4 citations · 4 across the 2 of their papers we have counts for
3 papers
COVID-19 spreading in financial networks: A semiparametric matrix regression model
Billio Monica, Casarin Roberto, Costola Michele +1
Network models represent a useful tool to describe the complex set of financial relationships among heterogeneous firms in the system. In this paper, we propose a new semiparametri…
The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach
Monica Billio, Roberto Casarin, Enrica De Cian +2
This paper examines the impact of climate shocks on 13 European economies analysing jointly business and financial cycles, in different phases and disentangling the effects for dif…
Efficient Gibbs Sampling for Markov Switching GARCH Models
Monica Billio, Roberto Casarin, Anthony Osuntuyi
We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-…