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Bayesian estimation of switching ARMA models
Billio, Monica; Monfort, Alain; Robert, Christian P. - In: Journal of econometrics 93 (1999) 2, pp. 229-255
Persistent link: https://www.econbiz.de/10001406655
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Markov switching GARCH models for Bayesian hedging on energy futures markets
Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - In: Energy economics 70 (2018), pp. 545-562
Persistent link: https://www.econbiz.de/10011942887
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Combination schemes for turning point predictions
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2012
Persistent link: https://www.econbiz.de/10011629026
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Combining predictive densities using Bayesian filtering with applications to US economic data
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2012
Persistent link: https://www.econbiz.de/10011629028
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Bayesian graphical models for structural vector autoregressive processes
Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto - In: Journal of applied econometrics 31 (2016) 2, pp. 357-386
Persistent link: https://www.econbiz.de/10011644349
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Sparse graphical vector autoregression : a Bayesian approach
Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto - In: Annals of economics and statistics 123/124 (2016), pp. 333-361
Persistent link: https://www.econbiz.de/10011592757
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An entropy-based early warning indicator for systemic risk
Billio, Monica; Casarin, Roberto; Costola, Michele; … - In: Journal of international financial markets, … 45 (2016), pp. 42-59
Persistent link: https://www.econbiz.de/10011690432
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Markov switching panel with network interaction effects
Agudze, Komula Mawulom; Billio, Monica; Casarin, Roberto; … - 2018
Persistent link: https://www.econbiz.de/10011798826
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Bayesian Markov switching tensor regression for time-varying networks
Billio, Monica; Casarin, Roberto; Iacopini, Matteo - 2018
Persistent link: https://www.econbiz.de/10011869070
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Bayesian dynamic tensor regression
Billio, Monica; Casarin, Roberto; Kaufmann, Sylvia; … - 2018
Persistent link: https://www.econbiz.de/10011869075