4 citations · 4 across the 4 of their papers we have counts for
6 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…
Bayesian Markov Switching Tensor Regression for Time-varying Networks
Monica Billio, Roberto Casarin, Matteo Iacopini
We propose a new Bayesian Markov switching regression model for multidimensional arrays (tensors) of binary time series. We assume a zero-inflated logit regression with time-varyin…
Bayesian Dynamic Tensor Regression
Monica Billio, Roberto Casarin, Matteo Iacopini +1
Tensor-valued data are becoming increasingly available in economics and this calls for suitable econometric tools. We propose a new dynamic linear model for tensor-valued response…
Bayesian nonparametric sparse VAR models
Monica Billio, Roberto Casarin, Luca Rossini
High dimensional vector autoregressive (VAR) models require a large number of parameters to be estimated and may suffer of inferential problems. We propose a new Bayesian nonparame…
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-…