European early warning system for systemic risk.

Publications

Peer reviewed articles (2)

Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises

Author(s): Massimiliano Caporin, Luca Corazzini, Michele Costola
Published in: British Journal of Management, 2018, ISSN 1045-3172
Publisher: Blackwell Publishing Inc.
DOI: 10.1111/1467-8551.12285

“On the (Ab)use of Omega ?”

Author(s): Massimiliano Caporin, Michele Costola, Gregory Jannin, Bertrand Maillet
Published in: Journal of Empirical Finance, 46, 2018, Page(s) 11-33, ISSN 0927-5398
Publisher: Elsevier BV
DOI: 10.1016/j.jempfin.2017.11.007

Other (1)

Do we need a stochastic trend in cay estimation? Yes.

Author(s): Costola, Michele; Frattarolo, Lorenzo; Lucchetta, Marcella; Paradiso, Antonio
Published in: Ca' Foscari Working Paper, No. 24/WP/2016, 2016
Publisher: WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE

Non-peer reviewed articles (2)

Financial Bridges and Network Communities

Author(s): Roberto Casarin, Michele Costola, Erdem Yenerdag
Published in: SSRN Electronic Journal, SAFE Working Paper No. 208, 2018, ISSN 1556-5068
Publisher: Research Center SAFE Working Paper Series
DOI: 10.2139/ssrn.3178053

Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil

Author(s): Ahmed A.A. Khalifa, Massimiliano Caporin, Michele Costola, Shawkat M. Hammoudeh
Published in: SSRN Electronic Journal, SAFE Working Paper No. 172, 2017, ISSN 1556-5068
Publisher: Research Center SAFE Working Paper Series
DOI: 10.2139/ssrn.2985352

Monographic books (1)

Mathematical and Statistical Methods for Actuarial Sciences and Finance - MAF 2018

Author(s): Marco Corazza, María Durbán, Aurea Grané, Cira Perna, Marilena Sibillo
Published in: Sparse Networks Through Regularised Regressions, 2018, Page(s) 125-128, ISBN 978-3-319-89824-7
Publisher: Springer International Publishing
DOI: 10.1007/978-3-319-89824-7

Conference proceedings (3)

Bayesian Non–Negative L1–Regularised Regression.

Author(s): Costola, M.
Published in: Proceedings in Statistics and Data Science: New Challenges, New Generations, 2017
Publisher: FIRENZE UNIVERSITY PRESS

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author(s): Billio M., Casarin R., Costola, M. & Frattarolo L.
Published in: Disagreement in Signed Financial Networks, 2018
Publisher: Springer International Publishing

Model Selection in Weighted Stochastic Block models

Author(s): Roberto Casarin; Michele Costola; Erdem Yenerdag
Published in: Springer Proceedings in Mathematics & Statistics - series PROMS, 2018
Publisher: "Forthcoming in the Springer Proceedings in Mathematics & Statistics - series PROMS, ""Studies in Theoretical and Applied Statistics - SIS2018 - 49th Meeting of the Italian Statistical Society"
DOI: 10.5281/zenodo.1322572

Book chapters (2)

Contagion Dynamics on Financial Networks (Forthcoming)

Author(s): Billio, Monica; Casarin, Roberto; Costola, Michele; Frattarolo, Lorenzo
Published in: Handbook of Advances in Applied Financial Econometrics, 2018
Publisher: Routledge

Systemic risk and financial interconnectedness: network measures and the impact of the indirect effect

Author(s): Billio, Monica; COSTOLA, MICHELE; Panzica, Roberto Calogero; Pelizzon, Loriana
Published in: 2016
Publisher: ISTE - Elsevier