Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. - Monica Billio; Massimiliano Caporin (Stat. Methods Appl., 2005)

A generalized Dynamic Conditional Correlation model for portfolio risk evaluation. - Monica Billio; Massimiliano Caporin (Math. Comput. Simul., 2009)

Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion. - Monica Billio; Massimiliano Caporin (Comput. Stat. Data Anal., 2010)

Portfolio symmetry and momentum. - Monica Billio; Ludovic Calès; Dominique Guégan (Eur. J. Oper. Res., 2011)

The Annals of Computational and Financial Econometrics, first issue. - David A. Belsley; Erricos John Kontoghiorghes; Herman K. van Dijk; Luc Bauwens; Siem Jan Koopman; Michael McAleer; Alessandra Amendola; Monica Billio; Christophe Croux; Cathy W. S. Chen; Russell Davidson; Pierre Duchesne; et al. (Comput. Stat. Data Anal., 2012)

Dynamic risk exposures in hedge funds. - Monica Billio; Mila Getmansky; Loriana Pelizzon (Comput. Stat. Data Anal., 2012)

The univariate MT-STAR model and a new linearity and unit root test procedure. - Peter Martey Addo; Monica Billio; Dominique Guégan (Comput. Stat. Data Anal., 2014)

CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. - Erricos John Kontoghiorghes; Herman K. van Dijk; David A. Belsley; Tim Bollerslev; Francis X. Diebold; Jean-Marie Dufour; Robert F. Engle; Andrew Harvey; Siem Jan Koopman; Hashem Pesaran; Peter C. B. Phillips; Richard J. Smith; et al. (Comput. Stat. Data Anal., 2014)

Efficient Gibbs sampling for Markov switching GARCH models. - Monica Billio; Roberto Casarin; Anthony Osuntuyi (Comput. Stat. Data Anal., 2016)

Validating Markov Switching VAR Through Spectral Representations. - Monica Billio; Maddalena Cavicchioli (Causal Inference in Econometrics, 2016)

A Matrix-Variate t Model for Networks. - Monica Billio; Roberto Casarin; Michele Costola; Matteo Iacopini (Frontiers Artif. Intell., 2021)

A meta-measure of performance related to both investors and investments characteristics. - Monica Billio; Bertrand Maillet; Loriana Pelizzon (Ann. Oper. Res., 2022)

High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization. - Monica Billio; Lorenzo Frattarolo; Dominique Guégan (Symmetry, 2022)

Correction to: A meta-measure of performance related to both investors and investments characteristics. - Monica Billio; Bertrand Maillet; Loriana Pelizzon (Ann. Oper. Res., 2024)