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Backward/forward optimal combination of performance measures for equity screening

Billio, Monica; Caporin, Massimiliano; Costola, Michele - In: The North American journal of economics and finance : a … 34 (2015), pp. 63-83

Persistent link: https://www.econbiz.de/10011539679

Flexible dynamic conditional correlation multivariate GARCH models for asset allocation

Billio, Monica; Caporin, Massimiliano; Gobbo, Michele - In: Applied financial economics letters 2 (2006) 2, pp. 123-130

Persistent link: https://www.econbiz.de/10003302525

The role of jumps in realized volatility modeling and forecasting

Caporin, Massimiliano - In: Journal of financial econometrics 21 (2023) 4, pp. 1143-1168

Persistent link: https://www.econbiz.de/10014391446

Econometric measures of systemic risk in the finance and insurance sectors

Billio, Monica; Getmansky, Mila; Lo, Andrew W.; … - 2010

Persistent link: https://www.econbiz.de/10003995037

Portfolio symmetry and momentum

Billio, Monica; Calès, Ludovic; Guégan, Dominique - In: European journal of operational research : EJOR 214 (2011) 3, pp. 759-767

Persistent link: https://www.econbiz.de/10009316179

Non-parametric analysis of hedge fund returns : new insight from high frequency data

Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - 2008

Persistent link: https://www.econbiz.de/10003912704

Portfolio symmetry and momentum

Billio, Monica; Calés, Ludovic; Guégan, Dominique - 2009

Persistent link: https://www.econbiz.de/10003913090

Portfolio Symmetry and Momentum

Billio, Monica; Calès, Ludovic; Guegan, Dominique - 2012

This paper presents a theoretical framework to model the evolution of a portfolio whose weights vary over time. Such a portfolio is called a dynamic portfolio. In a first step, considering a given investment policy, we define the set of the investable portfolios. Then, considering portfolio...

Persistent link: https://www.econbiz.de/10014210240

Financial crises and evaporating diversification benefits of hedge funds

Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - In: Hedge funds : structure, strategies, and performance, (pp. 439-459). 2017

Persistent link: https://www.econbiz.de/10012253366

A meta-measure of performance related to both investors and investments characteristics

Billio, Monica; Maillet, Bertrand; Pelizzon, Loriana - In: Risk management decisions and value under uncertainty, (pp. 1405-1447). 2022

Persistent link: https://www.econbiz.de/10013342131