Principali pubblicazioni

BILLIO M., CAPORIN M., GOBBO M. (2006).
Flexible Dynamic Conditional Correlation Multivariate GARCH models for Asset Allocation. Applied Financial Economic Letters, 2, 123-130.

BILLIO M., CAPORIN M. (2005).
Multivariate Markov Switching Dynamic Conditional Correlation GARCH representations for contagion analysis. Stastistical Methods & Applications, 14/2, 145-161.

ANAS J., BILLIO M., FERRARA L., LO DUCA M. (2004).
Business cycle analysis with multivariate Markov switching models. Forthcoming in Monography of Official Statistics, Eurostat.

ANAS J., BILLIO M., FERRARA L., LO DUCA M. (2004).
A turning point chronology for the Euro-zone classical and growth cycle. Forthcoming in Monography of Official Statistics, Eurostat.

BILLIO M., CASARIN R., SARTORE D. (2004).
Bayesian inference in dynamic models with latent factors.
Forthcoming in Monography of Official Statistics, Eurostat.

BILLIO M., PELIZZON L. (2003).
Contagion and Interdependence in Stock Markets: Have they been misdiagnosed?
Journal of Economics and Business, 55, 5/6, 405-426.

BILLIO M., PELIZZON L. (2003).
Volatility and shocks spillover before and after EMU in Europe stock markets. Journal of Multinational Financial Management. 13, 4/5 323-340.

BILLIO M., SARTORE D. (2003).
Stochastic Volatility Model: A Survey with Applications to Option Pricing and Value at Risk.
In DUNIS C., LAWS J., NAIM P. Quantitative Methods for Trading and Investment,Cap. 8.: John Wiley

BILLIO M., MONFORT A. (2003).
Kernel-based Indirect Inference. Journal of Financial Econometrics, 1/3, 297-326.

CASARIN R., LAZZARIN M, PELIZZON L., SARTORE D. (2005).
Relative benchmark rating and persistence analysis: Evidence from Italian equity funds, The European Journal of Finance, 11/4, 297-308.

CAZZAVILLAN G., PINTUS P.A. (2004).
Robustness of Multiple Equilibria in OLG Economies, Review of Economic Dynamics, 7(2), 456-475.

PELIZZON L., RETTORE E., SOTTANA E. (2004).
Retail Mortgage Backed Securities, Commercial Asset Backed Securities and Corporate Bonds: a Credit Spread Comparison, Rivista Internazionale delle Scienze Economiche e Commerciali, 51, 4, 477-496.

PELIZZON L., SCHAEFER S. (2005).
Pillar 1 vs Pillar 2 under risk management, NBER WP-11666. Forthcoming: M. Carey and R. Stulz (Eds) Risks of Financial Institutions and of the Financial Sector, Oxford Press.

MENEGUZZO D., VECCHIATO W. (2004).
Copula Sensitivity in Collateralized Debt Obligations and Basket Default Swaps. The Journal of Future Markets, 1,  37-70.

CHERUBINI U., LUCIANO E., VECCHIATO W. (2004).
Copula Methods in Finance. J. Wiley & Sons, Series in Finance.

VECCHIATO W. (2003).
Italy. in European Fixed Income Markets and Their Derivatives, Eds.  Batten J. – Fetherston T. – Szilàgyi P. , J. Wiley & Sons.