Monica Billio
Finance · 2000–2020
A researcher in the Science corpus: 11 papers; trusts 31 researchers and is trusted by 29 researchers here, as inferred from the citation graph.
Subfields
- Finance — 162 citations into it; #1,571 of 10,518 by trust here, #1,017 by citations
- Economics and Econometrics — 141 citations into it; #3,263 of 23,481 by trust here, #2,438 by citations
- Accounting — 35 citations into it
- Statistical and Nonlinear Physics — 12 citations into it
- Statistics and Probability — 9 citations into it
Whom Monica Billio trusts overall
Their strongest outbound trust, strongest first, inferred from their citations.
- Robert F. Engle
- Markus K. Brunnermeier
- Andrew W. Lo
- Tim Bollerslev
- Raghuram G. Rajan
- V. Acharya
- William Fung
- Roberto Rigobon
- Carlo A. Favero
- Alex Edmans
Who trusts Monica Billio overall
- Juri Marcucci
- Massimiliano Caporin
- Lena Tonzer
- P. Giot
- Gangjin Wang
- Pilar Abad
- Jui-Cheng Hung
- Söhnke M. Bartram
- D. Vandijk
- Giulio Girardi
Papers from Monica Billio's perspective
Ordered by how strongly the researchers Monica Billio trusts endorse each paper. Same corpus, a different order for every researcher.
- Generalized autoregressive conditional heteroskedasticity
- Common risk factors in the returns on stocks and bonds
- Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
- Market liquidity and funding liquidity
- Deciphering the Liquidity and Credit Crunch 2007-08
- Market Liquidity and Trading Activity
- The Cross‐Section of Expected Stock Returns
- Order Imbalance, Liquidity, and Market Returns
- Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
- Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
Their papers
- Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors (2012) — 2,290 citations
- Econometric Measures of Systemic Risk in the Finance and Insurance Sectors (2010) — 251 citations
- Value-at-Risk: a multivariate switching regime approach (2000) — 184 citations
- Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation (2006) — 170 citations
- Volatility and shocks spillover before and after EMU in European stock markets (2003) — 118 citations
- Contagion and Interdependence in Stock Markets: Have they been misdiagnosed? (2003) — 152 citations
- Inside the ESG Ratings: (Dis)Agreement and Performance (2020) — 521 citations
- Modeling systemic risk with Markov Switching Graphical SUR models (2019) — 69 citations
- Markov switching GARCH models for Bayesian hedging on energy futures markets (2013) — 60 citations
- Measuring Systemic Risk in the Finance and Insurance Sectors (2010) — 121 citations
- Business Cycle Analysis with Multivariate Markov Switching Models (2007) — 48 citations