Michele Costola

Goethe University Frankfurt - Research Center SAFE

Marie Curie Research Fellow

(http://www.safe-frankfurt.de)

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

  • Goethe University Frankfurt - Research Center SAFE

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

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1.

On the (Ab)Use of Omega?

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 02/WP/2015
Number of pages: 73 Posted: 03 Feb 2015 Last Revised: 12 Jul 2016
Massimiliano Caporin, Michele Costola, Gregory Mathieu Jannin and Bertrand B. Maillet
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Research Center SAFE, University Paris-1 Panthéon-Sorbonne and EMLyon Business School (Paris Campus)
Downloads 168 (176,615)
Citation 1

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Performance Measure, Omega, Return Distribution, Risk, Stochastic Dominance

2.

An Entropy-Based Early Warning Indicator for Systemic Risk

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 09/WP/2015
Number of pages: 35 Posted: 11 May 2015
Monica Billio, Roberto Casarin, Michele Costola and Andrea Pasqualini
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Goethe University Frankfurt - Research Center SAFE and Independent
Downloads 163 (181,165)

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Entropy, systemic risk measures, early warning indicators, aggregation

3.

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

SAFE Working Paper No. 172
Number of pages: 56 Posted: 14 Jun 2017 Last Revised: 10 Nov 2017
Ahmed A.A. Khalifa, Massimiliano Caporin, Michele Costola and Shawkat M. Hammoudeh
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Research Center SAFE and Montpellier Business School
Downloads 107 (251,603)

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Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies

4.

Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500

Number of pages: 45 Posted: 02 Oct 2014
Massimiliano Caporin, Luca Corazzini and Michele Costola
University of Padua - Department of Statistical Sciences, University of Padua - Department of Economics and Goethe University Frankfurt - Research Center SAFE
Downloads 77 (310,293)
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investment decision, behavioral agents, mixture model, behavioral expectations

5.

Backward/Forward Optimal Combination of Performance Measures for Equity Screening

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13
Number of pages: 31 Posted: 29 Jul 2012
Monica Billio, Massimiliano Caporin and Michele Costola
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Research Center SAFE
Downloads 69 (330,014)
Citation 2

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performance measures, combining performance measures, portfolio

6.

High-Dimensional Sparse Financial Networks Through a Regularised Regression Model

SAFE Working Paper No. 244 (2019)
Number of pages: 51 Posted: 27 Feb 2019
Mauro Bernardi and Michele Costola
University of Padova and Goethe University Frankfurt - Research Center SAFE
Downloads 62 (348,946)

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VAR estimation, Financial Networks, Bayesian inference, Sparsity, Spike-and-Slab prior, Stochastic Search Variable Selection, Expectation-Maximisation

7.

Backard/Forward Optimal Combination of Performance Measures for Equity Screening

Number of pages: 31 Posted: 12 Jul 2012
Monica Billio, Massimiliano Caporin and Michele Costola
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Research Center SAFE
Downloads 59 (357,576)

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performance measures, combining performance measures, portfolio allocation, equity screening, differential evolution

8.

Financial Bridges and Network Communities

SAFE Working Paper No. 208
Number of pages: 47 Posted: 14 May 2018 Last Revised: 16 Apr 2019
Roberto Casarin, Michele Costola and Erdem Yenerdag
University Ca' Foscari of Venice - Department of Economics, Goethe University Frankfurt - Research Center SAFE and Washington University in St. Louis - Department of Economics
Downloads 57 (363,688)

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Systemic Risk, Financial Institutions, Network Communities, Financial Crises

9.

Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 16/WP/2015
Number of pages: 37 Posted: 17 Jun 2015
Michele Costola and Massimiliano Caporin
Goethe University Frankfurt - Research Center SAFE and University of Padua - Department of Statistical Sciences
Downloads 34 (446,587)

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learner agent, investment decision, behavioral agents, Bayesian updating

10.

Do We Need a Stochastic Trend in Cay Estimation? Yes.

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24/WP/2016
Number of pages: 15 Posted: 02 Nov 2016
Michele Costola, Lorenzo Frattarolo, Marcella Lucchetta and Antonio Paradiso
Goethe University Frankfurt - Research Center SAFE, Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 22 (507,374)

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Cay, Trend, State-Space Model

11.

Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices (Web Appendix)

Number of pages: 35 Posted: 07 Nov 2015
Michele Costola and Massimiliano Caporin
Goethe University Frankfurt - Research Center SAFE and University of Padua - Department of Statistical Sciences
Downloads 15 (548,132)

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combining performance measures, portfolio allocation, learning agent process