elsevier, vol. 92(C).
    25. Zhu, Pengfei & Lu, Tuantuan & Chen, Shenglan, 2022. "How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    26. Junrong Liu & Zhiping Chen & Qihong Duan, 2024. "Automation of the Individualized Investing Strategy for an Investment Advisor Established by a Semi-Markov Regime-Switching Model," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2351-2370, June.
    27. Liu, Fang & Umair, Muhammad & Gao, Junjun, 2023. "Assessing oil price volatility co-movement with stock market volatility through quantile regression approach," Resources Policy, Elsevier, vol. 81(C).
    28. Chai, Shanglei & Zhou, P., 2018. "The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems," Energy Economics, Elsevier, vol. 76(C), pages 64-75.

  29. Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers 2014:29, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Ahelegbey, Daniel Felix & Giudici, Paolo & Hashem, Shatha Qamhieh, 2021. "Network VAR models to measure financial contagion," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    2. Fianu, Emmanuel Senyo & Ahelegbey, Daniel Felix & Grossi, Luigi, 2022. "Modeling risk contagion in the Italian zonal electricity market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 656-679.
    3. Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
    4. Ahelegbey, Daniel Felix & Giudici, Paolo & Hadji-Misheva, Branka, 2018. "Latent Factor Models for Credit Scoring in P2P Systems," MPRA Paper 92636, University Library of Munich, Germany, revised 11 Oct 2018.
    5. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
    6. Gregor Kastner & Florian Huber, 2020. "Sparse Bayesian vector autoregressions in huge dimensions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1142-1165, November.
    7. Mike West, 2020. "Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 1-31, February.
    8. Agosto, Arianna & Ahelegbey, Daniel Felix & Giudici, Paolo, 2020. "Tree Networks to assess Financial Contagion," MPRA Paper 107066, University Library of Munich, Germany.
    9. Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises," DEM Working Papers Series 188, University of Pavia, Department of Economics and Management.
    10. Ahelegbey, Daniel Felix, 2015. "The Econometrics of Bayesian Graphical Models: A Review With Financial Application," MPRA Paper 92634, University Library of Munich, Germany, revised 25 Apr 2016.
    11. Casarin, Roberto & Costola, Michele & Yenerdag, Erdem, 2018. "Financial bridges and network communities," SAFE Working Paper Series 208, Leibniz Institute for Financial Research SAFE, revised 2018.
    12. Daniel Felix Ahelegbey, 2015. "The Econometrics of Networks: A Review," Working Papers 2015:13, Department of Economics, University of Venice "Ca' Foscari".
    13. Daniel Felix Ahelegbey & Luis Carvalho & Eric D. Kolaczyk, 2020. "A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series," DEM Working Papers Series 181, University of Pavia, Department of Economics and Management.
    14. Teye, Alfred Larm & Ahelegbey, Daniel Felix, 2017. "Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach," Regional Science and Urban Economics, Elsevier, vol. 65(C), pages 56-64.

  30. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Paper 2013/20, Norges Bank.

    Cited by:

    1. Spezia, Luigi, 2020. "Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method," Computational Statistics & Data Analysis, Elsevier, vol. 143(C).
    2. Boris Blagov, 2013. "Financial crises and time- varying risk premia in a small open economy: a Markov-Switching DSGE model for Estonia," Bank of Estonia Working Papers wp2013-8, Bank of Estonia, revised 09 Dec 2013.
    3. Tomas Adam & Sona Benecka & Jakub Mateju, 2014. "Risk Aversion, Financial Stress and Their Non-Linear Impact on Exchange Rates," Working Papers 2014/07, Czech National Bank.
    4. Sylvia Kaufmann, 2014. "K-state switching models with time-varying transition distributions – Does credit growth signal stronger effects of variables on inflation?," Working Papers 14.04, Swiss National Bank, Study Center Gerzensee.
    5. Netésunajev, Aleksei & Glass, Katharina, 2016. "Uncertainty and employment dynamics in the euro area and the US," SFB 649 Discussion Papers 2016-002, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016. "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
    7. Roberto Casarin & Komla Mawulom Agudze & Monica Billio & Eric Girardin, 2014. "Growth-cycle phases in China�s provinces: A panel Markov-switching approach," Working Papers 2014:19, Department of Economics, University of Venice "Ca' Foscari".
    8. Adam, Tomáš & Benecká, Soňa & Matějů, Jakub, 2018. "Financial stress and its non-linear impact on CEE exchange rates," Journal of Financial Stability, Elsevier, vol. 36(C), pages 346-360.
    9. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
    10. Kaufmann, Sylvia, 2015. "K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation?," Journal of Econometrics, Elsevier, vol. 187(1), pages 82-94.

  31. Monica Billio & Gregory Jannin & Bertrand Maillet & Loriana Pelizzon, 2013. "Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure," Working Papers 2013:22, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Caio Almeida & Kim Ardison & René Garcia, 2020. "Nonparametric Assessment of Hedge Fund Performance," Post-Print hal-02550789, HAL.
    2. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    3. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2019. "Hedge Fund Strategies: A non-Parametric Analysis," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201902, University of Turin.

  32. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00964975, HAL.

    Cited by:

    1. Giuseppe Orlando & Fabio Della Rossa, 2019. "An Empirical Test on Harrod’s Open Economy Dynamics," Mathematics, MDPI, vol. 7(6), pages 1-13, June.
    2. Fan, Guo-Feng & Peng, Li-Ling & Hong, Wei-Chiang, 2018. "Short term load forecasting based on phase space reconstruction algorithm and bi-square kernel regression model," Applied Energy, Elsevier, vol. 224(C), pages 13-33.
    3. Peter Martey Addo & Philippe De Peretti, 2014. "Detection and quantification of causal dependencies in multivariate time series: a novel information theoretic approach to understanding systemic risk," Documents de travail du Centre d'Economie de la Sorbonne 14069, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    4. Chen, Mei-Ping & Lin, Yu-Hui & Tseng, Chun-Yao & Chen, Wen-Yi, 2015. "Bubbles in health care: Evidence from the U.S., U.K., and German stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 193-205.
    5. Giovanna Zimatore & Maria Chiara Gallotta & Matteo Campanella & Piotr H. Skarzynski & Giuseppe Maulucci & Cassandra Serantoni & Marco De Spirito & Davide Curzi & Laura Guidetti & Carlo Baldari & Stavr, 2022. "Detecting Metabolic Thresholds from Nonlinear Analysis of Heart Rate Time Series: A Review," IJERPH, MDPI, vol. 19(19), pages 1-24, October.
    6. Peter Martey Addo, 2015. "Insights to the European debt crisis using recurrence quantification and network analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01164025, HAL.
    7. Chang, C-L. & Allen, D.E. & McAleer, M.J., 2013. "Recent Developments in Financial Economics and Econometrics: An Overview," Econometric Institute Research Papers EI 2013-03, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    8. Peter Martey Addo, 2015. "Coupling direction of the European Banking and Insurance sectors using inter-system recurrence networks," Post-Print halshs-01169516, HAL.
    9. Peter Martey Addo & Philippe de Peretti & Hayette Gatfaoui & Jakob Runge, 2014. "The kiss of information theory that captures systemic risk," Post-Print hal-01110712, HAL.
    10. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    11. Deniz Kenan Kılıç & Ömür Uğur, 2018. "Multiresolution analysis of S&P500 time series," Annals of Operations Research, Springer, vol. 260(1), pages 197-216, January.
    12. Yao, Can-Zhong & Lin, Qing-Wen, 2017. "Recurrence plots analysis of the CNY exchange markets based on phase space reconstruction," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 584-596.
    13. Mostafa Shabani & Martin Magris & George Tzagkarakis & Juho Kanniainen & Alexandros Iosifidis, 2022. "Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots," Papers 2210.14605, arXiv.org, revised Nov 2022.
    14. Sensoy, Ahmet & Aras, Guler & Hacihasanoglu, Erk, 2015. "Predictability dynamics of Islamic and conventional equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 222-248.
    15. Emmanuel Numapau Gyamfi & Kwabena A. Kyei, 2016. "Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1194-1199.
    16. Peter Martey Addo, 2015. "Coupling direction of the European Banking and Insurance sectors using inter-system recurrence networks," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01169516, HAL.
    17. Peter Martey Addo, 2015. "Insights to the European debt crisis using recurrence quantification and network analysis," Post-Print halshs-01164025, HAL.
    18. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.
    19. Petre CARAIANI, 2015. "Testing For Nonlinearity In Unemployment Rates Via Delay Vector Variance," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 81-92, March.
    20. Álvarez-Díaz, Marcos & Hammoudeh, Shawkat & Gupta, Rangan, 2014. "Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 22-35.
    21. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2014. "Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data," Working Papers 2014-12, University of Tasmania, Tasmanian School of Business and Economics.
    22. Orlando, Giuseppe & Zimatore, Giovanna, 2018. "Recurrence quantification analysis of business cycles," Chaos, Solitons & Fractals, Elsevier, vol. 110(C), pages 82-94.
    23. M. Shabani & M. Magris & George Tzagkarakis & J. Kanniainen & A. Iosifidis, 2023. "Predicting the state of synchronization of financial time series using cross recurrence plots," Post-Print hal-04415269, HAL.
    24. Vera Ivanyuk, 2021. "Modeling of Crisis Processes in the Financial Market," Economies, MDPI, vol. 9(4), pages 1-17, October.
    25. Charakopoulos, Avraam & Karakasidis, Theodoros & Sarris, loannis, 2019. "Pattern identification for wind power forecasting via complex network and recurrence plot time series analysis," Energy Policy, Elsevier, vol. 133(C).
    26. Liu, Yanxin & Li, Johnny Siu-Hang & Ng, Andrew Cheuk-Yin, 2015. "Option pricing under GARCH models with Hansen's skewed-t distributed innovations," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 108-125.
    27. Ashe, Sinéad & Egan, Paul, 2023. "Examining financial and business cycle interaction using cross recurrence plot analysis," Finance Research Letters, Elsevier, vol. 51(C).

  33. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2013. "Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00965005, HAL.

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    2. Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara, 2012. "A new monthly chronology of the US industrial cycles in the prewar economy," Working Papers 12-02, Association Française de Cliométrie (AFC).
    3. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
    4. Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016. "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
    5. Knut Are Aastveit & Andr K. Anundsen & Eyo I. Herstad, 2017. "Residential investment and recession predictability," Working Papers No 8/2017, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.

  34. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Understanding Exchange Rates Dynamics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00803447, HAL.

    Cited by:

    1. Peter Martey Addo & Philippe De Peretti, 2014. "Detection and quantification of causal dependencies in multivariate time series: a novel information theoretic approach to understanding systemic risk," Documents de travail du Centre d'Economie de la Sorbonne 14069, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00803450, HAL.
    3. Peter Martey Addo & Philippe de Peretti & Hayette Gatfaoui & Jakob Runge, 2014. "The kiss of information theory that captures systemic risk," Post-Print hal-01110712, HAL.
    4. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    5. Emmanuel Numapau Gyamfi & Kwabena A. Kyei, 2016. "Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1194-1199.
    6. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.
    7. Petre CARAIANI, 2015. "Testing For Nonlinearity In Unemployment Rates Via Delay Vector Variance," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 81-92, March.
    8. Jaksic, Vesna & Mandic, Danilo P. & Karoumi, Raid & Basu, Bidroha & Pakrashi, Vikram, 2016. "Estimation of nonlinearities from pseudodynamic and dynamic responses of bridge structures using the Delay Vector Variance method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 441(C), pages 100-120.

  35. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00803457, HAL.

    Cited by:

    1. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.

  36. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.

    Cited by:

    1. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2016. "Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 15-084/III, Tinbergen Institute, revised 03 Jul 2017.
    2. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
    3. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    4. Daniele Bianchi & Kenichiro McAlinn, 2018. "Large-Scale Dynamic Predictive Regressions," Papers 1803.06738, arXiv.org.
    5. Yusupova, Alisa & Pavlidis, Nicos G. & Pavlidis, Efthymios G., 2023. "Dynamic linear models with adaptive discounting," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1925-1944.
    6. Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
    7. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014. "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers 14-090/III, Tinbergen Institute.
    8. Emilio Zanetti Chini, 2018. "Forecaster’s utility and forecasts coherence," CREATES Research Papers 2018-01, Department of Economics and Business Economics, Aarhus University.
    9. Barbara Rossi & Tatevik Sekhposyan, 2015. "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers 758, Barcelona School of Economics.
    10. Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Andres Ramirez Hassan, 2020. "Optimal probabilistic forecasts: When do they work?," Monash Econometrics and Business Statistics Working Papers 33/20, Monash University, Department of Econometrics and Business Statistics.
    11. Roberto Casarin & Fabrizio Leisen & German Molina & Enrique Ter Horst, 2014. "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities," Working Papers 2014:22, Department of Economics, University of Venice "Ca' Foscari".
    12. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
    13. Davide Pettenuzzo & Francesco Ravazzolo, 2015. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers No 9/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    14. Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    15. Capek, Jan & Crespo Cuaresma, Jesus & Hauzenberger, Niko & Reichel, Vlastimil, 2020. "Macroeconomic forecasting in the euro area using predictive combinations of DSGE models," Department of Economics Working Paper Series 305, WU Vienna University of Economics and Business.
    16. Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Combined Density Nowcasting in an Uncertain Economic Environment," Tinbergen Institute Discussion Papers 14-152/III, Tinbergen Institute.
    17. Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2019. "Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods," Journal of Asian Economics, Elsevier, vol. 60(C), pages 45-68.
    18. Tony Chernis & Taylor Webley, 2022. "Nowcasting Canadian GDP with Density Combinations," Discussion Papers 2022-12, Bank of Canada.
    19. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168222, Verein für Socialpolitik / German Economic Association.
    20. Marco J. Lombardi & Francesco Ravazzolo, 2012. "Oil price density forecasts: exploring the linkages with stock markets," Working Paper 2012/24, Norges Bank.
    21. Lenza, Michele & Moutachaker, Inès & Paredes, Joan, 2023. "Density forecasts of inflation: a quantile regression forest approach," CEPR Discussion Papers 18298, C.E.P.R. Discussion Papers.
    22. Francesco Ravazzolo & Tommy Sveen & Sepideh K. Zahiri, 2016. "Commodity Futures and Forecasting Commodity Currencies," Working Papers No 7/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    23. Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021. "Focused Bayesian prediction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 517-543, August.
    24. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," CREATES Research Papers 2013-09, Department of Economics and Business Economics, Aarhus University.
    25. Lombardi, Marco J. & Ravazzolo, Francesco, 2016. "On the correlation between commodity and equity returns: Implications for portfolio allocation," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 45-57.
    26. Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2019. "Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Working Paper 2019/2, Norges Bank.
    27. Pierre Guérin & Danilo Leiva-Leon, 2015. "Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data," Staff Working Papers 15-24, Bank of Canada.
    28. Cristina Conflitti & Christine De Mol & Domenico Giannone, 2012. "Optimal Combination of Survey Forecasts," Working Papers ECARES ECARES 2012-023, ULB -- Universite Libre de Bruxelles.
    29. Gelain, Paolo & Iskrev, Nikolay & J. Lansing, Kevin & Mendicino, Caterina, 2019. "Inflation dynamics and adaptive expectations in an estimated DSGE model," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 258-277.
    30. Niko Hauzenberger & Florian Huber & Karin Klieber, 2020. "Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques," Papers 2012.08155, arXiv.org, revised Dec 2021.
    31. Chen, Yi-Ting & Liu, Chu-An, 2023. "Model averaging for asymptotically optimal combined forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 592-607.
    32. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    33. Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2021. "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates," PIER Working Paper Archive 21-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    34. Nalan Basturk & Agnieszka Borowska & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2018. "Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies," Working Paper 2018/10, Norges Bank.
    35. Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," PIER Working Paper Archive 14-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    36. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2023. "A flexible predictive density combination for large financial data sets in regular and crisis periods," Journal of Econometrics, Elsevier, vol. 237(2).
    37. George Athanasopoulos & Puwasala Gamakumara & Anastasios Panagiotelis & Rob J Hyndman & Mohamed Affan, 2019. "Hierarchical Forecasting," Monash Econometrics and Business Statistics Working Papers 2/19, Monash University, Department of Econometrics and Business Statistics.
    38. Baran, Sándor & Lerch, Sebastian, 2018. "Combining predictive distributions for the statistical post-processing of ensemble forecasts," International Journal of Forecasting, Elsevier, vol. 34(3), pages 477-496.
    39. David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin & Bonsoo Koo, 2021. "Loss-Based Variational Bayes Prediction," Papers 2104.14054, arXiv.org, revised May 2022.
    40. Knüppel, Malte & Krüger, Fabian, 2017. "Forecast Uncertainty, Disagreement, and Linear Pools of Density Forecasts," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168294, Verein für Socialpolitik / German Economic Association.
    41. Victor Lopez-Perez, 2016. "Macroeconomic Forecast Uncertainty In The Euro Area," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(1), pages 9-41, March.
    42. Barbara Rossi, 2018. "Identifying and estimating the effects of unconventional monetary policy in the data: How to do It and what have we learned?," Economics Working Papers 1641, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2020.
    43. Leopoldo Catania, 2016. "Dynamic Adaptive Mixture Models," Papers 1603.01308, arXiv.org, revised Jan 2023.
    44. N. Fawcett & G. Kapetanios & J. Mitchell & S. Price, 2014. "Generalised Density Forecast Combinations," CAMA Working Papers 2014-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    45. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    46. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
    47. Kenichiro McAlinn & Kosaku Takanashi, 2019. "Mean-shift least squares model averaging," Papers 1912.01194, arXiv.org.
    48. Knut Are Aastveit & Jamie Cross & Herman K. van Dijk, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Tinbergen Institute Discussion Papers 21-053/III, Tinbergen Institute.
    49. Didier Nibbering & Richard Paap & Michel van der Wel, 2015. "What Do Professional Forecasters Actually Predict?," Tinbergen Institute Discussion Papers 15-095/III, Tinbergen Institute, revised 13 Oct 2017.
    50. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    51. Peter McAdam & Anders Warne, 2024. "Density forecast combinations: The real‐time dimension," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
    52. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Working Papers 819, Barcelona School of Economics.
    53. Nalan Basturk & Pinar Ceyhan & Herman K. van Dijk, 2014. "Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data," Tinbergen Institute Discussion Papers 14-119/III, Tinbergen Institute, revised 14 Sep 2014.
    54. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
    55. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
    56. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2015. "Bayesian nonparametric calibration and combination of predictive distributions," Working Paper 2015/03, Norges Bank.
    57. Byrne, Joseph & Fu, Rong, 2016. "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper 75366, University Library of Munich, Germany.
    58. Roberto Casarin & Domenico Sartore & Marco Tronzano, 2018. "A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 101-114, January.
    59. Roberto Casarin & Stefano Grassi & Francesco Ravazzollo & Herman K. van Dijk, 2019. "Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 19-025/III, Tinbergen Institute.
    60. Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    61. Fabio Busetti, 2017. "Quantile Aggregation of Density Forecasts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(4), pages 495-512, August.
    62. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
    63. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
    64. Bańbura, Marta & Brenna, Federica & Paredes, Joan & Ravazzolo, Francesco, 2021. "Combining Bayesian VARs with survey density forecasts: does it pay off?," Working Paper Series 2543, European Central Bank.
    65. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
    66. Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013. "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers 13-060/III, Tinbergen Institute, revised 06 Mar 2014.
    67. Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2014. "Density forecasts with MIDAS models," Working Paper 2014/10, Norges Bank.
    68. Li, Gang & Wu, Doris Chenguang & Zhou, Menglin & Liu, Anyu, 2019. "The combination of interval forecasts in tourism," Annals of Tourism Research, Elsevier, vol. 75(C), pages 363-378.
    69. Roberto Casarin & Giulia Mantoan & Francesco Ravazzolo, 2016. "Bayesian Calibration of Generalized Pools of Predictive Distributions," Econometrics, MDPI, vol. 4(1), pages 1-24, March.
    70. Wang, Xiaoqian & Hyndman, Rob J. & Li, Feng & Kang, Yanfei, 2023. "Forecast combinations: An over 50-year review," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1518-1547.
    71. Malte Knüppel & Fabian Krüger, 2022. "Forecast uncertainty, disagreement, and the linear pool," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 23-41, January.
    72. McAlinn, Kenichiro & West, Mike, 2019. "Dynamic Bayesian predictive synthesis in time series forecasting," Journal of Econometrics, Elsevier, vol. 210(1), pages 155-169.
    73. Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2016. "Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies," Tinbergen Institute Discussion Papers 16-099/III, Tinbergen Institute.
    74. K=osaku Takanashi & Kenichiro McAlinn, 2019. "Equivariant online predictions of non-stationary time series," Papers 1911.08662, arXiv.org, revised Jun 2023.
    75. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.
    76. Joscha Beckmann & Rainer Schüssler, 2014. "Forecasting Equity Premia using Bayesian Dynamic Model Averaging," CQE Working Papers 2914, Center for Quantitative Economics (CQE), University of Muenster.
    77. Kenneth Sæterhagen Paulsen & Tuva Marie Fastbø & Tobias Ingebrigtsen, 2022. "Aggregate density forecast of models using disaggregate data - A copula approach," Working Paper 2022/5, Norges Bank.

  37. Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-02312332, HAL.
    2. Liu Xiaochun & Luger Richard, 2018. "Markov-switching quantile autoregression: a Gibbs sampling approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1, April.
    3. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018. "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, vol. 70(C), pages 545-562.
    4. Cheng Peng & Young Shin Kim & Stefan Mittnik, 2022. "Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation," JRFM, MDPI, vol. 15(5), pages 1-23, May.
    5. Hotta, Luiz Koodi & Trucíos Maza, Carlos César & Pereira, Pedro L. Valls & Zevallos Herencia, Mauricio Henrique, 2024. "Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?," Textos para discussão 567, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    6. Monica Billio & Maddalena Cavicchioli, 2013. "�Markov Switching Models for Volatility: Filtering, Approximation and Duality�," Working Papers 2013:24, Department of Economics, University of Venice "Ca' Foscari".
    7. Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Mike K. P. So & Wing Ki Liu & Amanda M. Y. Chu, 2018. "Bayesian Shrinkage Estimation Of Time-Varying Covariance Matrices In Financial Time Series," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 369-404, December.
    9. Maciej Augustyniak & Mathieu Boudreault & Manuel Morales, 2018. "Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 165-188, March.
    10. Wee, Damien C.H. & Chen, Feng & Dunsmuir, William T.M., 2022. "Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo," Econometrics and Statistics, Elsevier, vol. 21(C), pages 50-68.
    11. Rewat Khanthaporn, 2022. "Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields," PIER Discussion Papers 183, Puey Ungphakorn Institute for Economic Research.
    12. BenSaïda, Ahmed, 2015. "The frequency of regime switching in financial market volatility," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 63-79.

  38. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.

    Cited by:

    1. Emmanuel Numapau Gyamfi & Kwabena A. Kyei, 2016. "Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1194-1199.

  39. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2012. "Bayesian Graphical Models for Structural Vector Autoregressive Processes," Working Papers 2012:36, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    2. Kastner, Gregor, 2019. "Sparse Bayesian time-varying covariance estimation in many dimensions," Journal of Econometrics, Elsevier, vol. 210(1), pages 98-115.
    3. Zhang, Xiaoyuan & Zhang, Tianqi, 2022. "Dynamic credit contagion and aggregate loss in networks," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    4. Alin Marius Andries & Steven Ongena & Nicu Sprincean & Radu Tunaru, 2020. "Risk Spillovers and Interconnectedness between Systemically Important Institutions," Swiss Finance Institute Research Paper Series 20-40, Swiss Finance Institute.
    5. Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-04250269, HAL.
    6. Ahelegbey, Daniel Felix & Giudici, Paolo & Hashem, Shatha Qamhieh, 2021. "Network VAR models to measure financial contagion," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    7. P. Giudici & A. Spelta, 2016. "Graphical Network Models for International Financial Flows," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 128-138, January.
    8. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
    9. Paolo Giudici & Laura Parisi, 2016. "Bail in or Bail out? The Atlante example from a systemic risk perspective," DEM Working Papers Series 124, University of Pavia, Department of Economics and Management.
    10. Aysan, Ahmet Faruk & Demir, Ender & Gozgor, Giray & Lau, Chi Keung Marco, 2019. "Effects of the geopolitical risks on Bitcoin returns and volatility," Research in International Business and Finance, Elsevier, vol. 47(C), pages 511-518.
    11. Daniele Bianchi & Monica Billio & Roberto Casarin & Massimo Guidolin, 2018. "Modeling Systemic Risk with Markov Switching Graphical SUR Models," Working Papers 626, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    12. Daniel Felix Ahelegbey & Paolo Giudici, 2020. "NetVIX - A Network Volatility Index of Financial Markets," DEM Working Papers Series 192, University of Pavia, Department of Economics and Management.
    13. Gozgor, Giray & Lau, Chi Keung Marco & Sheng, Xin & Yarovaya, Larisa, 2019. "The role of uncertainty measures on the returns of gold," Economics Letters, Elsevier, vol. 185(C).
    14. Kenny S, Victoria, 2019. "The role of agricultural sector performance on economic growth in Nigeria," MPRA Paper 93132, University Library of Munich, Germany.
    15. Daniel Felix Ahelegbey, 2022. "Statistical Modelling of Downside Risk Spillovers," FinTech, MDPI, vol. 1(2), pages 1-10, April.
    16. Wang, Ruting & Althof, Michael & Härdle, Wolfgang Karl, 2023. "A financial risk meter for China," Emerging Markets Review, Elsevier, vol. 56(C).
    17. Gruber, Lutz F. & West, Mike, 2017. "Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models," Econometrics and Statistics, Elsevier, vol. 3(C), pages 3-22.
    18. Yin, Libo & Ma, Xiyuan, 2018. "Causality between oil shocks and exchange rate: A Bayesian, graph-based VAR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 434-453.
    19. Fianu, Emmanuel Senyo & Ahelegbey, Daniel Felix & Grossi, Luigi, 2022. "Modeling risk contagion in the Italian zonal electricity market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 656-679.
    20. Ahmed H. Elsayed & Gareth Downing & Chi Keung Marco Lau & Xin Sheng, 2024. "Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1804-1819, April.
    21. Ahelegbey, Daniel Felix & Billio, Monica & Casarin, Roberto, 2024. "Modeling Turning Points in the Global Equity Market," Econometrics and Statistics, Elsevier, vol. 30(C), pages 60-75.
    22. Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
    23. Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea, 2016. "An entropy-based early warning indicator for systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 42-59.
    24. Ahmed H. Elsayed & Giray Gozgor & Chi Keung Marco Lau, 2022. "Causality and dynamic spillovers among cryptocurrencies and currency markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2026-2040, April.
    25. Ahelegbey, Daniel Felix & Giudici, Paolo & Hadji-Misheva, Branka, 2018. "Latent Factor Models for Credit Scoring in P2P Systems," MPRA Paper 92636, University Library of Munich, Germany, revised 11 Oct 2018.
    26. Komla M. Agudze & Monica Billio & Roberto Casarin & Francesco Ravazzolo, 2021. "Markov Switching Panel with Endogenous Synchronization Effects," BEMPS - Bozen Economics & Management Paper Series BEMPS82, Faculty of Economics and Management at the Free University of Bozen.
    27. Joshua C. C. Chan, 2019. "Large Bayesian vector autoregressions," CAMA Working Papers 2019-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    28. Paolo Giudici & Laura Parisi, 2016. "CoRisk: measuring systemic risk through default probability contagion," DEM Working Papers Series 116, University of Pavia, Department of Economics and Management.
    29. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
    30. Abuzayed, Bana & Al-Fayoumi, Nedal, 2021. "Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    31. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2019. "Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis," ESRB Working Paper Series 90, European Systemic Risk Board.
    32. Kenny S, Victoria, 2019. "The Role of Public Sector Enterprise on Economic Development: A Case Study Of The Nigerian Power Sector (1981-2015)," MPRA Paper 93291, University Library of Munich, Germany.
    33. Monica Billio & Roberto Casarin & Matteo Iacopini, 2018. "Bayesian Markov Switching Tensor Regression for Time-varying Networks," Working Papers 2018:14, Department of Economics, University of Venice "Ca' Foscari".
    34. Francesca Mariani & Gloria Polinesi & Maria Cristina Recchioni, 2022. "A tail-revisited Markowitz mean-variance approach and a portfolio network centrality," Computational Management Science, Springer, vol. 19(3), pages 425-455, July.
    35. Paolo Giudici & Laura Parisi, 2017. "Sovereign risk in the Euro area: a multivariate stochastic process approach," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1995-2008, December.
    36. Nicola, Giancarlo & Cerchiello, Paola & Aste, Tomaso, 2020. "Information network modeling for U.S. banking systemic risk," LSE Research Online Documents on Economics 107563, London School of Economics and Political Science, LSE Library.
    37. Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-faced nature of debt : results form a data driven cointegrated SVAR approach," Working Papers hal-03457555, HAL.
    38. Elie Bouri & Rangan Gupta & Seyedmehdi Hosseini & Chi Keung Marco Lau, 2017. "Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model," Working Papers 201704, University of Pretoria, Department of Economics.
    39. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector," International Review of Financial Analysis, Elsevier, vol. 90(C).
    40. Habibi, Hamidreza & Mohammadi, Hassan, 2022. "Return and volatility spillovers across the Western and MENA countries," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    41. Mike West, 2020. "Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 1-31, February.
    42. Rangan Gupta & Chi-Keung (Marco) Lau & Xin Sheng, 2019. "Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model," Working Papers 201910, University of Pretoria, Department of Economics.
    43. Li, Bingqing & Zhang, Xiaoyuan, 2024. "Systemic risk and financial networks," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 25-36.
    44. Νikolaos A. Kyriazis, 2021. "The effects of geopolitical uncertainty on cryptocurrencies and other financial assets," SN Business & Economics, Springer, vol. 1(1), pages 1-14, January.
    45. Nikolay Arefiev, 2016. "Graphical Interpretations of Rank Conditions For Identification of Linear Gaussian Models," HSE Working papers WP BRP 124/EC/2016, National Research University Higher School of Economics.
    46. Hannaford, Naomi E. & Heaps, Sarah E. & Nye, Tom M.W. & Curtis, Thomas P. & Allen, Ben & Golightly, Andrew & Wilkinson, Darren J., 2023. "A sparse Bayesian hierarchical vector autoregressive model for microbial dynamics in a wastewater treatment plant," Computational Statistics & Data Analysis, Elsevier, vol. 179(C).
    47. Urbi Garay & Enrique Ter Horst & German Molina & Abel Rodriguez, 2016. "Bayesian Nonparametric Measurement of Factor Betas and Clustering with Application to Hedge Fund Returns," Econometrics, MDPI, vol. 4(1), pages 1-23, March.
    48. Ahelegbey, Daniel Felix & Cerchiello, Paola & Scaramozzino, Roberta, 2022. "Network based evidence of the financial impact of Covid-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 81(C).
    49. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
    50. Nie, Chun-Xiao, 2022. "Analysis of critical events in the correlation dynamics of cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 586(C).
    51. Tian, Sihua & Li, Shaofang & Gu, Qinen, 2023. "Measurement and contagion modelling of systemic risk in China's financial sectors: Evidence for functional data analysis and complex network," International Review of Financial Analysis, Elsevier, vol. 90(C).
    52. Gupta, Rangan & Lau, Chi-Keung (Marco) & Sheng, Xin, 2020. "Graph theory-based network analysis of regional uncertainties of the US Economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    53. Kenny S, Victoria, 2019. "Effects of Human Capital Investment on Unemployment Volatility in Nigeria (1981-2015)," MPRA Paper 93295, University Library of Munich, Germany.
    54. Arefiev, Nikolay & Khabibullin, Ramis, 2018. "Bayesian identification of structural vector autoregression models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 49, pages 115-142.
    55. Roberto Casarin & Domenico Sartore & Marco Tronzano, 2018. "A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 101-114, January.
    56. Paolo Giudici & Laura Parisi, 2019. "Bail-In or Bail-Out? Correlation Networks to Measure the Systemic Implications of Bank Resolution," Risks, MDPI, vol. 7(1), pages 1-25, January.
    57. Paolo Giudici & Laura Parisi, 2018. "CoRisk: Credit Risk Contagion with Correlation Network Models," Risks, MDPI, vol. 6(3), pages 1-19, September.
    58. Carota, Cinzia & Durio, Alessandra & Guerzoni, Marco, 2014. "An Application of Graphical Models to the Innobarometer Survey: A Map of Firms’ Innovative Behaviour," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201444, University of Turin.
    59. Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2022. "Crypto Asset Portfolio Selection," FinTech, MDPI, vol. 1(1), pages 1-9, February.
    60. Demir, Ender & Gozgor, Giray & Lau, Chi Keung Marco & Vigne, Samuel A., 2018. "Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation," Finance Research Letters, Elsevier, vol. 26(C), pages 145-149.
    61. Paolo Giudici & Laura Parisi, 2015. "Modeling Systemic Risk with Correlated Stochastic Processes," DEM Working Papers Series 110, University of Pavia, Department of Economics and Management.
    62. Seabrook, Isobel & Barucca, Paolo & Caccioli, Fabio, 2022. "Structural importance and evolution: An application to financial transaction networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    63. Lai, Wei-Ting & Chen, Ray-Bing & Chen, Ying & Koch, Thorsten, 2022. "Variational Bayesian inference for network autoregression models," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
    64. Cameron Cornell & Lewis Mitchell & Matthew Roughan, 2024. "Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression," Papers 2408.12210, arXiv.org.
    65. Shaen Corbet & John W. Goodell & Samet Gunay & Kerem Kaskaloglu, 2023. "Are DeFi tokens a separate asset class from conventional cryptocurrencies?," Annals of Operations Research, Springer, vol. 322(2), pages 609-630, March.
    66. Celani, Alessandro & Cerchiello, Paola & Pagnottoni, Paolo, 2024. "The topological structure of panel variance decomposition networks," Journal of Financial Stability, Elsevier, vol. 71(C).
    67. Kenny S, Victoria, 2019. "Macroeconomic Performance Indicators and Exchange Rate Misalignment in Nigeria," MPRA Paper 93292, University Library of Munich, Germany.
    68. Ahelegbey, Daniel Felix & Giudici, Paolo & Hadji-Misheva, Branka, 2019. "Factorial Network Models To Improve P2P Credit Risk Management," MPRA Paper 92633, University Library of Munich, Germany.
    69. Agosto, Arianna & Ahelegbey, Daniel Felix & Giudici, Paolo, 2020. "Tree Networks to assess Financial Contagion," MPRA Paper 107066, University Library of Munich, Germany.
    70. Rigana, Katerina & Wit, Ernst-Jan Camiel & Cook, Samantha, 2023. "A new way of measuring effects of financial crisis on contagion in currency markets," International Review of Financial Analysis, Elsevier, vol. 90(C).
    71. Xiandeng Jiang & Le Chang & Yanlin Shi, 2023. "Housing price diffusions in mainland China: evidence from a spatially penalized graphical VAR model," Empirical Economics, Springer, vol. 64(2), pages 765-795, February.
    72. Ahelegbey, Daniel Felix & Celani, Alessandro & Cerchiello, Paola, 2024. "Measuring the impact of the EU health emergency response authority on the economic sectors and the public sentiment," Socio-Economic Planning Sciences, Elsevier, vol. 92(C).
    73. Simon Beyeler & Sylvia Kaufmann, 2021. "Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 989-1012, November.
    74. Guo, Hongfeng & Zhao, Xinyao & Yu, Hang & Zhang, Xin, 2021. "Analysis of global stock markets’ connections with emphasis on the impact of COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 569(C).
    75. Bouri, Elie & Gupta, Rangan & Hosseini, Seyedmehdi & Lau, Chi Keung Marco, 2018. "Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model," Emerging Markets Review, Elsevier, vol. 34(C), pages 124-142.
    76. David Oluseun Olayungbo & Aziza Zhuparova & Mamdouh Abdulaziz Saleh Al-Faryan, 2023. "Oil supply and oil price determination among OPEC and non-OPEC countries: Bayesian Granger network analysis," Economic Change and Restructuring, Springer, vol. 56(6), pages 4603-4628, December.
    77. Kenny S, Victoria, 2019. "Manufacturing Sector Performance, Exchange Rate Volatility and Inclusive Growth In Nigeria (1981-2015)," MPRA Paper 93296, University Library of Munich, Germany.
    78. Bernardi, Mauro & Costola, Michele, 2019. "High-dimensional sparse financial networks through a regularised regression model," SAFE Working Paper Series 244, Leibniz Institute for Financial Research SAFE.
    79. Seabrook, Isobel & Barucca, Paolo & Caccioli, Fabio, 2022. "Structural importance and evolution: an application to financial transaction networks," LSE Research Online Documents on Economics 117130, London School of Economics and Political Science, LSE Library.
    80. Victoria S, Kenny, 2019. "Effect of Foreign Direct Investment and Economic Growth in Nigeria," MPRA Paper 92873, University Library of Munich, Germany.
    81. Kanas, Angelos & Molyneux, Philip & Zervopoulos, Panagiotis D., 2023. "Systemic risk and CO2 emissions in the U.S," Journal of Financial Stability, Elsevier, vol. 64(C).
    82. Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises," DEM Working Papers Series 188, University of Pavia, Department of Economics and Management.
    83. Ahelegbey, Daniel Felix, 2015. "The Econometrics of Bayesian Graphical Models: A Review With Financial Application," MPRA Paper 92634, University Library of Munich, Germany, revised 25 Apr 2016.
    84. Casarin, Roberto & Costola, Michele & Yenerdag, Erdem, 2018. "Financial bridges and network communities," SAFE Working Paper Series 208, Leibniz Institute for Financial Research SAFE, revised 2018.
    85. Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach," Documents de Travail de l'OFCE 2017-02, Observatoire Francais des Conjonctures Economiques (OFCE).
    86. Nikolay Arefiev, 2016. "Identification of Monetary Policy Shocks within a Svar Using Restrictions Consistent with a DSGE Model," HSE Working papers WP BRP 125/EC/2016, National Research University Higher School of Economics.
    87. Daniela Scidá, 2023. "Structural VAR and financial networks: A minimum distance approach to spatial modeling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 49-68, January.
    88. Guðmundsson, Guðmundur Stefán & Brownlees, Christian, 2021. "Detecting groups in large vector autoregressions," Journal of Econometrics, Elsevier, vol. 225(1), pages 2-26.
    89. Daniel Felix Ahelegbey, 2015. "The Econometrics of Networks: A Review," Working Papers 2015:13, Department of Economics, University of Venice "Ca' Foscari".
    90. Daniel Felix Ahelegbey & Luis Carvalho & Eric D. Kolaczyk, 2020. "A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series," DEM Working Papers Series 181, University of Pavia, Department of Economics and Management.
    91. Paolo Giudici & Peter Sarlin & Alessandro Spelta, 2016. "The multivariate nature of systemic risk: direct and common exposures," DEM Working Papers Series 118, University of Pavia, Department of Economics and Management.
    92. Teye, Alfred Larm & Ahelegbey, Daniel Felix, 2017. "Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach," Regional Science and Urban Economics, Elsevier, vol. 65(C), pages 56-64.
    93. Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers 2014:29, Department of Economics, University of Venice "Ca' Foscari".
    94. Andrea Flori, 2019. "Cryptocurrencies In Finance: Review And Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-22, August.
    95. Paci, Lucia & Consonni, Guido, 2020. "Structural learning of contemporaneous dependencies in graphical VAR models," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
    96. Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
    97. Nikolaos A. Kyriazis, 2021. "The Nexus of Sophisticated Digital Assets with Economic Policy Uncertainty: A Survey of Empirical Findings and an Empirical Investigation," Sustainability, MDPI, vol. 13(10), pages 1-25, May.

  40. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00694420, HAL.

    Cited by:

    1. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00803450, HAL.
    2. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Micha³ Bernardelli, 2015. "The Economic Situation In Poland Through The Prism Of The Situation In The Enterprises On The Basis Of The Business Tendency Survey," GUT FME Conference Publications, in: Blazej Prusak (ed.),ENTERPRISES IN UNSTABLE ECONOMY, chapter 10, pages 109-136, Faculty of Management and Economics, Gdansk University of Technology.

  41. Monica Billio & Massimiliano Caporin & Michele Costola, 2012. "Backward/forward optimal combination of performance measures for equity screening," Working Papers 2012_13, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    3. León, Angel & Navarro, Lluís & Nieto, Belén, 2019. "Screening rules and portfolio performance," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 642-662.
    4. Michele Costola & Massimiliano Caporin, 2015. "Rational learning for risk-averse investors by conditioning on behavioral choices," Working Papers 2015:16, Department of Economics, University of Venice "Ca' Foscari".
    5. Massimiliano Caporin & Luca Corazzini & Michele Costola, 2014. "Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500," CREATES Research Papers 2014-33, Department of Economics and Business Economics, Aarhus University.
    6. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
    7. José Luis Miralles-Quirós & María Mar Miralles-Quirós, 2021. "Alternative Financial Methods for Improving the Investment in Renewable Energy Companies," Mathematics, MDPI, vol. 9(9), pages 1-25, May.

  42. Monica Billio & Massimiliano Caporin & Loriana Pelizzon & Domenico Sartore, 2012. "CDS Industrial Sector Indices, credit and liquidity risk," Working Papers 2012_09, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Mansur, Alfan, 2018. "Measuring Systemic Risk on Indonesia’s Banking System," MPRA Paper 93300, University Library of Munich, Germany, revised 12 Apr 2018.

  43. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.

    Cited by:

    1. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8, Bank for International Settlements.
    2. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    3. Pauwels, Laurent & Vasnev, Andrey, 2013. "Forecast combination for U.S. recessions with real-time data," Working Papers 2013-05, University of Sydney Business School, Discipline of Business Analytics.
    4. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
    5. Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi, 2020. "The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach," Papers 2012.14693, arXiv.org.
    6. Pierre Guérin & Danilo Leiva-Leon, 2015. "Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data," Staff Working Papers 15-24, Bank of Canada.
    7. Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016. "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
    8. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
    9. Roberto Casarin & Komla Mawulom Agudze & Monica Billio & Eric Girardin, 2014. "Growth-cycle phases in China�s provinces: A panel Markov-switching approach," Working Papers 2014:19, Department of Economics, University of Venice "Ca' Foscari".
    10. Pirschel, Inske, 2016. "Forecasting euro area recessions in real-time," Kiel Working Papers 2020, Kiel Institute for the World Economy (IfW Kiel).
    11. Knut Are Aastveit & Andr K. Anundsen & Eyo I. Herstad, 2017. "Residential investment and recession predictability," Working Papers No 8/2017, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    12. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.
    13. Leopoldo Catania, 2016. "Dynamic Adaptive Mixture Models," Papers 1603.01308, arXiv.org, revised Jan 2023.
    14. Kenichiro McAlinn & Kosaku Takanashi, 2019. "Mean-shift least squares model averaging," Papers 1912.01194, arXiv.org.
    15. Galdi, Giulio & Casarin, Roberto & Ferrari, Davide & Fezzi, Carlo & Ravazzolo, Francesco, 2023. "Nowcasting industrial production using linear and non-linear models of electricity demand," Energy Economics, Elsevier, vol. 126(C).
    16. Julien Chevallier & Bangzhu Zhu & Lyuyuan Zhang, 2021. "Forecasting Inflection Points: Hybrid Methods with Multiscale Machine Learning Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 537-575, February.
    17. Baumann, Ursel & Gomez-Salvador, Ramon & Seitz, Franz, 2019. "Detecting turning points in global economic activity," Working Paper Series 2310, European Central Bank.
    18. Roberto Casarin & Domenico Sartore & Marco Tronzano, 2018. "A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 101-114, January.
    19. Federico Bassetti & Roberto Casarin & Fabrizio Leisen, 2013. "Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference," Working Papers 2013:13, Department of Economics, University of Venice "Ca' Foscari".
    20. Pirschel, Inske, 2015. "Forecasting Euro Area Recessions in real-time with a mixed-frequency Bayesian VAR," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113031, Verein für Socialpolitik / German Economic Association.
    21. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
    22. McAlinn, Kenichiro & West, Mike, 2019. "Dynamic Bayesian predictive synthesis in time series forecasting," Journal of Econometrics, Elsevier, vol. 210(1), pages 155-169.
    23. K=osaku Takanashi & Kenichiro McAlinn, 2019. "Equivariant online predictions of non-stationary time series," Papers 1911.08662, arXiv.org, revised Jun 2023.
    24. Marcellino, Massimiliano & Foroni, Claudia & Casarin, Roberto & Ravazzolo, Francesco, 2017. "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," CEPR Discussion Papers 12339, C.E.P.R. Discussion Papers.

  44. Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A New Modelling Test: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne 11083r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2013.

    Cited by:

    1. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.

  45. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.

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    1. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
    2. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
    3. Miguel, Belmonte & Gary, Koop, 2013. "Model Switching and Model Averaging in Time- Varying Parameter Regression Models," SIRE Discussion Papers 2013-34, Scottish Institute for Research in Economics (SIRE).
    4. Andrés M. Alonso & Guadalupe Bastos & Carolina García-Martos, 2016. "Electricity Price Forecasting by Averaging Dynamic Factor Models," Energies, MDPI, vol. 9(8), pages 1-21, July.

  46. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".

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    2. Colin Ellis, 2020. "Are Corporate Bond Defaults Contagious across Sectors?," IJFS, MDPI, vol. 8(1), pages 1-17, January.
    3. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    4. Fengler, Matthias R. & Gisler, Katja I.M., 2015. "A variance spillover analysis without covariances: What do we miss?," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 174-195.
    5. Paltalidis, Nikos & Gounopoulos, Dimitrios & Kizys, Renatas & Koutelidakis, Yiannis, 2015. "Transmission channels of systemic risk and contagion in the European financial network," Journal of Banking & Finance, Elsevier, vol. 61(S1), pages 36-52.
    6. Petr Sokerin & Kristian Kuznetsov & Elizaveta Makhneva & Alexey Zaytsev, 2023. "Portfolio Selection via Topological Data Analysis," Papers 2308.07944, arXiv.org.
    7. David Aikman & Michael T. Kiley & Seung Jung Lee & Michael G. Palumbo & Missaka Warusawitharana, 2015. "Mapping Heat in the U.S. Financial System," Finance and Economics Discussion Series 2015-59, Board of Governors of the Federal Reserve System (U.S.).
    8. ARATA Yoshiyuki, 2018. "Bankruptcy propagation on a customer-supplier network: An empirical analysis in Japan," Discussion papers 18040, Research Institute of Economy, Trade and Industry (RIETI).
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    10. Junye Li & Gabriele Zinna, 2014. "How much of bank credit risk is sovereign risk? Evidence from the eurozone," Temi di discussione (Economic working papers) 990, Bank of Italy, Economic Research and International Relations Area.
    11. Borri, Nicola, 2018. "Local currency systemic risk," Emerging Markets Review, Elsevier, vol. 34(C), pages 111-123.
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    13. Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”," IREA Working Papers 201510, University of Barcelona, Research Institute of Applied Economics, revised Feb 2015.
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    48. Charles Cao & Bing Liang & Andrew W. Lo & Lubomir Petrasek, 2014. "Hedge fund holdings and stock market efficiency," Finance and Economics Discussion Series 2014-36, Board of Governors of the Federal Reserve System (U.S.).
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    1. Apostolos Chalkis & Emmanouil Christoforou & Ioannis Z. Emiris & Theodore Dalamagas, 2020. "Modeling asset allocation strategies and a new portfolio performance score," Papers 2012.05088, arXiv.org, revised Sep 2021.
    2. Ludovic Calès & Apostolos Chalkis & Ioannis Z. Emiris & Vissarion Fisikopoulos, 2018. "Practical Volume Computation of Structured Convex Bodies, and an Application to Modeling Portfolio Dependencies and Financial Crises," Post-Print hal-01897265, HAL.
    3. Monica Billio & Ludovic Calès & Dominique Guegan, 2012. "Cross-Sectional Analysis through Rank-based Dynamic," Documents de travail du Centre d'Economie de la Sorbonne 12036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    4. Monica Billio & Ludovic Calès & Dominique Guegan, 2012. "Cross-Sectional Analysis through Rank-based Dynamic Portfolios," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00707430, HAL.
    5. Apostolos Chalkis & Emmanouil Christoforou & Ioannis Z. Emiris & Theodore Dalamagas, 2021. "Modeling asset allocations and a new portfolio performance score," Digital Finance, Springer, vol. 3(3), pages 333-371, December.
    6. Cyril Bachelard & Apostolos Chalkis & Vissarion Fisikopoulos & Elias Tsigaridas, 2024. "Randomized Control in Performance Analysis and Empirical Asset Pricing," Papers 2403.00009, arXiv.org.

  48. Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00659158, HAL.

    Cited by:

    1. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    2. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.

  49. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index," Tinbergen Institute Discussion Papers 11-082/4, Tinbergen Institute.

    Cited by:

    1. Montgomery, Jacob M. & Hollenbach, Florian M. & Ward, Michael D., 2015. "Calibrating ensemble forecasting models with sparse data in the social sciences," International Journal of Forecasting, Elsevier, vol. 31(3), pages 930-942.

  50. Monica Billio & Roberto Casarin, 2010. "Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis," Working Papers 1002, University of Brescia, Department of Economics.

    Cited by:

    1. Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.
    2. Malika Hamadi & Andreas Heinen, 2011. "Ownership Structure and Firm Performance : Evidence from a non-parametric panel," DEM Discussion Paper Series 11-16, Department of Economics at the University of Luxembourg.
    3. Sylvia Kaufmann, 2011. "K-state switching models with endogenous transition distributions," Working Papers 2011-13, Swiss National Bank.

  51. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.

    Cited by:

    1. Binici, Mahir & Köksal, Bülent & Orman, Cüneyt, 2012. "Stock return comovement and systemic risk in the Turkish banking system," MPRA Paper 38663, University Library of Munich, Germany.
    2. Mensah, Jones Odei & Premaratne, Gamini, 2017. "Systemic interconnectedness among Asian Banks," Japan and the World Economy, Elsevier, vol. 41(C), pages 17-33.
    3. Carlos León & Clara Machado & Andrés Murcia, 2013. "Macro-prudential assessment of Colombian financial institutions’ systemic importance," Borradores de Economia 11105, Banco de la Republica.
    4. Marc Busse & Michel Dacorogna & Marie Kratz, 2014. "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Risks, MDPI, vol. 2(3), pages 1-17, July.
    5. Mardi Dungey & Matteo Luciani & David Veredas, 2012. "Ranking Systemically Important Financial Institutions," Tinbergen Institute Discussion Papers 12-115/IV/DSF44, Tinbergen Institute.
    6. Seo Joon Choi & Kanghyun Kim & Sunyoung Park, 2020. "Is systemic risk systematic? Evidence from the U.S. stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 642-663, October.
    7. Kuzubaş, Tolga Umut & Ömercikoğlu, Inci & Saltoğlu, Burak, 2014. "Network centrality measures and systemic risk: An application to the Turkish financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 203-215.
    8. Bank for International Settlements, 2011. "Fixed income strategies of insurance companies and pension funds," CGFS Papers, Bank for International Settlements, number 44, december.
    9. Flood, Mark D. & Lemieux, Victoria L. & Varga, Margaret & William Wong, B.L., 2016. "The application of visual analytics to financial stability monitoring," Journal of Financial Stability, Elsevier, vol. 27(C), pages 180-197.
    10. Zimo Yang & Tao Zhou & Pak Ming Hui & Jian-Hong Ke, 2012. "Instability in Evolutionary Games," PLOS ONE, Public Library of Science, vol. 7(11), pages 1-9, November.
    11. Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," Finance and Economics Discussion Series 2011-08, Board of Governors of the Federal Reserve System (U.S.).
    12. Seungjun Lee & Jaewoon Koo & Youngsik Kwak, 2014. "Determinants Of Common Factors In Korean Banks’ Credit Default Swap Premiums," American Journal of Economics and Business Administration, Science Publications, vol. 6(3), pages 100-108, December.
    13. Castro, Carlos & Ferrari, Stijn, 2014. "Measuring and testing for the systemically important financial institutions," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 1-14.
    14. Jaimes Caruana, 2013. "Measuring Systemic Risk," Chapters, in: Andreas Dombret & Otto Lucius (ed.), Stability of the Financial System, chapter 9, Edward Elgar Publishing.
    15. Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
    16. Viral V. Acharya & Matthew Richardson, 2012. "Implications of the Dodd-Frank Act," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 1-38, October.
    17. Allen, F. & Babus, A. & Carletti, E., 2010. "Financial Connections and Systemic Risk," Other publications TiSEM 76c1df26-9a76-424a-82b6-e, Tilburg University, School of Economics and Management.
    18. Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015. "Commonality in hedge fund returns: Driving factors and implications," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
    19. Renata Karkowska, 2013. "The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility," Faculty of Management Working Paper Series 32013, University of Warsaw, Faculty of Management.
    20. Jan Jurczyk & Alexander Eckrot & Ingo Morgenstern, 2016. "Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model," PLOS ONE, Public Library of Science, vol. 11(6), pages 1-12, June.
    21. Rodríguez-Moreno, María, 2010. "Systemic risk measures: the simpler the better," DEE - Working Papers. Business Economics. WB 9291, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    22. Zulu, Thulani & Manguzvane, Mathias Mandla & Bonga-Bonga, Lumengo, 2023. "Assessing the contribution of South African Insurance Firms to Systemic Risk," MPRA Paper 116815, University Library of Munich, Germany.
    23. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2012. "How to Calculate Systemic Risk Surcharges," NBER Chapters, in: Quantifying Systemic Risk, pages 175-212, National Bureau of Economic Research, Inc.
    24. Calomiris, Charles W. & Love, Inessa & Martínez Pería, María Soledad, 2012. "Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 743-765.
    25. Sayuj Choudhari & Richard Licheng Zhu, 2021. "Diagnosis of systemic risk and contagion across financial sectors," Papers 2101.06585, arXiv.org.
    26. Gordon, Leo-Rey, 2015. "The Absorption Ratio as an Indicator for Macro-prudential Monitoring in Jamaica," MPRA Paper 69966, University Library of Munich, Germany.
    27. Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
    28. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
    29. Andreas Jobst & Mr. Dale F Gray, 2013. "Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk," IMF Working Papers 2013/054, International Monetary Fund.
    30. Kubitza, Christian & Gründl, Helmut, 2016. "Systemic risk: Time-lags and persistence," ICIR Working Paper Series 20/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    31. Lin, Sihan & Chen, Shoudong, 2021. "Dynamic connectedness of major financial markets in China and America," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 646-656.
    32. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    33. Löffler, Gunter & Raupach, Peter, 2013. "Robustness and informativeness of systemic risk measures," Discussion Papers 04/2013, Deutsche Bundesbank.
    34. Martin Eling & David Antonius Pankoke, 2016. "Systemic Risk in the Insurance Sector: A Review and Directions for Future Research," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 19(2), pages 249-284, September.
    35. Calluzzo, Paul & Dong, Gang Nathan, 2015. "Has the financial system become safer after the crisis? The changing nature of financial institution risk," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 233-248.
    36. Renata Karkowska, 2015. "The role of investment banking in systemic risk profiles. Evidence from a panel of EU banking sectors," Faculty of Management Working Paper Series 22015, University of Warsaw, Faculty of Management.
    37. Vít Pošta & Zdeněk Pikhart, 2015. "Financial Risk and Real Variables: Evidence Based on a SVAR Analysis of the Czech Economy," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(5), pages 516-537.
    38. Madan, Dilip B. & Schoutens, Wim, 2013. "Systemic risk tradeoffs and option prices," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 222-230.
    39. Renata Karkowska, 2013. "Instability In The Cee Banking System. Evidence From The Recent Financial Crisis," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 5(4), pages 535-547, December.
    40. Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010. "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers 15850, National Bureau of Economic Research, Inc.
    41. Charles W. Calomiris & Inessa Love & Maria Soledad Martinez Peria, 2010. "Crisis "Shock Factors" and the Cross-Section of Global Equity Returns," NBER Working Papers 16559, National Bureau of Economic Research, Inc.
    42. Karolina Puławska, 2022. "Effects of the bank levy introduction on the interbank market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 844-864, January.
    43. Sun, Zhenzhen & Wang, Yaping, 2015. "Corporate precautionary savings: Evidence from the recent financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 175-186.
    44. Sangwon Suh & Inwon Jang & Misun Ahn, 2013. "A Simple Method For Measuring Systemic Risk Using Credit Default Swap Market Data," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(4), pages 75-100, December.
    45. Deborah Miori & Mihai Cucuringu, 2022. "SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis," Papers 2209.08825, arXiv.org.
    46. Kremer, Manfred & Lo Duca, Marco & Holló, Dániel, 2012. "CISS - a composite indicator of systemic stress in the financial system," Working Paper Series 1426, European Central Bank.
    47. Veni Arakelian & Shatha Qamhieh Hashem, 2020. "The Leaders, the Laggers, and the “Vulnerables”," Risks, MDPI, vol. 8(1), pages 1-32, March.
    48. Armen Hovakimian & Edward J. Kane & Luc Laeven, 2012. "Tracking Variation in Systemic Risk at US Banks During 1974-2013," NBER Working Papers 18043, National Bureau of Economic Research, Inc.
    49. Bomin Jiang & Roberto Rigobon & Munther A. Dahleh, 2020. "Contingent Linear Financial Networks," NBER Working Papers 26814, National Bureau of Economic Research, Inc.
    50. Irena Vodenska & Hideaki Aoyama & Yoshi Fujiwara & Hiroshi Iyetomi & Yuta Arai, 2016. "Interdependencies and Causalities in Coupled Financial Networks," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-32, March.
    51. Karkowska, Renata, 2014. "Is the Central and Eastern European banking systems stable? Evidence from the recent financial crisis," MPRA Paper 58803, University Library of Munich, Germany.
    52. Ren-Yuan Lyu & Ren-Raw Chen & San-Lin Chung & Yilu Zhou, 2024. "Systemic Risk and Bank Networks: A Use of Knowledge Graph with ChatGPT," FinTech, MDPI, vol. 3(2), pages 1-28, May.
    53. Umut Akovali & Kamil Yilmaz, 2021. "Unconventional Monetary Policy and Bond Market Connectedness in the New Normal," Koç University-TUSIAD Economic Research Forum Working Papers 2101, Koc University-TUSIAD Economic Research Forum.
    54. Xisong Jin & Francisco Nadal De Simone, 2015. "Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach," BCL working papers 95, Central Bank of Luxembourg.
    55. Malgorzata Olszak & Mateusz Pipien & Iwona Kowalska & Sylwia Roszkowska, 2015. "The impact of capital on lending in publicly-traded and privately- held banks in the EU," Faculty of Management Working Paper Series 72015, University of Warsaw, Faculty of Management.
    56. Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.
    57. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
    58. Addo, Kwabena Aboah & Hussain, Nazim & Iqbal, Jamshed, 2021. "Corporate Governance and Banking Systemic Risk: A Test of the Bundling Hypothesis," Journal of International Money and Finance, Elsevier, vol. 115(C).
    59. Bernd Schwaab & Andre Lucas & Siem Jan Koopman, 2010. "Systemic Risk Diagnostics," Tinbergen Institute Discussion Papers 10-104/2/DSF 2, Tinbergen Institute, revised 29 Nov 2010.
    60. Bongini, Paola & Nieri, Laura & Pelagatti, Matteo & Piccini, Andrea, 2017. "Curbing systemic risk in the insurance sector: A mission impossible?," The British Accounting Review, Elsevier, vol. 49(2), pages 256-273.
    61. Andre R. Neveu, 2018. "A survey of network-based analysis and systemic risk measurement," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 241-281, July.
    62. Visar Malaj, 2011. "Modern Portfolio Theory: Identification Of Optimal Portfolios And Capital Asset Pricing Model Test," Journal Articles, Center For Economic Analyses, pages 53-65, December.
    63. Lee, Chien-Chiang & Chang, Chi-Hung, 2015. "Financial policy and insurance development: Do financial reforms matter and how?," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 258-278.
    64. Mansur, Alfan, 2018. "Measuring Systemic Risk on Indonesia’s Banking System," MPRA Paper 93300, University Library of Munich, Germany, revised 12 Apr 2018.
    65. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
    66. Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.
    67. Jobst, Andreas A., 2013. "Multivariate dependence of implied volatilities from equity options as measure of systemic risk," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 112-129.
    68. Zugang Liu, 2013. "The co-evolution of integrated corporate financial networks and supply chain networks with insolvency risk," Computational Management Science, Springer, vol. 10(2), pages 253-275, June.

  52. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2010. "Combining predictive densities using Bayesian filtering with applications to US economics data," Working Paper 2010/29, Norges Bank.

    Cited by:

    1. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
    2. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers 2011/10, Czech National Bank.
    3. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
    4. Cristina Conflitti & Christine De Mol & Domenico Giannone, 2012. "Optimal Combination of Survey Forecasts," Working Papers ECARES ECARES 2012-023, ULB -- Universite Libre de Bruxelles.
    5. Andrés M. Alonso & Guadalupe Bastos & Carolina García-Martos, 2016. "Electricity Price Forecasting by Averaging Dynamic Factor Models," Energies, MDPI, vol. 9(8), pages 1-21, July.
    6. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index," Tinbergen Institute Discussion Papers 11-082/4, Tinbergen Institute.
    7. Elliott, Graham & Gargano, Antonio & Timmermann, Allan, 2013. "Complete subset regressions," Journal of Econometrics, Elsevier, vol. 177(2), pages 357-373.
    8. Kocięcki, Andrzej & Kolasa, Marcin & Rubaszek, Michał, 2012. "A Bayesian method of combining judgmental and model-based density forecasts," Economic Modelling, Elsevier, vol. 29(4), pages 1349-1355.

  53. Monica Billio & Ludovic Calès & Dominique Guegan, 2009. "Portfolio Symmetry and Momentum," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00363383, HAL.

    Cited by:

    1. Monica Billio & Ludovic Calès & Dominique Guegan, 2012. "Cross-Sectional Analysis through Rank-based Dynamic," Documents de travail du Centre d'Economie de la Sorbonne 12036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2. Cai, Xing & Xia, Wei & Huang, Weihua & Yang, Haijun, 2024. "Dynamics of momentum in financial markets based on the information diffusion in complex social networks," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
    3. Monica Billio & Ludovic Calès & Dominique Guegan, 2012. "Cross-Sectional Analysis through Rank-based Dynamic Portfolios," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00707430, HAL.
    4. Pätäri, Eero & Leivo, Timo & Honkapuro, Samuli, 2012. "Enhancement of equity portfolio performance using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 220(3), pages 786-797.
    5. Timo H. Leivo, 2012. "Combining value and momentum indicators in varying stock market conditions," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 11(4), pages 400-447, October.
    6. López-García, M.N. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & Pouchkarev, I., 2021. "Extending the Fama and French model with a long term memory factor," European Journal of Operational Research, Elsevier, vol. 291(2), pages 421-426.
    7. Pätäri, Eero & Karell, Ville & Luukka, Pasi & Yeomans, Julian S, 2018. "Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence," European Journal of Operational Research, Elsevier, vol. 265(2), pages 655-672.

  54. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423890, HAL.

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    2. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.

  55. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.

  56. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.

    Cited by:

    1. Alessandro Fedele & Paolo M. Panteghini & Sergio Vergalli, 2010. "Optimal Investment and Financial Strategies under Tax Rate Uncertainty," Working Papers 2010.68, Fondazione Eni Enrico Mattei.
    2. Alessandra Del Boca & Michele Fratianni & Franco Spinelli & Carmine Trecroci, 2008. "The Phillips Curve and the Italian Lira, 1861-1998," Working Papers 2008-05, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
    3. Alessandro Fedele & Raffaele Miniaci, 2010. "Do Social Enterprises Finance Their Investments Differently from For-profit Firms? The Case of Social Residential Services in Italy," Journal of Social Entrepreneurship, Taylor & Francis Journals, vol. 1(2), pages 174-189, October.
    4. Alessandro Fedele & Francesco Liucci & Andrea Mantovani, 2009. "Credit availability in the crisis: the European investment bank group," Working Papers 0913, University of Brescia, Department of Economics.
    5. Martin Meier & Enrico Minelli & Herakles Polemarchakis, 2009. "Competitive Markets with Private Information on Both Sides," Working Papers 0917, University of Brescia, Department of Economics.
    6. Monica Billio & Roberto Casarin, 2010. "Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis," Working Papers 1002, University of Brescia, Department of Economics.
    7. Francesco Menoncin & Paolo Panteghini, 2009. "Retrospective Capital Gains Taxation in the Real World," CESifo Working Paper Series 2674, CESifo.
    8. Rosella Levaggi & Francesco Menoncin, 2009. "Decentralized provision of merit and impure public goods," Working Papers 0909, University of Brescia, Department of Economics.
    9. Alberto Bisin & John Geanakoplos & Piero Gottardi & Enrico Minelli & Heracles Polemarchakis, 2009. "Markets and Contracts," Working Papers 0915, University of Brescia, Department of Economics.

  57. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage versus volatility: Evidence from the Capital Structure of European Firms," MPRA Paper 57682, University Library of Munich, Germany.
    2. Noureddine Benlagha, 2014. "Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 49-60, November.
    3. Gallegati, Marco, 2012. "A wavelet-based approach to test for financial market contagion," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3491-3497.
    4. Huthaifa Alqaralleh & Alessandra Canepa, 2021. "Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach," JRFM, MDPI, vol. 14(7), pages 1-18, July.
    5. Dilip Kumar, 2019. "Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2), pages 172-209, August.
    6. Sarantis Tsiaplias & Chew Lian Chua, 2013. "A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 244-271, February.
    7. Ndiweni, Zinzile Lorna & Bonga-Bonga, Lumengo, 2022. "Contagion or decoupling? Evidence from emerging stock markets," MPRA Paper 115170, University Library of Munich, Germany.
    8. Afonso, António & Gomes, Pedro & Taamouti, Abderrahim, 2014. "Sovereign credit ratings, market volatility, and financial gains," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 20-33.
    9. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-62, Department of Research, Ipag Business School.
    10. Ana Escribano & Cristina Íñiguez, 2021. "The contagion phenomena of the Brexit process on main stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4462-4481, July.
    11. Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016. "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE 2016-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    12. Koranteng, Barbara & You, Kefei, 2024. "Fintech and financial stability: Evidence from spatial analysis for 25 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
    13. Troug, Haytem Ahmed & Murray, Matt, 2015. "Crisis Determination and Financial Contagion: An Analysis of the Hong Kong and Tokyo Stock Markets using an MSBVAR Approach," MPRA Paper 68706, University Library of Munich, Germany.
    14. Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
    15. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
    16. Kohonen, Anssi, 2012. "Transmission of Government Default Risk in the Eurozone," MPRA Paper 43823, University Library of Munich, Germany.
    17. Veysov, Alexander, 2012. "Financial Contagion and Systemic Risk: From Theory to Applicable Macroeconomic Model," MPRA Paper 40612, University Library of Munich, Germany.
    18. Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012. "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1729-1744.
    19. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 140-158.
    20. Chua, Chew Lian & Suardi, Sandy & Tsiaplias, Sarantis, 2012. "An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks," Economics Letters, Elsevier, vol. 117(2), pages 452-454.
    21. Balli, Faruk & de Bruin, Anne & Chowdhury, Md Iftekhar Hasan, 2019. "Spillovers and the determinants in Islamic equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    22. Jung, R.C. & Maderitsch, R., 2014. "Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 331-342.
    23. Maria Kasch & Massimiliano Caporin, 2013. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 11(4), pages 706-742, September.
    24. Chang, Guang-Di & Chen, Chia-Shih, 2014. "Evidence of contagion in global REITs investment," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 148-158.
    25. Григорьев Р.А., 2019. "Одновременные Эффекты Несинхронных Временных Рядов: Проблемы Var-Модели," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 55(2), pages 118-129, апрель.
    26. Troug, Haytem Ahmed & Murray, Matt, 2015. "Quantitative Easing in Japan and the UK An Econometric Evaluation of the Impacts of Unconventional Monetary Policy on the Returns of Aggregate Output and Price Levels," MPRA Paper 68707, University Library of Munich, Germany.
    27. Burzala, Milda Maria, 2016. "Contagion effects in selected European capital markets during the financial crisis of 2007–2009," Research in International Business and Finance, Elsevier, vol. 37(C), pages 556-571.
    28. António Afonso & João Tovar Jalles, 2020. "Economic volatility and sovereign yields’ determinants: a time-varying approach," Empirical Economics, Springer, vol. 58(2), pages 427-451, February.
    29. Bolos, Bradut & Bacarea, Vladimir & Marusteri, Marius, 2011. "Approaching Economic Issues through Epidemiology–An Introduction to Business Epidemiology," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 257-276, March.
    30. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2015. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 575-611, December.
    31. Hong, Yanran & Ma, Feng & Wang, Lu & Liang, Chao, 2022. "How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test," Resources Policy, Elsevier, vol. 78(C).
    32. Bastian Gribisch, 2016. "Multivariate Wishart stochastic volatility and changes in regime," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 443-473, October.
    33. Wuyi Ye & Kebing Luo & Shaofu Du, 2014. "Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-12, June.
    34. PIERRET, Diane, 2013. "The systemic risk of energy markets," LIDAM Discussion Papers CORE 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    35. Erdem Kilic & Veysel Ulusoy, 2015. "Evidence for Financial Contagion in Endogenous Volatile Periods," Review of Development Economics, Wiley Blackwell, vol. 19(1), pages 62-74, February.
    36. Shegorika Rajwani & Dilip Kumar, 2016. "Asymmetric Dynamic Conditional Correlation Approach to Financial Contagion: A Study of Asian Markets," Global Business Review, International Management Institute, vol. 17(6), pages 1339-1356, December.
    37. Konstantinos Tsiaras, 2020. "Contagion in Futures Metal Markets during the Recent Global Financial Crisis: Evidence from Gold, Silver, Copper, Zinc and Aluminium," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 70(3-4), pages 42-55, July-Dece.
    38. Ginanjar Dewandaru & Rumi Masih & Mansur Masih, 2018. "Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 859-880, March.
    39. Liu, Bin & Xiao, Wen & Zhu, Xingting, 2023. "How does inter-industry spillover improve the performance of volatility forecasting?," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    40. Alqaralleh, Huthaifa & Canepa, Alessandra & Chini, Zanetti, 2021. "Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202110, University of Turin.
    41. Caporin, Massimiliano & Malik, Farooq, 2020. "Do structural breaks in volatility cause spurious volatility transmission?," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 60-82.
    42. Hon-Wei Leow & Wee-Yeap Lau, 2018. "The Impact of Global Financial Crisis on IPO Underpricing in Malaysian Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-17, December.
    43. Carlo Drago & Andrea Scozzari, 2022. "Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis," Papers 2202.02197, arXiv.org.
    44. Mariem Talbi & Adel Boubaker & Saber Sebai, 2017. "Behavioral Finance and Financial Contagion: The Evidence of DCC-MGARCH Model From 63 Equity Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 387-407.
    45. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
    46. Lopes, José Mário & Nunes, Luis C., 2012. "A Markov regime switching model of crises and contagion: The case of the Iberian countries in the EMS," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1141-1153.
    47. Zhang, Qun & Zhang, Zhendong & Luo, Jiawen, 2024. "Asymmetric and high-order risk transmission across VIX and Chinese futures markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
    48. Lamo, Ana & Pérez, Javier J. & Schuknecht, Ludger, 2013. "Are government wages interlinked with private sector wages?," Journal of Policy Modeling, Elsevier, vol. 35(5), pages 697-712.
    49. Kotkatvuori-Örnberg, Juha & Nikkinen, Jussi & Äijö, Janne, 2013. "Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 70-78.
    50. Cevik, Emrah Ismail & Caliskan Terzioglu, Hande & Kilic, Yunus & Bugan, Mehmet Fatih & Dibooglu, Sel, 2024. "Interconnectedness and systemic risk: Evidence from global stock markets," Research in International Business and Finance, Elsevier, vol. 69(C).
    51. el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet, 2014. "Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening," MPRA Paper 57685, University Library of Munich, Germany.
    52. Kumar, Dilip, 2017. "Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 149-167.
    53. Ferhat Camlica & Didem Gunes & Etkin Ozen, 2017. "A Financial Connectedness Analysis for Turkey," Working Papers 1719, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    54. Edson Z. Monte & Lucas B. Defanti, 2021. "Dynamic Interdependence and Volatility Transmission from the American to the Brazilian Stock Market," EERI Research Paper Series EERI RP 2021/09, Economics and Econometrics Research Institute (EERI), Brussels.
    55. Carlo Drago & Andrea Scozzari, 2023. "A Network-Based Analysis for Evaluating Conditional Covariance Estimates," Mathematics, MDPI, vol. 11(2), pages 1-19, January.
    56. Collet, Jerome & Ielpo, Florian, 2018. "Sector spillovers in credit markets," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 267-278.
    57. Charilaos Mertzanis & Noha Allam, 2018. "Political Instability and Herding Behaviour: Evidence from Egypt’s Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1), pages 29-59, April.
    58. Samet Gunay & Gokberk Can, 2022. "The source of financial contagion and spillovers: An evaluation of the covid-19 pandemic and the global financial crisis," PLOS ONE, Public Library of Science, vol. 17(1), pages 1-20, January.

  58. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Valérie Mignon & Antonin Aviat & Frédérique Bec & Claude Diebolt & Catherine Doz & Denis Ferrand & Laurent Ferrara & Eric Heyer & Pierre-Alain Pionnier, 2023. "Dating business cycles in France : a reference chronology [Les cycles économiques de la France : une datation de référence]," PSE-Ecole d'économie de Paris (Postprint) hal-03661598, HAL.
    2. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Working papers 239, Banque de France.
    3. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
    4. Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara, 2012. "A new monthly chronology of the US industrial cycles in the prewar economy," Working Papers 12-02, Association Française de Cliométrie (AFC).
    5. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423890, HAL.
    6. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "Business Cycle Analysis with Multivariate Markov Switching Models," Working Papers 2007_32, Department of Economics, University of Venice "Ca' Foscari".
    7. Marie Adanero-Donderis & Olivier Darné & Laurent Ferrara, 2009. "Un indicateur probabiliste du cycle d’accélération pour l’économie française," Économie et Prévision, Programme National Persée, vol. 189(3), pages 95-114.
    8. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    9. Laurent Ferrara & Dominique Guegan, 2006. "Real-time detection of the business cycle using SETAR models," Post-Print halshs-00185372, HAL.
    10. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, Department of Economics, University of Venice "Ca' Foscari".
    11. Charlotte Le Chapelain, 2012. "Allocation des talents et accumulation de capital humain en France à la fin du XIXe siècle," Working Papers 12-03, Association Française de Cliométrie (AFC).
    12. Ferrara, L., 2008. "The contribution of cyclical turning point indicators to business cycle analysis," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 49-61, Autumn.
    13. Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
    14. Bellégo, C. & Ferrara, L., 2012. "Macro-financial linkages and business cycles: A factor-augmented probit approach," Economic Modelling, Elsevier, vol. 29(5), pages 1793-1797.
    15. Christophe Bellégo & Laurent Ferrara, 2010. "A factor-augmented probit model for business cycle analysis," EconomiX Working Papers 2010-14, University of Paris Nanterre, EconomiX.
    16. Palenzuela, Diego Rodriguez & Saiz, Lorena & Stoevsky, Grigor & Tóth, Máté & Warmedinger, Thomas & Grigoraș, Veaceslav, 2024. "The euro area business cycle and its drivers," Occasional Paper Series 354, European Central Bank.
    17. Fathi Elachhab, 2009. "Décrire le cycle économique en Tunisie," Économie et Prévision, Programme National Persée, vol. 189(3), pages 75-92.
    18. Catherine Doz & Anna Petronevich, 2016. "Dating Business Cycle Turning Points for the French Economy: An MS-DFM approach," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 481-538, Emerald Group Publishing Limited.
    19. Agnieszka Gehringer & Thomas Mayer, 2021. "Measuring the Business Cycle Chronology with a Novel Business Cycle Indicator for Germany," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 71-89, April.
    20. Amélie Charles & Olivier Darné, 2015. "Identifying and characterizing business and acceleration cycles of French jobseekers Identifying and characterizing business and acceleration cycles of French jobseekers," Working Papers hal-01160090, HAL.
    21. Ferrara, L. & Vigna, O., 2009. "Cyclical relationships between GDP and housing market in France: Facts and factors at play," Working papers 268, Banque de France.

  59. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "Business Cycle Analysis with Multivariate Markov Switching Models," Working Papers 2007_32, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
    2. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423890, HAL.
    3. Danilo Leiva-Leon, 2014. "A New Approach to Infer Changes in the Synchronization of Business Cycle Phases," Staff Working Papers 14-38, Bank of Canada.
    4. Gallo, Giampiero M. & Otranto, Edoardo, 2008. "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3011-3026, February.
    5. Fady Barsoum & Sandra Stankiewicz, 2013. "Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes," Working Paper Series of the Department of Economics, University of Konstanz 2013-10, Department of Economics, University of Konstanz.
    6. Monica Billio & Anna Petronevich, 2017. "Dynamical Interaction between Financial and Business Cycles," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01692239, HAL.
    7. Danilo Leiva-Leon, 2017. "Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework," Working Papers 1726, Banco de España.
    8. Richard Apau & Peter Moores-Pitt & Paul-Francois Muzindutsi, 2021. "Regime-Switching Determinants of Mutual Fund Performance in South Africa," Economies, MDPI, vol. 9(4), pages 1-20, October.
    9. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.

  60. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Apostolos Chalkis & Emmanouil Christoforou & Theodore Dalamagkas & Ioannis Z. Emiris, 2021. "Modeling of crisis periods in stock markets," Papers 2103.13294, arXiv.org.
    2. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
    3. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
    4. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    5. Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2006. "Is There Hedge Fund Contagion?," NBER Working Papers 12090, National Bureau of Economic Research, Inc.
    6. Franck Martin & Mai lan Nguyen, 2015. "Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?," Economics Bulletin, AccessEcon, vol. 35(4), pages 2110-2125.
    7. Pejman Abedifar & Paolo Giudici & Shatha Hashem, 2017. "Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems," DEM Working Papers Series 134, University of Pavia, Department of Economics and Management.
    8. Ludovic Calès & Apostolos Chalkis & Ioannis Z. Emiris & Vissarion Fisikopoulos, 2018. "Practical Volume Computation of Structured Convex Bodies, and an Application to Modeling Portfolio Dependencies and Financial Crises," Post-Print hal-01897265, HAL.
    9. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    10. Paolo Giudici & Shatha Hashem, 2015. "Systemic risk of Islamic Banks," DEM Working Papers Series 103, University of Pavia, Department of Economics and Management.
    11. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2018. "Hedge fund performance attribution under various market conditions," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 221-237.
    12. Stafylas, Dimitrios & Andrikopoulos, Athanasios, 2020. "Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods," Research in International Business and Finance, Elsevier, vol. 52(C).
    13. Lambert, Marie & Platania, Federico, 2020. "The macroeconomic drivers in hedge fund beta management," Economic Modelling, Elsevier, vol. 91(C), pages 65-80.
    14. Dragomirescu-Gaina, Catalin & Philippas, Dionisis & Tsionas, Mike G., 2021. "Trading off accuracy for speed: Hedge funds' decision-making under uncertainty," International Review of Financial Analysis, Elsevier, vol. 75(C).
    15. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    16. Giannikis, Dimitrios & Vrontos, Ioannis D., 2011. "A Bayesian approach to detecting nonlinear risk exposures in hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1399-1414, June.
    17. Zhao, Li & Huang, Wenli & Yang, Chen & Li, Shenghong, 2018. "Hedge fund leverage with stochastic market conditions," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 258-273.
    18. Roumpis, Efthymios & Syriopoulos, Theodore, 2014. "Dynamics and risk factors in hedge funds returns: Implications for portfolio construction and performance evaluation," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 58-77.
    19. Urbi Garay & Enrique Ter Horst & German Molina & Abel Rodriguez, 2016. "Bayesian Nonparametric Measurement of Factor Betas and Clustering with Application to Hedge Fund Returns," Econometrics, MDPI, vol. 4(1), pages 1-23, March.
    20. Racicot, François-Éric & Théoret, Raymond, 2018. "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 637-675.
    21. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data," Working Papers 2008_11, Department of Economics, University of Venice "Ca' Foscari".
    22. Luo, Cuicui & Seco, Luis & Wu, Lin-Liang Bill, 2015. "Portfolio optimization in hedge funds by OGARCH and Markov Switching Model," Omega, Elsevier, vol. 57(PA), pages 34-39.
    23. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene, 2008. "Hedge Fund Contagion and Liquidity," Working Paper Series 2008-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    24. Astrid Ayala & Szabolcs Blazsek, 2018. "Equity market neutral hedge funds and the stock market: an application of score-driven copula models," Applied Economics, Taylor & Francis Journals, vol. 50(37), pages 4005-4023, August.
    25. Noori, Mohammad & Hitaj, Asmerilda, 2023. "Dissecting hedge funds' strategies," International Review of Financial Analysis, Elsevier, vol. 85(C).
    26. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2017. "Recent advances in explaining hedge fund returns: Implicit factors and exposures," Global Finance Journal, Elsevier, vol. 33(C), pages 69-87.
    27. François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    28. Elyasiani, Elyas & Mansur, Iqbal, 2017. "Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model," Journal of Financial Stability, Elsevier, vol. 28(C), pages 49-65.
    29. Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli, 2022. "Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia," Papers 2202.10721, arXiv.org.
    30. Apostolos Chalkis & Emmanouil Christoforou & Ioannis Z. Emiris & Theodore Dalamagas, 2021. "Modeling asset allocations and a new portfolio performance score," Digital Finance, Springer, vol. 3(3), pages 333-371, December.
    31. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra.

  61. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI," Working Papers 2007_19, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423890, HAL.

  62. Monica Billio & Roberto Casarin & Domenico Sartore, 2007. "Bayesian Inference on Dynamic Models with Latent Factors," Working Papers 2007_34, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Monica Billio & Roberto Casarin, 2010. "Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 145-167.
    2. Thales S. Teixeira & Michel Wedel & Rik Pieters, 2010. "Moment-to-Moment Optimal Branding in TV Commercials: Preventing Avoidance by Pulsing," Marketing Science, INFORMS, vol. 29(5), pages 783-804, 09-10.
    3. Billio Monica & Casarin Roberto, 2011. "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-32, September.
    4. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.

  63. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
    2. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra.

  64. Monica Billio & Massimiliano Caporin, 2006. "A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation," Working Papers 2006_53, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Yen-Hsien Lee, 2014. "An international analysis of REITs and stock portfolio management based on dynamic conditional correlation models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 165-180, May.
    2. Geert Dhaene & Piet Sercu & Jianbin Wu, 2022. "Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 868-887, May.
    3. Gian Piero Aielli & Massimiliano Caporin, 2011. "Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators," "Marco Fanno" Working Papers 0133, Dipartimento di Scienze Economiche "Marco Fanno".
    4. Jacobs, Michael & Karagozoglu, Ahmet K., 2014. "On the characteristics of dynamic correlations between asset pairs," Research in International Business and Finance, Elsevier, vol. 32(C), pages 60-82.
    5. Massimiliano Caporin & Michael McAleer, 2009. "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," CARF F-Series CARF-F-156, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    6. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
      • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Amine Lahiani & Khaled Guesmi, 2014. "Commodity Price Correlation and Time varying Hedge Ratios," Working Papers 2014-142, Department of Research, Ipag Business School.
    8. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model," Working Papers on Finance 1211, University of St. Gallen, School of Finance.
    9. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
    10. Chen Yang & Wenjun Jiang & Jiang Wu & Xin Liu & Zhichuan Li, 2018. "Clustering of financial instruments using jump tail dependence coefficient," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(3), pages 491-513, August.
    11. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
    12. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
    13. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
    14. Acatrinei, Marius & Gorun, Adrian & Marcu, Nicu, 2013. "A DCC-GARCH Model To Estimate the Risk to the Capital Market in Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 136-148, March.
    15. Xin Liu & Jiang Wu & Chen Yang & Wenjun Jiang, 2018. "A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection," Risks, MDPI, vol. 6(4), pages 1-26, October.
    16. Francesca Mariani & Gloria Polinesi & Maria Cristina Recchioni, 2022. "A tail-revisited Markowitz mean-variance approach and a portfolio network centrality," Computational Management Science, Springer, vol. 19(3), pages 425-455, July.
    17. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
    18. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
    19. Aielli, Gian Piero & Caporin, Massimiliano, 2013. "Fast clustering of GARCH processes via Gaussian mixture models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 205-222.
    20. C. Gourieroux, 2006. "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 177-217.
    21. Allen, David E. & Gao, Jiti & McAleer, Michael, 2009. "Modelling and managing financial risk: An overview," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2521-2524.
    22. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH Models," Economics Papers 2012-W01, Economics Group, Nuffield College, University of Oxford.
    23. Chaker Aloui, 2011. "Latin American stock markets’ volatility spillovers during the financial crises: a multivariate FIAPARCH-DCC framework," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 4(2), pages 289-326, May.
    24. Lu, Jin-Ray & Lee, Pei-Hsuan & Chuang, I-Yuan, 2011. "Estimation of oil firm's systematic risk via composite time-varying models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2389-2399.
    25. Benjamin Poignard & Jean-Davis Fermanian, 2014. "Dynamic Asset Correlations Based on Vines," Working Papers 2014-46, Center for Research in Economics and Statistics.
    26. Cipollini, Fabrizio & Gallo, Giampiero M. & Palandri, Alessandro, 2021. "A dynamic conditional approach to forecasting portfolio weights," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1111-1126.
    27. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2014. "Clustering of financial time series in risky scenarios," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 8(4), pages 359-376, December.
    28. Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
    29. S.T. Boris Choy & Cathy W.S. Chen & Edward M.H. Lin, 2014. "Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1297-1313, July.
    30. Saker Sabkha & Christian de Peretti, 2022. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Post-Print hal-01710398, HAL.
    31. Jin Xisong & Lehnert Thorsten, 2018. "Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 19-46, February.
    32. Nadine McCloud & Yongmiao Hong, 2011. "Testing The Structure Of Conditional Correlations In Multivariate Garch Models: A Generalized Cross‐Spectrum Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 991-1037, November.

  65. Monica Billio & Silvestro Di Sanzo, 2006. "Granger-causality in Markov Switching Models," Working Papers 2006_20, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018. "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, vol. 70(C), pages 545-562.
    2. Etesami, Jalal & Habibnia, Ali & Kiyavash, Negar, 2017. "Econometric modeling of systemic risk: going beyond pairwise comparison and allowing for nonlinearity," LSE Research Online Documents on Economics 70769, London School of Economics and Political Science, LSE Library.
    3. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    4. Marianna Oliskevych & Iryna Lukianenko, 2020. "European unemployment nonlinear dynamics over the business cycles: Markov switching approach," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 22(4), pages 375-401.
    5. Monica Billio & Anna Petronevich, 2017. "Dynamical Interaction between Financial and Business Cycles," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01692239, HAL.
    6. Chevallier, Julien, 2012. "Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis," Economic Modelling, Elsevier, vol. 29(3), pages 943-973.
    7. Noel Gaston & Gulasekaran Rajaguru, 2015. "A Markov-switching structural vector autoregressive model of boom and bust in the Australian labour market," Empirical Economics, Springer, vol. 49(4), pages 1271-1299, December.

  66. Roberto Casarin & Monica Billio, 2006. "Stochastic Optimisation for Allocation Problems with Shortfall Risk Constraints," Working Papers ubs0618, University of Brescia, Department of Economics.

    Cited by:

    1. Marie Brière & Ombretta Signori, 2011. "Inflation hedging portfolios in different regimes," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163, Bank for International Settlements.
    2. Alessandro Fedele & Paolo M. Panteghini & Sergio Vergalli, 2010. "Optimal Investment and Financial Strategies under Tax Rate Uncertainty," Working Papers 2010.68, Fondazione Eni Enrico Mattei.
    3. Alessandra Del Boca & Michele Fratianni & Franco Spinelli & Carmine Trecroci, 2008. "The Phillips Curve and the Italian Lira, 1861-1998," Working Papers 2008-05, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
    4. Amedeo Fossati & Rosella Levaggi, 2008. "Delay is not the answer: waiting time in health care & income redistribution," Working Papers 0801, University of Brescia, Department of Economics.
    5. Maria Cristina Arcuri & Gino Gandolfi & Fabrizio Laurini, 2023. "Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(2), pages 557-581, June.
    6. Alessandro Fedele & Raffaele Miniaci, 2010. "Do Social Enterprises Finance Their Investments Differently from For-profit Firms? The Case of Social Residential Services in Italy," Journal of Social Entrepreneurship, Taylor & Francis Journals, vol. 1(2), pages 174-189, October.
    7. Alessandro Fedele & Francesco Liucci & Andrea Mantovani, 2009. "Credit availability in the crisis: the European investment bank group," Working Papers 0913, University of Brescia, Department of Economics.
    8. Martin Meier & Enrico Minelli & Herakles Polemarchakis, 2009. "Competitive Markets with Private Information on Both Sides," Working Papers 0917, University of Brescia, Department of Economics.
    9. Luigi Grossi & Fabrizio Laurini, 2020. "Robust asset allocation with conditional value at risk using the forward search," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 36(3), pages 335-352, May.
    10. Francesco Menoncin & Paolo Panteghini, 2009. "Retrospective Capital Gains Taxation in the Real World," CESifo Working Paper Series 2674, CESifo.
    11. Liu, Qingfu & Hua, Renhai & An, Yunbi, 2016. "Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 135-148.
    12. Rosella Levaggi & Francesco Menoncin, 2009. "Decentralized provision of merit and impure public goods," Working Papers 0909, University of Brescia, Department of Economics.
    13. Alberto Bisin & John Geanakoplos & Piero Gottardi & Enrico Minelli & Heracles Polemarchakis, 2009. "Markets and Contracts," Working Papers 0915, University of Brescia, Department of Economics.

  67. Monica Billio & Alain Monfort & Christian P, Robert, 1998. "The Simulated Likelihood Ratio (SLR) Method," Working Papers 98-21, Center for Research in Economics and Statistics.

    Cited by:

    1. Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".
    2. Billio, M. & Monfort, A. & Robert, C. P., 1999. "Bayesian estimation of switching ARMA models," Journal of Econometrics, Elsevier, vol. 93(2), pages 229-255, December.
    3. Knut Heggland & Arnoldo Frigessi, 2004. "Estimating functions in indirect inference," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(2), pages 447-462, May.
    4. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "Business Cycle Analysis with Multivariate Markov Switching Models," Working Papers 2007_32, Department of Economics, University of Venice "Ca' Foscari".
    5. Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    6. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.

Articles

  1. Billio, Monica & Casarin, Roberto & Costola, Michele & Iacopini, Matteo, 2024. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Econometrics and Statistics, Elsevier, vol. 29(C), pages 113-131.
    See citations under working paper version above.
  2. Monica Billio & Roberto Casarin & Matteo Iacopini, 2024. "Bayesian Markov-Switching Tensor Regression for Time-Varying Networks," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 109-121, January.
    See citations under working paper version above.
  3. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023. "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
    See citations under working paper version above.
  4. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto & Pelizzon, Loriana, 2023. "The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 196-223.
    See citations under working paper version above.
  5. Monica Billio & Roberto Casarin & Matteo Iacopini & Sylvia Kaufmann, 2023. "Bayesian Dynamic Tensor Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 429-439, April.
    See citations under working paper version above.
  6. Agudze, Komla M. & Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco, 2022. "Markov switching panel with endogenous synchronization effects," Journal of Econometrics, Elsevier, vol. 230(2), pages 281-298.
    See citations under working paper version above.
  7. Monica Billio & Michele Costola & Loriana Pelizzon & Max Riedel, 2022. "Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case," The Journal of Real Estate Finance and Economics, Springer, vol. 65(3), pages 419-450, October.
    See citations under working paper version above.
  8. Monica Billio & Michele Costola & Iva Hristova & Carmelo Latino & Loriana Pelizzon, 2021. "Inside the ESG ratings: (Dis)agreement and performance," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 28(5), pages 1426-1445, September.
    See citations under working paper version above.
  9. M. Billio & M. Donadelli & G. Livieri & A. Paradiso, 2020. "On the role of domestic and international financial cyclical factors in driving economic growth," Applied Economics, Taylor & Francis Journals, vol. 52(11), pages 1272-1297, March.

    Cited by:

    1. Berger, Tino & Richter, Julia & Wong, Benjamin, 2021. "A unified approach for jointly estimating the business and financial cycle, and the role of financial factors," University of Göttingen Working Papers in Economics 415, University of Goettingen, Department of Economics.

  10. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.

    Cited by:

    1. Costantini, Mauro & Maaitah, Ahmad & Mishra, Tapas & Sousa, Ricardo M., 2023. "Bitcoin market networks and cyberattacks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).

  11. Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo, 2019. "Modeling systemic risk with Markov Switching Graphical SUR models," Journal of Econometrics, Elsevier, vol. 210(1), pages 58-74.
    See citations under working paper version above.
  12. Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019. "Bayesian nonparametric sparse VAR models," Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
    See citations under working paper version above.
  13. Andrea Bedin & Monica Billio & Michele Costola & Loriana Pelizzon, 2019. "Credit Scoring in SME Asset-Backed Securities: An Italian Case Study," JRFM, MDPI, vol. 12(2), pages 1-28, May.
    See citations under working paper version above.
  14. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018. "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, vol. 70(C), pages 545-562.
    See citations under working paper version above.
  15. Billio, M. & Donadelli, M. & Paradiso, A. & Riedel, M., 2017. "Which market integration measure?," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 150-174.
    See citations under working paper version above.
  16. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361.
    See citations under working paper version above.
  17. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Bayesian Graphical Models for STructural Vector Autoregressive Processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 357-386, March.
    See citations under working paper version above.
  18. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016. "Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1352-1370, November.
    See citations under working paper version above.
  19. Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea, 2016. "An entropy-based early warning indicator for systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 42-59.
    See citations under working paper version above.
  20. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016. "Efficient Gibbs sampling for Markov switching GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 37-57.
    See citations under working paper version above.
  21. Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
    See citations under working paper version above.
  22. Monica Billio & Silvio Di Sanzo, 2015. "Granger-causality in Markov switching models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(5), pages 956-966, May.
    See citations under working paper version above.
  23. Peter Martey Addo & Monica Billio & Dominique Guégan, 2014. "Turning point chronology for the euro area: A distance plot approach," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2014(1), pages 1-14.
    See citations under working paper version above.
  24. Monica Billio & Loriana Pelizzon, 2014. "Interconnectedness and systemic risk: hedge funds, banks, insurance companies," BANCARIA, Bancaria Editrice, vol. 6, pages 81-91, June.

    Cited by:

    1. Deborah Miori & Mihai Cucuringu, 2022. "SEC Form 13F-HR: Statistical investigation of trading imbalances and profitability analysis," Papers 2209.08825, arXiv.org.

  25. Addo, Peter Martey & Billio, Monica & Guégan, Dominique, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 4-19.
    See citations under working paper version above.
  26. Monica Billio & Lorenzon Frattarolo & Lauriana Pelizzon, 2014. "A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation," Bankers, Markets & Investors, ESKA Publishing, issue 129, pages 40-58, March-Apr.

    Cited by:

    1. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," EconStor Preprints 260612, ZBW - Leibniz Information Centre for Economics.

  27. Robert C. Merton & Monica Billio & Mila Getmansky & Dale Gray & Andrew W. Lo & Loriana Pelizzon, 2013. "On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)," Financial Analysts Journal, Taylor & Francis Journals, vol. 69(2), pages 22-33, March.

    Cited by:

    1. Reis, Pedro Nogueira & Pinto, António Pedro Soares, 2024. "Unlocking portfolio resilient and persistent risk: A holistic approach to unveiling potential grounds," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).

  28. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013. "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, vol. 177(2), pages 213-232.
    See citations under working paper version above.
  29. Addo, Peter Martey & Billio, Monica & Guégan, Dominique, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 416-435.
    See citations under working paper version above.
  30. Monica Billio & Laurent Ferrara & Dominique Guégan & Gian Luigi Mazzi, 2013. "Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(7), pages 577-586, November.
    See citations under working paper version above.
  31. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
    See citations under working paper version above.
  32. Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012. "Econometric measures of connectedness and systemic risk in the finance and insurance sectors," Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
    See citations under working paper version above.
  33. Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012. "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
    See citations under working paper version above.
  34. Billio, Monica & Calès, Ludovic & Guégan, Dominique, 2011. "Portfolio symmetry and momentum," European Journal of Operational Research, Elsevier, vol. 214(3), pages 759-767, November.
    See citations under working paper version above.
  35. Billio Monica & Casarin Roberto, 2011. "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-32, September.

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
    2. Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi, 2020. "The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach," Papers 2012.14693, arXiv.org.
    3. Adrian Pagan & Don Harding, 2011. "Econometric Analysis and Prediction of Recurrent Events," CREATES Research Papers 2011-33, Department of Economics and Business Economics, Aarhus University.
    4. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
    5. Sylvia Kaufmann, 2014. "K-state switching models with time-varying transition distributions – Does credit growth signal stronger effects of variables on inflation?," Working Papers 14.04, Swiss National Bank, Study Center Gerzensee.
    6. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
    7. Ceren Eda Can & Gul Ergun & Refik Soyer, 2022. "Bayesian Analysis of Proportions via a Hidden Markov Model," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 3121-3139, December.
    8. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2015. "Bayesian nonparametric calibration and combination of predictive distributions," Working Paper 2015/03, Norges Bank.
    9. Kaufmann, Sylvia, 2015. "K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation?," Journal of Econometrics, Elsevier, vol. 187(1), pages 82-94.
    10. Sylvia Kaufmann, 2016. "Hidden Markov models in time series, with applications in economics," Working Papers 16.06, Swiss National Bank, Study Center Gerzensee.
    11. Roberto Casarin & Giulia Mantoan & Francesco Ravazzolo, 2016. "Bayesian Calibration of Generalized Pools of Predictive Distributions," Econometrics, MDPI, vol. 4(1), pages 1-24, March.
    12. Guillermo Ferreira & Jorge Figueroa-Zúñiga & Mário Castro, 2015. "Partially linear beta regression model with autoregressive errors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 752-775, December.
    13. Adrian Pagan, 2013. "Patterns and Their Uses," NCER Working Paper Series 96, National Centre for Econometric Research.
    14. Phillip Li, 2018. "Efficient MCMC estimation of inflated beta regression models," Computational Statistics, Springer, vol. 33(1), pages 127-158, March.

  36. Billio, Monica & Caporin, Massimiliano, 2010. "Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2443-2458, November.
    See citations under working paper version above.
  37. Monica Billio & Roberto Casarin, 2010. "Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 145-167.

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
    2. Monica Billio & Roberto Casarin & Enrica De Cian & Malcolm Mistry & Anthony Osuntuyi, 2020. "The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach," Papers 2012.14693, arXiv.org.
    3. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
    4. Sylvia Kaufmann, 2014. "K-state switching models with time-varying transition distributions – Does credit growth signal stronger effects of variables on inflation?," Working Papers 14.04, Swiss National Bank, Study Center Gerzensee.
    5. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
    6. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
    7. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    8. Lux, Thomas, 2017. "Estimation of agent-based models using sequential Monte Carlo methods," Economics Working Papers 2017-07, Christian-Albrechts-University of Kiel, Department of Economics.
    9. Knut Are Aastveit & Tørres G. Trovik, 2008. "Estimating the output gap in real time: A factor model approach," Working Paper 2008/23, Norges Bank.
    10. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-003/4, Tinbergen Institute.
    11. Lux, Thomas, 2018. "Estimation of agent-based models using sequential Monte Carlo methods," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 391-408.
    12. Frédéric Karamé, 2018. "A new particle filtering approach to estimate stochastic volatility models with Markov-switching," Post-Print hal-02296093, HAL.
    13. Billio Monica & Casarin Roberto, 2011. "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-32, September.

  38. Billio, Monica & Caporin, Massimiliano, 2009. "A generalized Dynamic Conditional Correlation model for portfolio risk evaluation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2566-2578.
    See citations under working paper version above.
  39. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2008. "Dating EU15 monthly business cycle jointly using GDP and IPI," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2007(3), pages 333-366.
    See citations under working paper version above.
  40. Jacques Anas & Monica Billio & Laurent Ferrara & Gian Luigi Mazzi, 2008. "A System For Dating And Detecting Turning Points In The Euro Area," Manchester School, University of Manchester, vol. 76(5), pages 549-577, September.

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    2. Carstensen, Kai & Heinrich, Markus & Reif, Magnus & Wolters, Maik H., 2020. "Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model," International Journal of Forecasting, Elsevier, vol. 36(3), pages 829-850.
    3. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode," Tinbergen Institute Discussion Papers 15-111/III, Tinbergen Institute.
    4. Christian R. Proaño & Artur Tarassow, 2017. "Evaluating the predicting power of ordered probit models for multiple business cycle phases in the U.S. and Japan," IMK Working Paper 188-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    5. Monica Billio & Roberto Casarin, 2010. "Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 145-167.
    6. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
    7. Marco Gallegati, 2019. "A system for dating long wave phases in economic development," Journal of Evolutionary Economics, Springer, vol. 29(3), pages 803-822, July.
    8. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Working papers 239, Banque de France.
    9. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
    10. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00423890, HAL.
    11. Marie Adanero-Donderis & Olivier Darné & Laurent Ferrara, 2009. "Un indicateur probabiliste du cycle d’accélération pour l’économie française," Économie et Prévision, Programme National Persée, vol. 189(3), pages 95-114.
    12. Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016. "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
    13. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    14. Pirschel, Inske, 2016. "Forecasting euro area recessions in real-time," Kiel Working Papers 2020, Kiel Institute for the World Economy (IfW Kiel).
    15. Knut Are Aastveit & Andr K. Anundsen & Eyo I. Herstad, 2017. "Residential investment and recession predictability," Working Papers No 8/2017, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    16. Kamel Helali, 2022. "Markov Switching-Vector AutoRegression Model Analysis of the Economic and Growth Cycles in Tunisia and Its Main European Partners," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 656-686, March.
    17. Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
    18. Matthieu Lemoine & Gian Luigi Mazzi & Paola Monperrus-Veroni & Frédéric Reynes, 2008. "Real time estimation of potential output and output gap for the euro-area: comparing production function with unobserved components and SVAR approaches," Documents de Travail de l'OFCE 2008-34, Observatoire Francais des Conjonctures Economiques (OFCE).
    19. Bellégo, C. & Ferrara, L., 2012. "Macro-financial linkages and business cycles: A factor-augmented probit approach," Economic Modelling, Elsevier, vol. 29(5), pages 1793-1797.
    20. Proaño, Christian R. & Theobald, Thomas, 2014. "Predicting recessions with a composite real-time dynamic probit model," International Journal of Forecasting, Elsevier, vol. 30(4), pages 898-917.
    21. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.
    22. Christophe Bellégo & Laurent Ferrara, 2010. "A factor-augmented probit model for business cycle analysis," EconomiX Working Papers 2010-14, University of Paris Nanterre, EconomiX.
    23. Carstensen, Kai & Heinrich, Markus & Reif, Magnus & Wolters, Maik H., 2020. "Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model An application to the German business cycle," Munich Reprints in Economics 84736, University of Munich, Department of Economics.
    24. Pirschel, Inske, 2015. "Forecasting Euro Area Recessions in real-time with a mixed-frequency Bayesian VAR," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113031, Verein für Socialpolitik / German Economic Association.
    25. Jamel Gatfaoui & Eric Girardin, 2015. "Comovement of Chinese provincial business cycles," Post-Print hal-01456105, HAL.
    26. Jürgen Bierbaumer & Werner Hölzl, 2015. "Business Cycle Dynamics and Firm Heterogeneity. Evidence for Austria Using Survey Data," WIFO Working Papers 504, WIFO.
    27. Ben L. Kyer & Gary E. Maggs, 2019. "Some International Evidence on Double-Dip Recession," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 25(3), pages 347-362, August.
    28. Catherine Doz & Anna Petronevich, 2016. "Dating Business Cycle Turning Points for the French Economy: An MS-DFM approach," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 481-538, Emerald Group Publishing Limited.
    29. Matthieu Lemoine & Gian Luigi Mazzi & Paola Monperrus-Veroni & Frédéric Reynes, 2010. "A new production function estimate of the euro area output gap This paper is based on a report for Eurostat: 'Real time estimation of potential output, output gap, NAIRU and Phillips curve for Euro-zo," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 29-53.
    30. Ferrara, L. & Koopman, S J., 2010. "Common business and housing market cycles in the Euro area from a multivariate decomposition," Working papers 275, Banque de France.
    31. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
    32. Agnieszka Gehringer & Thomas Mayer, 2021. "Measuring the Business Cycle Chronology with a Novel Business Cycle Indicator for Germany," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 71-89, April.
    33. Silvia Palasca & Elisabeta Jaba, 2014. "Leading and Lagging Indicators Of the Economic Crisis," Romanian Statistical Review, Romanian Statistical Review, vol. 62(3), pages 31-47, September.
    34. Billio Monica & Casarin Roberto, 2011. "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-32, September.
    35. Gang Chu & Xiao Li & Dehua Shen & Yongjie Zhang, 2021. "Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 397-427, September.
    36. Chu, Gang & Zhang, Yongjie & Zhang, Xiaotao, 2021. "An analysis of impact of cancellation activity on market quality: Evidence from China," Economic Modelling, Elsevier, vol. 102(C).
    37. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.
    38. Ferrara, L. & Vigna, O., 2009. "Cyclical relationships between GDP and housing market in France: Facts and factors at play," Working papers 268, Banque de France.

  41. Roberto Casarin & Monica Billio, 2007. "Stochastic optimization for allocation problems with shortfall risk constraints," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 23(3), pages 247-271, May.
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  42. Monica Billio & Massimiliano Caporin, 2005. "Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 14(2), pages 145-161, November.

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    1. Achraf Ghorbel & Ahmed Jeribi, 2021. "Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 449-467, September.
    2. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic & Wong, Wing-Keung, 2023. "Are Islamic stocks immune from financial crises? Evidence from contagion tests," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 919-948.
    3. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2012. "Liquidity Contagion. The Emerging Sovereign Debt Markets example," Post-Print hal-01632803, HAL.
    4. Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk," Working Papers 15-10, Eastern Mediterranean University, Department of Economics.
    5. Haas, Markus, 2010. "Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations," Finance Research Letters, Elsevier, vol. 7(2), pages 86-97, June.
    6. Lee, Hsiang-Tai & Tsang, Wei-Lun, 2011. "Cross hedging single stock with American Depositary Receipt and stock index futures," Finance Research Letters, Elsevier, vol. 8(3), pages 146-157, September.
    7. Bauwens, Luc & Otranto, Edoardo, 2020. "Nonlinearities and regimes in conditional correlations with different dynamics," LIDAM Reprints CORE 3128, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
    9. Bernardi, Mauro & Catania, Leopoldo, 2018. "Portfolio optimisation under flexible dynamic dependence modelling," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 1-18.
    10. Muñoz, Mª Pilar & Márquez, María Dolores & Sánchez, Josep A., 2011. "Contagion between United States and european markets during the recent crises," MPRA Paper 35993, University Library of Munich, Germany.
    11. Marie Brière & Ombretta Signori, 2009. "Do Inflation‐Linked Bonds Still Diversify?," European Financial Management, European Financial Management Association, vol. 15(2), pages 279-297, March.
    12. E. Otranto, 2015. "Adding Flexibility to Markov Switching Models," Working Paper CRENoS 201509, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    13. Fuchun Li & Hui Zhu, 2014. "Testing for financial contagion based on a nonparametric measure of the cross‐market correlation," Review of Financial Economics, John Wiley & Sons, vol. 23(3), pages 141-147, September.
    14. Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2015. "A common jump factor stochastic volatility model," Finance Research Letters, Elsevier, vol. 12(C), pages 2-10.
    15. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
    16. Philippe Charlot & Vêlayoudom Marimoutou, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Working Papers hal-00980125, HAL.
    17. Yousaf, Imran & Beljid, Makram & Chaibi, Anis & Ajlouni, Ahmed AL, 2022. "Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and Covid-19 pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    18. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    19. Yudong Wang & Li Liu, 2016. "Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging," Empirical Economics, Springer, vol. 50(4), pages 1481-1509, June.
    20. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
    21. Abubakar Jamaladeen & David E. Omoregie & Samuel F. Onipede & Nafiu A. Bashir, 2022. "A regime-switching skew-normal model of contagion in some selected stock markets," SN Business & Economics, Springer, vol. 2(12), pages 1-20, December.
    22. Charlot, Philippe & Darné, Olivier & Moussa, Zakaria, 2016. "Commodity returns co-movements: Fundamentals or “style” effect?," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 130-160.
    23. Pedro Nielsen Rotta & Pedro L. Valls Pereira, 2016. "Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching," Applied Economics, Taylor & Francis Journals, vol. 48(25), pages 2367-2382, May.
    24. Joshua C.C. Chan & Cody Yu-Ling Hsiao & Renée A. Fry-McKibbin, 2013. "A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion," CAMA Working Papers 2013-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    25. Wagner Oliveira Monteiro & Rodrigo De Losso da Silveira Bueno, 2011. "Dynamic Hedging inMarkov Regimes Switching," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 136, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    26. Renee Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017. "Joint tests of contagion with applications to financial crises," CAMA Working Papers 2017-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    27. Jacques Jaussaud & Sophie Nivoix & Serge Rey, 2015. "The Great East Japan Earthquake and Stock Prices," Post-Print hal-01885285, HAL.
    28. Li, Fuchun & Zhu, Hui, 2014. "Testing for financial contagion based on a nonparametric measure of the cross-market correlation," Review of Financial Economics, Elsevier, vol. 23(3), pages 141-147.
    29. Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
    30. Cody Yu-Ling Hsiao & James Morley, 2022. "Debt and financial market contagion," Empirical Economics, Springer, vol. 62(4), pages 1599-1648, April.
    31. Monica Billio & Maddalena Cavicchioli, 2013. "�Markov Switching Models for Volatility: Filtering, Approximation and Duality�," Working Papers 2013:24, Department of Economics, University of Venice "Ca' Foscari".
    32. Rotta, Pedro Nielsen & Pereira, Pedro L. Valls, 2013. "Analysis of contagion from the constant conditional correlation model with Markov regime switching," Textos para discussão 340, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    33. Miao, Daniel Wei-Chung & Wu, Chun-Chou & Su, Yi-Kai, 2013. "Regime-switching in volatility and correlation structure using range-based models with Markov-switching," Economic Modelling, Elsevier, vol. 31(C), pages 87-93.
    34. Adekunle, Salami Saheed & Masih, Mansur, 2017. "Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH," MPRA Paper 79443, University Library of Munich, Germany.
    35. Lee, Hsiang-Tai, 2022. "Regime-switching angular correlation diversification," Finance Research Letters, Elsevier, vol. 50(C).
    36. Lin, Ling & Zhou, Zhongbao & Jiang, Yong & Ou, Yangchen, 2021. "Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    37. Idier, J., 2008. "Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models," Working papers 218, Banque de France.
    38. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".
    39. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
    40. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2019. "Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis," Energy Economics, Elsevier, vol. 80(C), pages 950-969.
    41. Babaei Balderlou, Saharnaz & Ebrahimi Torki, Mahyar & Heidari, Hassan, 2013. "تفكيك اثرات منشأ شوك‌هاي نفتي بر همبستگی پویای بین رشد بخش صنعت و معدن و قیمت نفت خام در ایران [Separation of the Effects of Oil Price Shocks Origin on Dynamic Correlation between Growth of Industr," MPRA Paper 79257, University Library of Munich, Germany.
    42. Henri Audigé, 2013. "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," Working Papers hal-04141224, HAL.
    43. Kaihua Deng, 2018. "Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 227-262, February.
    44. Bouoiyour, Jamal & Selmi, Refk & Miftah, Amal, 2015. "“Every cloud has a silver lining”; to what extent does the Arab Spring accelerate the integration among Arab monarchies?," MPRA Paper 70942, University Library of Munich, Germany.
    45. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Working papers 159, Banque de France.
    46. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
    47. Mauro Bernardi & Leopoldo Catania, 2016. "Portfolio Optimisation Under Flexible Dynamic Dependence Modelling," Papers 1601.05199, arXiv.org.
    48. Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
    49. Mehmet Balcilar & Riza Demirer & Rangan Gupta, 2017. "Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations," Sustainability, MDPI, vol. 9(10), pages 1-18, October.
    50. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Contagion in Emerging Markets," Post-Print hal-01632778, HAL.
    51. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
    52. Mehmet Balcilar & Riza Demirer, 2022. "U.S. monetary policy and the predictability of global economic synchronization patterns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 473-492, July.
    53. Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019. "The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach," Working Papers 201915, University of Pretoria, Department of Economics.
    54. Manh Cuong Dong & Cathy W. S. Chen & Sangyoel Lee & Songsak Sriboonchitta, 2019. "How Strong is the Relationship Among Gold and USD Exchange Rates? Analytics Based on Structural Change Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 343-366, January.
    55. Pappas, Vasileios & Ingham, Hilary & Izzeldin, Marwan & Steele, Gerry, 2016. "Will the crisis “tear us apart”? Evidence from the EU," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 346-360.
    56. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019. "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, vol. 213(2), pages 493-515.
    57. Paravee Maneejuk & Nootchanat Pirabun & Suphawit Singjai & Woraphon Yamaka, 2021. "Currency Hedging Strategies Using Histogram-Valued Data: Bivariate Markov Switching GARCH Models," Mathematics, MDPI, vol. 9(21), pages 1-20, November.
    58. Jean-David Fermanian & Hassan Malongo, 2014. "On the stationarity of Dynamic Conditional Correlation models," Papers 1405.6905, arXiv.org, revised Mar 2016.
    59. Lee, Hsiang-Tai, 2010. "Regime switching correlation hedging," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2728-2741, November.

  43. Monica Billio & Alain Monfort, 2003. "Kernel-Based Indirect Inference," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 297-326.

    Cited by:

    1. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    2. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
    3. Altissimo, Filippo & Mele, Antonio, 2005. "Simulated nonparametric estimation of dynamic models with applications to finance," LSE Research Online Documents on Economics 24658, London School of Economics and Political Science, LSE Library.
    4. Frazier, David T. & Koo, Bonsoo, 2021. "Indirect inference for locally stationary models," Journal of Econometrics, Elsevier, vol. 223(1), pages 1-27.
    5. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
    6. David T. Frazier & Bonsoo Koo, 2020. "Indirect Inference for Locally Stationary Models," Monash Econometrics and Business Statistics Working Papers 30/20, Monash University, Department of Econometrics and Business Statistics.
    7. Anna Gottard & Giorgio Calzolari, 2014. "Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning," Econometrics Working Papers Archive 2014_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    8. Michael Creel, 2008. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 725.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 02 Jun 2008.

  44. Billio, Monica & Pelizzon, Loriana, 2003. "Contagion and interdependence in stock markets: Have they been misdiagnosed?," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 405-426.

    Cited by:

    1. Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2004. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print halshs-00201220, HAL.
    2. Zhang, Xingwei & Zheng, Xiaolong & Zeng, Daniel Dajun, 2017. "The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 32-42.
    3. Osama M Badr & Wajih Khallouli, 2019. "Testing for Shift-Contagion Vulnerability Among MENA Stock Markets During the Turkish Financial Crisis," Applied Economics and Finance, Redfame publishing, vol. 6(1), pages 53-63, January.
    4. Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS.
    5. Andres KUUSK & Tiiu Paas & Karmen Viikmaa, 2011. "Financial contagion of the 2008 crisis: is there any evidence of financial contagion from the US to the Baltic states," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 2, pages 61-76, December.
    6. Karanasos, Menelaos & Yfanti, Stavroula & Karoglou, Michail, 2016. "Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 332-349.
    7. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    8. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
    9. Monica Billio & Lorenzo Frattarolo & Dominique Guégan, 2022. "High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04085236, HAL.
    10. Raisul Islam & Vladimir Volkov, 2022. "Contagion or interdependence? Comparing spillover indices," Empirical Economics, Springer, vol. 63(3), pages 1403-1455, September.
    11. Niţoi, Mihai & Pochea, Maria Miruna, 2019. "What drives European Union stock market co-movements?," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 57-69.
    12. Takashi Miyazaki & Shigeyuki Hamori, 2018. "The Determinants Of A Simultaneous Crash In Gold And Stock Markets: An Ordered Logit Approach," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-25, March.
    13. Morales, Lucía & Andreosso-O'Callaghan, Bernadette, 2014. "The global financial crisis: World market or regional contagion effects?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 108-131.
    14. Sophie Brana & Delphine Lahet, 2005. "La propagation des crises financieres dans les pays emergents : la contagion est-elle discriminante ?," Economie Internationale, CEPII research center, issue 103, pages 73-96.
    15. D Brookfield & A Azizan, 2006. "Contagion and the Role of Market Development: the Case of the Malaysian Futures Market during the East Asian Crisis of 1997," Economic Issues Journal Articles, Economic Issues, vol. 11(2), pages 1-18, September.
    16. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    17. Bonga-Bonga, Lumengo & Mpoha, Salifya, 2024. "Spillover effects from China and the United States to Key Regional Emerging Markets: A dynamic analysis," International Review of Financial Analysis, Elsevier, vol. 91(C).
    18. Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 791-818, September.
    19. Chiang, Thomas C. & Jeon, Bang Nam & Li, Huimin, 2007. "Dynamic correlation analysis of financial contagion: Evidence from Asian markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1206-1228, November.
    20. Andrea Brasili & Giuseppe Vulpes, 2004. "Co-movements in EU banks’ fragility: a dynamic factor model approach," Finance 0411011, University Library of Munich, Germany, revised 02 Nov 2005.
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    26. Bensafta, Kamel Malik & Semedo, Gervasio, 2009. "De la transmission de la volatilité à la contagion entre marchés boursiers : l’éclairage d’un modèle VAR non linéaire avec bris structurels en variance," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(1), pages 13-76, mars.
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    29. Joshua C.C. Chan & Cody Yu-Ling Hsiao & Renée A. Fry-McKibbin, 2013. "A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion," CAMA Working Papers 2013-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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    35. Gebka, Bartosz & Serwa, Dobromil, 2006. "Are financial spillovers stable across regimes?: Evidence from the 1997 Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 301-317, October.
    36. Vulpes, Giuseppe & Brasili, Andrea, 2006. "Banking integration and co-movements in EU banks’ fragility," MPRA Paper 1964, University Library of Munich, Germany.
    37. Shen, Pei-Long & Li, Wen & Wang, Xiao-Ting & Su, Chi-Wei, 2015. "Contagion effect of the European financial crisis on China's stock markets: Interdependence and pure contagion," Economic Modelling, Elsevier, vol. 50(C), pages 193-199.
    38. MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    39. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".
    40. Andres Kuusk & Tiiu Paas, 2010. "Contagion Of Financial Crises With Special Emphasis On Cee Economies: A Metaanalysis," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 66, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    41. Hazar Altınbaş & Vincenzo Pacelli & Edgardo Sica, 2022. "An Empirical Assessment of the Contagion Determinants in the Euro Area in a Period of Sovereign Debt Risk," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 8(2), pages 339-371, July.
    42. Gebka, Bartosz, 2006. "Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume," Working Paper Series 2006,1, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    43. Shegorika Rajwani & Dilip Kumar, 2016. "Asymmetric Dynamic Conditional Correlation Approach to Financial Contagion: A Study of Asian Markets," Global Business Review, International Management Institute, vol. 17(6), pages 1339-1356, December.
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    47. Mollah, Sabur & Zafirov, Goran & Quoreshi, AMM Shahiduzzaman, 2014. "Financial Market Contagion during the Global Financial Crisis," Working Papers 2014/05, Blekinge Institute of Technology, Department of Industrial Economics.
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  45. Billio, Monica & Pelizzon, Loriana, 2003. "Volatility and shocks spillover before and after EMU in European stock markets," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 323-340, December.

    Cited by:

    1. C S Savva & D R Osborn & L Gill, 2005. "Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro," Economics Discussion Paper Series 0515, Economics, The University of Manchester.
    2. Zana Grigaliuniene & Dmitrij Celov & Christopher A. Hartwell, 2018. "The More the Merrier? The Reaction of Euro Area Stock Markets to New Members," BAFES Working Papers BAFES20, Department of Accounting, Finance & Economic, Bournemouth University.
    3. Dilip Kumar, 2019. "Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2), pages 172-209, August.
    4. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," International Finance 0506008, University Library of Munich, Germany.
    5. Panayiotis Alexakis & Anna Vasila, 2010. "Equity Interconnections in Major European Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 109-132.
    6. Monica Billio & Silvestro Di Sanzo, 2006. "Granger-causality in Markov Switching Models," Working Papers 2006_20, Department of Economics, University of Venice "Ca' Foscari".
    7. Savva, Christos S., 2009. "International stock markets interactions and conditional correlations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 645-661, October.
    8. Yunus, Nafeesa & Swanson, Peggy E., 2012. "Changing integration of EMU public property markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 194-208.
    9. Axel Grossmann & Emiliano Giudici & Marc Simpson, 2014. "Euro conversion and return dynamics of European financial markets: a frequency domain approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(1), pages 1-26, January.
    10. Kim Hiang LIOW & Qing YE, 2017. "Switching Regime Beta Analysis of Global Financial Crisis: Evidence from International Public Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 127-164.
    11. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, Department of Economics, University of Venice "Ca' Foscari".
    12. Mensi, Walid & Reboredo, Juan C. & Ugolini, Andrea & Vo, Xuan Vinh, 2022. "Switching connectedness between real estate investment trusts, oil, and gold markets," Finance Research Letters, Elsevier, vol. 49(C).
    13. Nikos Nomikos & Enrique Salvador, 2014. "The role of volatility regimes on volatility transmission patterns," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 1-13, January.
    14. Nepp, Alexander & Okhrin, Ostap & Egorova, Julia & Dzhuraeva, Zarnigor & Zykov, Alexander, 2022. "What threatens stock markets more - The coronavirus or the hype around it?," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 519-539.
    15. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 77-107, February.
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    17. Ping Wang & Tomoe Moore, 2008. "Stock Market Integration For The Transition Economies: Time‐Varying Conditional Correlation Approach," Manchester School, University of Manchester, vol. 76(s1), pages 116-133, September.
    18. Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
    19. Bhimjee, Diptes C. & Ramos, Sofia B. & Dias, José G., 2016. "Banking industry performance in the wake of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 376-387.
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    21. Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012. "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
    22. Shaen Corbet & Cian Twomey, 2015. "European Equity Market Contagion: An Empirical Application to Ireland's Sovereign Debt Crisis," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2015(3), pages 15-34.
    23. Kenourgios, Dimitris & Samitas, Aristeidis, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.
    24. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
    25. E.Panopoulou & T. Pantelidis, 2005. "Integration at a cost: Evidence from volatility impulse response functions," Economics Department Working Paper Series n1540305, Department of Economics, National University of Ireland - Maynooth.
    26. Ferreira, José & Gama, Ana, 2020. "The Relationship Between The Factors Of Risk In Asset Evaluation Models And Future Economic Growth: Evidence From Three Regional Markets," Journal of Tourism, Sustainability and Well-being, Cinturs - Research Centre for Tourism, Sustainability and Well-being, University of Algarve, vol. 8(4), pages 300-319.
    27. BenSaïda, Ahmed & Litimi, Houda & Abdallah, Oussama, 2018. "Volatility spillover shifts in global financial markets," Economic Modelling, Elsevier, vol. 73(C), pages 343-353.
    28. Roni Bhowmik & Abbas Ghulam & Wang Shouyang, 2018. "Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets," Journal of Systems Science and Information, De Gruyter, vol. 6(2), pages 97-119, April.
    29. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
    30. Koulakiotis, Athanasios & Dasilas, Apostolos & Papasyriopoulos, Nicholas, 2009. "Volatility and error transmission spillover effects: Evidence from three European financial regions," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 858-869, August.
    31. Petmezas, Dimitris & Santamaria, Daniel, 2014. "Investor induced contagion during the banking and European sovereign debt crisis of 2007–2012: Wealth effect or portfolio rebalancing?," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 401-424.
    32. Arago-Manzana, Vicent & Fernandez-Izquierdo, Maria Angeles, 2007. "Influence of structural changes in transmission of information between stock markets: A European empirical study," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 112-124, April.
    33. Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.
    34. Dias, José G. & Ramos, Sofia B., 2013. "A core–periphery framework in stock markets of the euro zone," Economic Modelling, Elsevier, vol. 35(C), pages 320-329.
    35. Ray Yeutien Chou & Chun-Chou Wu & Yi-Nung yang, 2012. "The euro's impacts on the smooth transition dynamics of stock market volatilities," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 169-179, May.
    36. Smimou, K., 2011. "Transition to the Euro and its impact on country portfolio diversification," Research in International Business and Finance, Elsevier, vol. 25(1), pages 88-103, January.
    37. Kumar, Dilip, 2017. "Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 149-167.
    38. Serge Darolles & Jeremy Dudek & Gaëlle Le Fol, 2014. "Contagion in Emerging Markets," Post-Print hal-01632778, HAL.
    39. Dilip Kumar & Srinivasan Maheswaran, 2015. "Return and volatility spillover among the PIIGS economies and India," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(1), pages 28-49.
    40. Bartram, Sohnke M. & Taylor, Stephen J. & Wang, Yaw-Huei, 2007. "The Euro and European financial market dependence," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1461-1481, May.
    41. Alar Kein, 2005. "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers 120, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
    42. Kim, Young Min & Lee, Seojin, 2023. "Spillover shifts in the FX market: Implication for the behavior of a safe haven currency," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    43. Cao, Li & Jiang, Junhua & Piljak, Vanja, 2023. "Did mega-regional trade agreements reshuffle the financial influence of the US, China, and Japan in ASEAN? Evidence from the volatility-spillover effects," Research in International Business and Finance, Elsevier, vol. 65(C).
    44. Skintzi, Vasiliki D. & Refenes, Apostolos N., 2006. "Volatility spillovers and dynamic correlation in European bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 23-40, February.
    45. Kalotychou, Elena & Staikouras, Sotiris K. & Zhao, Gang, 2014. "The role of correlation dynamics in sector allocation," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 1-12.

  46. Billio, Monica & Pelizzon, Loriana, 2000. "Value-at-Risk: a multivariate switching regime approach," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 531-554, December.

    Cited by:

    1. Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Kulp-Tåg, Sofie, 2007. "An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions," Working Papers 526, Hanken School of Economics.
    3. Bazgour, Tarik & Heuchenne, Cédric & Hübner, Georges & Sougné, Danielle, 2021. "How do volatility regimes affect the pricing of quality and liquidity in the stock market?," LIDAM Reprints ISBA 2021038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663.
    5. Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2004. "The Use of GARCH Models in VaR Estimation," MPRA Paper 96332, University Library of Munich, Germany.
    6. Hung, Jui-Cheng & Lee, Ming-Chih & Liu, Hung-Chun, 2008. "Estimation of value-at-risk for energy commodities via fat-tailed GARCH models," Energy Economics, Elsevier, vol. 30(3), pages 1173-1191, May.
    7. Li, Leon, 2017. "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 116-135.
    8. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
    9. Billio, Monica & Pelizzon, Loriana, 2003. "Volatility and shocks spillover before and after EMU in European stock markets," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 323-340, December.
    10. Ryohei Kawata & Masaaki Kijima, 2007. "Value-at-risk in a market subject to regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 609-619.
    11. Angelidis, Timotheos & Degiannakis, Stavros, 2007. "Backtesting VaR Models: A Τwo-Stage Procedure," MPRA Paper 80418, University Library of Munich, Germany.
    12. Liu, Tengdong & Hammoudeh, Shawkat & Santos, Paulo Araújo, 2014. "Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 47-68.
    13. Angelidis, Timotheos & Degiannakis, Stavros, 2005. "Modeling Risk for Long and Short Trading Positions," MPRA Paper 80467, University Library of Munich, Germany.
    14. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, Department of Economics, University of Venice "Ca' Foscari".
    15. Wentao Hu, 2019. "calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty," Papers 1908.00982, arXiv.org.
    16. ROMBOUTS, Jeroen VK & VERBEEK, Marno, 2009. "Evaluating portfolio value-at-risk using semi-parametric GARCH models," LIDAM Reprints CORE 2299, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    17. Mohamed Doukali & Xiaojun Song & Abderrahim Taamouti, 2024. "Value‐at‐Risk under Measurement Error," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 690-713, June.
    18. Timotheos Angelidis & Alexandros Benos, 2008. "Value-at-Risk for Greek Stocks," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 67-104, March-Jun.
    19. Sarafrazi, Soodabeh & Hammoudeh, Shawkat & AraújoSantos, Paulo, 2014. "Downside risk, portfolio diversification and the financial crisis in the euro-zone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 368-396.
    20. Nomikos, Nikos K. & Pouliasis, Panos K., 2011. "Forecasting petroleum futures markets volatility: The role of regimes and market conditions," Energy Economics, Elsevier, vol. 33(2), pages 321-337, March.
    21. Anjum, Hassan & Malik, Farooq, 2020. "Forecasting risk in the US Dollar exchange rate under volatility shifts," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    22. Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
    23. Vladimir Dombrovskii & Tatyana Obyedko, 2014. "Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control," Papers 1410.1136, arXiv.org.
    24. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".
    25. Su Xu, 2017. "A VaR assuming Student t distribution not significantly different from a VaR assuming normal distribution," Risk Management, Palgrave Macmillan, vol. 19(3), pages 189-201, August.
    26. Chiu, Yen-Chen & Chuang, I-Yuan, 2016. "The performance of the switching forecast model of value-at-risk in the Asian stock markets," Finance Research Letters, Elsevier, vol. 18(C), pages 43-51.
    27. Evangelos Vasileiou, 2022. "Inaccurate Value at Risk Estimations: Bad Modeling or Inappropriate Data?," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1155-1171, March.
    28. Billio, Monica & Getmansky, Mila & Pelizzon, Loriana, 2012. "Dynamic risk exposures in hedge funds," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3517-3532.
    29. Berger, Theo & Gençay, Ramazan, 2018. "Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 30-46.
    30. Grillini, Stefano & Ozkan, Aydin & Sharma, Abhijit & Al Janabi, Mazin A.M., 2019. "Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 145-158.
    31. Jaewon Choi & Jieun Lee, 2023. "Network-based measures of systemic risk in Korea," Journal of Derivatives and Quantitative Studies: 선물연구, Emerald Group Publishing Limited, vol. 31(3), pages 174-196, June.
    32. Salhi, Khaled & Deaconu, Madalina & Lejay, Antoine & Champagnat, Nicolas & Navet, Nicolas, 2016. "Regime switching model for financial data: Empirical risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 148-157.
    33. Alessandro Ramponi, 2012. "Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach," Papers 1207.6759, arXiv.org.
    34. Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas, 2019. "Tail-Related Risk Measurement and Forecasting in Equity Markets," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 783-816, February.
    35. YiHao Lai, 2008. "Does Asymmetric Dependence Structure Matter? A Value-at-Risk View," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 249-268, December.
    36. Härdle, Wolfgang Karl & Mungo, Julius, 2008. "Value-at-risk and expected shortfall when there is long range dependence," SFB 649 Discussion Papers 2008-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    37. Wang, Yi-Chiuan & Wu, Jyh-Lin & Lai, Yi-Hao, 2013. "A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1706-1719.
    38. Henryk Gurgul & Artur Machno, 2014. "The optimal portfolio under VaR and ES," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 24(2), pages 59-79.
    39. Juan Reboredo & José Matías & Raquel Garcia-Rubio, 2012. "Nonlinearity in Forecasting of High-Frequency Stock Returns," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 245-264, October.
    40. Chang, Kuang-Liang, 2012. "Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market," Energy Economics, Elsevier, vol. 34(1), pages 294-306.
    41. Margherita Velucchi, 2009. "Regime switching: Italian financial markets over a century," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(1), pages 67-86, March.
    42. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Working Papers 16223, National Bureau of Economic Research, Inc.
    43. Kwangmin Jung & Donggyu Kim & Seunghyeon Yu, 2021. "Next Generation Models for Portfolio Risk Management: An Approach Using Financial Big Data," Papers 2102.12783, arXiv.org, revised Feb 2022.
    44. Samet Gunay & Audil Rashid Khaki, 2018. "Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models," JRFM, MDPI, vol. 11(2), pages 1-19, June.
    45. Kumar, Satish & Tiwari, Aviral Kumar & Chauhan, Yogesh & Ji, Qiang, 2019. "Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 273-284.
    46. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
    47. Shaw, Charles, 2018. "Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads," MPRA Paper 94154, University Library of Munich, Germany, revised 27 May 2019.
    48. Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2007. "A Robust VaR Model under Different Time Periods and Weighting Schemes," MPRA Paper 80466, University Library of Munich, Germany.
    49. Cheng-Few Lee & Jung-Bin Su, 2012. "Alternative statistical distributions for estimating value-at-risk: theory and evidence," Review of Quantitative Finance and Accounting, Springer, vol. 39(3), pages 309-331, October.
    50. Ahmed BenSaïda & Sabri Boubaker & Duc Khuong Nguyen & Skander Slim, 2018. "Value‐at‐risk under market shifts through highly flexible models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(8), pages 790-804, December.
    51. Martin Hess, 2006. "Timing and diversification: A state-dependent asset allocation approach," The European Journal of Finance, Taylor & Francis Journals, vol. 12(3), pages 189-204.
    52. Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix," Working Papers 2016:01, Department of Economics, University of Venice "Ca' Foscari".
    53. Qiu, Zhiguo & Lazar, Emese & Nakata, Keiichi, 2024. "VaR and ES forecasting via recurrent neural network-based stateful models," International Review of Financial Analysis, Elsevier, vol. 92(C).
    54. Chang, Kuang-Liang, 2010. "House price dynamics, conditional higher-order moments, and density forecasts," Economic Modelling, Elsevier, vol. 27(5), pages 1029-1039, September.
    55. Harris, Richard D.F. & Nguyen, Linh H. & Stoja, Evarist, 2019. "Systematic extreme downside risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 128-142.
    56. Hood, Matthew & Malik, Farooq, 2018. "Estimating downside risk in stock returns under structural breaks," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 102-112.
    57. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2019. "Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns," Journal of Econometrics, Elsevier, vol. 213(2), pages 493-515.
    58. de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013. "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, vol. 69(C), pages 1-34.
    59. Taamouti, Abderrahim, 2009. "Analytical Value-at-Risk and Expected Shortfall under regime-switching," Finance Research Letters, Elsevier, vol. 6(3), pages 138-151, September.
    60. Robert Elliott & Hong Miao, 2009. "VaR and expected shortfall: a non-normal regime switching framework," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 747-755.

  47. Monica Billio & Domenico Sartore & Carlo Toffano, 2000. "Combining forecasts: some results on exchange and interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 126-145.

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
    2. Chuanhua Wei & Chenping Du & Nana Zheng, 2020. "A Changing Weights Spatial Forecast Combination Approach with an Application to Housing Price Prediction," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 12(4), pages 1-11, April.
    3. Piotr Wdowinski & Aneta Zglinska-Pietrzak, 2005. "The Warsaw Stock Exchange Index WIG: Modelling and Forecasting," CESifo Working Paper Series 1570, CESifo.

  48. Billio, M. & Monfort, A. & Robert, C. P., 1999. "Bayesian estimation of switching ARMA models," Journal of Econometrics, Elsevier, vol. 93(2), pages 229-255, December.

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    2. Yacouba Boubacar Maïnassara & Landy Rabehasaina, 2020. "Estimation of weak ARMA models with regime changes," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 1-52, April.
    3. S. Bordignon & D. Raggi, 2010. "Long memory and nonlinearities in realized volatility: a Markov switching approach," Working Papers 694, Dipartimento Scienze Economiche, Universita' di Bologna.
    4. Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".
    5. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
    6. John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
    7. Monfort, Alain & Vitale, Giovanni & Rüffer, Rasmus & Renne, Jean-Paul, 2003. "Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects," CEPR Discussion Papers 4119, C.E.P.R. Discussion Papers.
    8. Maddalena Cavicchioli, 2021. "OLS Estimation of Markov switching VAR models: asymptotics and application to energy use," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(3), pages 431-449, September.
    9. Andreas Graflund, 2000. "A Bayes Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Econometric Society World Congress 2000 Contributed Papers 1363, Econometric Society.
    10. Paroli, Roberta & Spezia, Luigi, 2008. "Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2311-2330, January.
    11. Rosella Castellano & Luisa Scaccia, 2007. "Bayesian inference for Hidden Markov Model," Working Papers 43-2007, Macerata University, Department of Finance and Economic Sciences, revised Oct 2008.
    12. Nima Nonejad, 2013. "Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008," CREATES Research Papers 2013-25, Department of Economics and Business Economics, Aarhus University.
    13. Jaehee Kim & Sooyoung Cheon, 2010. "A Bayesian regime‐switching time‐series model," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 365-378, September.
    14. Christian Francq & Jean-Michel Zakoïan, 2000. "Stationarity of Multivariate Markov-Switching ARMA Models," Working Papers 2000-32, Center for Research in Economics and Statistics.
    15. Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 30 Jan 2002.
    16. Constandina Koki & Loukia Meligkotsidou & Ioannis Vrontos, 2020. "Forecasting under model uncertainty: Non‐homogeneous hidden Markov models with Pòlya‐Gamma data augmentation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(4), pages 580-598, July.
    17. Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    18. Kim, Chang-Jin & Kim, Jaeho, 2013. "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," MPRA Paper 51117, University Library of Munich, Germany.
    19. Chao-Chun Chen & Wen-Jen Tsay, 2007. "Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton," IEAS Working Paper : academic research 07-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    20. Billio Monica & Casarin Roberto, 2011. "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-32, September.
    21. Castelnuovo, Efrem & Greco, Luciano & Raggi, Davide, 2008. "Estimating regime-switching Taylor rules with trend inflation," Bank of Finland Research Discussion Papers 20/2008, Bank of Finland.

Chapters

  1. Peter Martey Addo & Monica Billio & Dominique Guégan, 2014. "Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Dynamic Modeling and Econometrics in Economics and Finance, in: Marco Gallegati & Willi Semmler (ed.), Wavelet Applications in Economics and Finance, edition 127, pages 73-100, Springer.
    See citations under working paper version above.
  2. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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