Sfoglia per Autore
Market Linkages, Variance Spillover and Correlation Stability: Empirical Evidences of Financial Contagion
2006-01-01 Billio, Monica; Caporin, M.
Granger-causality in Markov Switching Models
2006-01-01 Billio, Monica; DI SANZO, S.
Phase-Locking and Switching Volatility in Hedge Funds
2006-01-01 Billio, Monica; Getmansky, M; Pelizzon, Loriana
Flexible Dynamic Conditional Correlation Multivariate GARCH models for Asset Allocation
2006-01-01 Billio, Monica; Caporin, Massimiliano; Gobbo, M.
Business cycle analysis with multivariate Markov switching models
2007-01-01 Anas, J; Billio, Monica; Ferrara, L; LO DUCA, M.
Bayesian inference in dynamic models with latent factors
2007-01-01 Billio, Monica; Casarin, Roberto; Sartore, Domenico
Dating Euro15 monthly business cycle jointly using GDP and IPI
2007-01-01 Billio, Monica; Caporin, M; Cazzavillan, Guido
Market Linkages, Variance Spillover and Correlation Stability: Empirical Evidences of Financial Contagion
2007-01-01 Billio, Monica; Caporin, Massimiliano
Dyamic Risk Exposure in Hedge Funds
2007-01-01 Billio, Monica; Getmansky, M; Pelizzon, Loriana
A turning point chronology for the Euro-zone classical and growth cycle
2007-01-01 Anas, J; Billio, Monica; Ferrara, L; LO DUCA, M.
Bayesian Inference on Dynamic Models with Latent Factors
2007-01-01 Billio, Monica; Casarin, Roberto; Sartore, Domenico
Stochastic Optimisation for Allocation Problem with Shortfall Risk Constraints
2007-01-01 Casarin, Roberto; Billio, Monica
Calculating VaR for Hedge Funds
2008-01-01 Billio, Monica; Getmansky, M; Pelizzon, Loriana
Dating Euro15 monthly business cycle jointly using GDP and IPI
2008-01-01 Billio, Monica; Caporin, M; Cazzavillan, Guido
A System for Dating and Detecting Turning Points in the Euro Area
2008-01-01 Anas, J; Billio, Monica; Ferrara, L; Mazzi, G. L.
Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
2009-01-01 Billio, Monica; M., Getmansky; Pelizzon, Loriana
A generalised Dynamic Conditional Correlation model for portfolio risk evaluation
2009-01-01 Billio, Monica; Caporin, M.
A Cross-Sectional Performance Measure for Portfolio Management
2010-01-01 Billio, Monica; L., Calès; D., Guegan
A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios
2010-01-01 Billio, Monica; L., Calès; D., Guegan
Combining predictive densities using Bayesian filtering with applications to US economics data
2010-01-01 Billio, Monica; Casarin, Roberto; Ravazzolo, F.; VAN DIJK, H. K.
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