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D-Index & Metrics

Economics and Finance

D-Index
39
Citations
9062
World Ranking
2385
National Ranking
52

Overview

Monica Billio is affiliated with Ca Foscari University of Venice in Italy and works primarily within the domain of Economics, Econometrics, and Finance. Their research spans several subfields including Economics and Econometrics, Finance, Building and Construction, Accounting, and General Economics, Econometrics and Finance.

Their publication record includes a significant number of papers published in well-known venues. Frequent publication venues include:

  • SSRN Electronic Journal
  • Econometrics and Statistics
  • Energy Economics
  • Journal of Banking & Finance
  • Annals of Operations Research

Monica Billio's research interests cover a range of topics within economics and finance. Major topics include:

  • Market Dynamics and Volatility
  • Housing Market and Economics
  • Complex Systems and Time Series Analysis
  • Banking Stability, Regulation, Efficiency
  • Credit Risk and Financial Regulations
  • Financial Markets and Investment Strategies
  • Sustainable Building Design and Assessment

The scientist has collaborated frequently with several coauthors, including:

  • Roberto Casarin
  • Loriana Pelizzon
  • Michele Costola
  • Simone Varotto
  • Carmelo Latino

Their recent papers highlight ongoing contributions to the study of ESG (Environmental, Social, and Governance) ratings and dynamic econometric methods. Selected recent papers include:

  • Inside the ESG ratings: (Dis)agreement and performance, 2021, Corporate Social Responsibility and Environmental Management
  • Inside the ESG Ratings: (Dis)agreement and Performance, 2020, SSRN Electronic Journal
  • Inside the ESG Ratings: (Dis)Agreement and Performance, 2020, SSRN Electronic Journal
  • Bayesian Dynamic Tensor Regression, 2022, Journal of Business and Economic Statistics

In addition to journal articles, Monica Billio has published books through publishers such as Edizioni Ca' Foscari and AIFIRM eBooks. Titles include:

  • Eccellenze cafoscarine nella storia del Dipartimento di Economia, 2022
  • NPE RISK: EVOLUZIONE DELLE METODOLOGIE E DELLE STRATEGIE E GESTIONE DI DE-RISKING, 2023

Best Publications

  • Econometric measures of connectedness and systemic risk in the finance and insurance sectors

    Monica Billio;Mila Getmansky;Andrew W. Lo;Loriana Pelizzon

  • Inside the ESG ratings: (Dis)agreement and performance

    Monica Billio;Michele Costola;Iva Hristova;Carmelo Latino

  • Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

    Monica Billio;Mila Getmansky;Andrew W. Lo;Loriana Pelizzon

  • Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

    Monica Billio;Andrew W. Lo;Andrew W. Lo;Mila Getmansky Sherman;Loriana Pelizzon;Loriana Pelizzon;Loriana Pelizzon

  • Value-at-Risk: a multivariate switching regime approach

    Monica Billio;Loriana Pelizzon;Loriana Pelizzon

  • Bayesian Graphical Models for Structural Vector Autoregressive Processes

    Daniel Felix Ahelegbey;Monica Billio;Roberto Casarin

  • Flexible Dynamic Conditional Correlation Multivariate GARCH models for Asset Allocation

    Monica Billio;Massimiliano Caporin;Michele Gobbo

  • Contagion and Interdependence in Stock Markets: Have they been misdiagnosed?

    Monica Billio;Loriana Pelizzon

  • Measuring Systemic Risk in the Finance and Insurance Sectors

    Monica Billio;Mila Getmansky;Andrew W. Lo;Loriana Pelizzon

  • Multivariate Markov Switching Dynamic Conditional Correlation GARCH representations for contagion analysis

    Monica Billio;Massimiliano Caporin

  • Dynamic risk exposures in hedge funds

    Monica Billio;Mila Getmansky;Loriana Pelizzon

  • Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion

    Monica Billio;Massimiliano Caporin

  • Volatility and shocks spillover before and after EMU in European stock markets

    Monica Billio;Loriana Pelizzon

  • Time-varying combinations of predictive densities using nonlinear filtering

    Monica Billio;Roberto Casarin;Francesco Ravazzolo;Herman K. van Dijk

  • Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis

    Peter Martey Addo;Peter Martey Addo;Monica Billio;Dominique Guegan;Dominique Guegan

  • A generalized Dynamic Conditional Correlation model for portfolio risk evaluation

    Monica Billio;Massimiliano Caporin

  • Crises and Hedge Fund Risk

    Monica Billio;Mila Getmansky;Loriana Pelizzon

  • Crises and Hedge Fund Risk

    Loriana Pelizzon;Monica Billio;Mila Getmansky

  • Inside the ESG ratings: (Dis)agreement and performance

    Monica Billio;Michele Costola;Iva Histova;Carmelo Latino

  • An entropy-based early warning indicator for systemic risk

    Monica Billio;Roberto Casarin;Michele Costola;Andrea Pasqualini

  • Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering

    Monica Billio;Roberto Casarin;Francesco Ravazzolo;Francesco Ravazzolo;H. K. van Dijk;H. K. van Dijk

Frequent Co-Authors

Loriana Pelizzon
Loriana Pelizzon Ca Foscari University of Venice
Massimiliano Caporin
Massimiliano Caporin University of Padua
Herman K. van Dijk
Herman K. van Dijk Erasmus University Rotterdam
Alain Monfort
Alain Monfort École Nationale de la Statistique et de l'Administration Économique
Stefano Battiston
Stefano Battiston University of Zurich
Massimo Guidolin
Massimo Guidolin Bocconi University
Gary Koop
Gary Koop University of Strathclyde
Steven Ongena
Steven Ongena University of Zurich
Siem Jan Koopman
Siem Jan Koopman Vrije Universiteit Amsterdam

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