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Crises and hedge fund risk
Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - 2008
Persistent link: https://www.econbiz.de/10003912698
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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
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Portfolio symmetry and momentum
Billio, Monica; Calés, Ludovic; Guégan, Dominique - 2009
Persistent link: https://www.econbiz.de/10003913090
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Measuring systemic risk in the finance and insurance sectors
Billio, Monica; Getmansky, Mila; Lo, Andrew W.; … - 2010 - This draft: March 10, 2010
Persistent link: https://www.econbiz.de/10003947721
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Identifying business cycle turning points with sequential Monte Carlo methods : an online and real-time application to the euro area
Billio, Monica; Casarin, Roberto - In: Journal of forecasting 29 (2010) 1/2, pp. 145-167
Persistent link: https://www.econbiz.de/10003951826
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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
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Combining predictive densities using Bayesian filtering with applications to US economics data
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2011
Persistent link: https://www.econbiz.de/10008809881
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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
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Beta autoregressive transition Markov-switching models for business cycle analysis
Billio, Monica; Casarin, Roberto - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10009521858
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Combination schemes for turning point predictions
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2012
Persistent link: https://www.econbiz.de/10009524199