Michele Costola

Ca' Foscari University of Venice

Post Doc Researcher

Cannaregio 873

Venice, 30121

Italy

  • Ca' Foscari University of Venice

SCHOLARLY PAPERS

25

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SSRN CITATIONS
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in Total Papers Citations

88

CROSSREF CITATIONS

4

Scholarly Papers (25)

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1.

Inside the ESG Ratings: (Dis)Agreement and Performance

Downloads 2,886 ( 7,923)
Citation 36

Inside the ESG Ratings: (Dis)Agreement and Performance

SAFE Working Paper No. 284
Number of pages: 42 Posted: 31 Jul 2020 Last Revised: 08 Sep 2020
Monica Billio, Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Université Paris Dauphine, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 2,298 (11,142)
Citation 1

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Corporate Social Responsibility, ESG Rating Agencies, Sustainable Investments

Inside the ESG Ratings: (Dis)agreement and Performance

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2020
Number of pages: 42 Posted: 12 Jan 2021
Monica Billio, Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Ca Foscari University of Venice, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 588 (79,695)
Citation 24

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Corporate Social Responsibility, ESG Rating Agencies, Sustainable Investments

2.

Sustainable Finance: A Journey Toward ESG and Climate Risk

SAFE Working Paper No. 349
Number of pages: 61 Posted: 27 Apr 2022
Monica Billio, Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino and Loriana Pelizzon
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Ca Foscari University of Venice, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 1,053 (37,150)

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Environmental, social, and governance factors (ESG); credit risk; debt cost; equity cost; sovereign bonds; portfolio management

3.

Pricing Climate Transition Risk: Evidence from European Corporate CDS

SAFE Working Paper No. 387
Number of pages: 85 Posted: 30 May 2023
Katia Vozian and Michele Costola
Hanken School of Economics and Ca' Foscari University of Venice
Downloads 309 (170,080)

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climate change; transition risk; credit risk; credit default swap; emissions trading system (ETS); financial markets

4.

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, Monica Billio, Roberto Casarin, Michele Costola and Andrea Pasqualini
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Independent
Downloads 270 (195,480)

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Entropy, systemic risk measures, early warning indicators, aggregation

5.

Impact of Public News Sentiment on Stock Market Index Return and Volatility

SAFE Working Paper No. 322
Number of pages: 43 Posted: 11 Oct 2021
Gianluca Anese, Marco Corazza, Michele Costola and Loriana Pelizzon
affiliation not provided to SSRN, Ca Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 214 (244,998)

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[comPublic financial news, Stock market, NLP, Dictionary, LSTM neural net- works, Investor sentiment, S&P 500ma separated]

6.

Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case

SAFE Working Paper No. 261, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 06/WP/2020
Number of pages: 43 Posted: 18 May 2020
Monica Billio, Monica Billio, Michele Costola, Loriana Pelizzon and Max Riedel
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Goethe University Frankfurt - Faculty of Economics and Business Administration and Leibniz Institute for Financial Research SAFE
Downloads 211 (248,221)
Citation 2

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Mortgages, Energy Efficiency, Credit Risk

7.

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, Ca' Foscari University of Venice, University Paris-1 Panthéon-Sorbonne and EMLyon Business School (Paris Campus)
Downloads 211 (248,221)
Citation 1

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

8.

On the “mementum” of Meme Stocks

Number of pages: 10 Posted: 08 Jun 2021
Michele Costola, Matteo Iacopini and Carlo Santagiustina
Ca' Foscari University of Venice, Queen Mary University of London and Ca Foscari University of Venice - Department of Management
Downloads 179 (287,583)
Citation 8

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Meme stocks, Social media, Social trading, Cointegration, Regime switching

9.

Time-Varying Granger Causality Tests for Applications in Global Crude Oil Markets: A Study on the DCC-MGARCH Hong Test

SAFE Working Paper No. 324, Energy Economics, Vol. 111, 2022
Number of pages: 33 Posted: 14 Oct 2021 Last Revised: 21 Jun 2022
Massimiliano Caporin and Michele Costola
University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 173 (296,408)
Citation 1

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Granger Causality, Hong test, DCC-GARCH, Oil market, COVID-19

10.

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, Ca' Foscari University of Venice and Drexel University - Lebow College of Business
Downloads 162 (313,354)

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

11.

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 Padua and Ca' Foscari University of Venice
Downloads 158 (320,097)
Citation 1

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

12.

Financial Bridges and Network Communities

SAFE Working Paper No. 208
Number of pages: 59 Posted: 14 May 2018 Last Revised: 27 Oct 2023
Roberto Casarin, Michele Costola and Erdem Yenerdag
University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Washington University in St. Louis - Department of Economics
Downloads 148 (337,865)
Citation 1

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Systemic Risk, Financial Institutions, Network Communities, Financial Crises

13.

Public Concern and the Financial Markets during the COVID-19 outbreak

Number of pages: 10 Posted: 03 May 2020 Last Revised: 06 May 2020
Michele Costola, Matteo Iacopini and Carlo Santagiustina
Ca' Foscari University of Venice, Queen Mary University of London and Ca Foscari University of Venice - Department of Management
Downloads 142 (349,275)
Citation 7

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COVID-19, Coronavirus, Social Media data, Google Trends, Financial markets

14.

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 Ca' Foscari University of Venice
Downloads 106 (434,405)
Citation 1

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investment decision, behavioral agents, mixture model, behavioral expectations

15.

Credit Scoring in SME Asset-Backed Securities: An Italian Case Study

SAFE Working Paper No. 262 (2019)
Number of pages: 38 Posted: 22 Oct 2019 Last Revised: 22 Jan 2021
Andrea Bedin, Monica Billio, Monica Billio, Michele Costola and Loriana Pelizzon
Goethe University Frankfurt, University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 99 (455,542)

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credit scoring; probability of default; small and medium enterprises; assetbacked securities

16.

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, Monica Billio, Massimiliano Caporin and Michele Costola
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 99 (455,542)
Citation 3

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performance measures, combining performance measures, portfolio

17.

Creditworthiness and buildings’ energy efficiency in the Italian mortgage market

SAFE Working Paper No. 352
Number of pages: 26 Posted: 29 Jun 2022
Monica Billio, Monica Billio, Michele Costola, Loriana Pelizzon and Max Riedel
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Goethe University Frankfurt - Faculty of Economics and Business Administration and Leibniz Institute for Financial Research SAFE
Downloads 95 (468,126)

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18.

COVID-19 Spreading in Financial Networks: A Semiparametric Matrix Regression Model

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 05/WP/2021
Number of pages: 33 Posted: 12 Jan 2021
Monica Billio, Monica Billio, Roberto Casarin, Michele Costola and Matteo Iacopini
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Queen Mary University of London
Downloads 84 (505,594)
Citation 2

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Multilayer networks, financial markets, COVID-19

19.

Backard/Forward Optimal Combination of Performance Measures for Equity Screening

Number of pages: 31 Posted: 12 Jul 2012
Monica Billio, Monica Billio, Massimiliano Caporin and Michele Costola
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 81 (516,662)

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

20.

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
Ca' Foscari University of Venice and University of Padua - Department of Statistical Sciences
Downloads 72 (552,775)

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learner agent, investment decision, behavioral agents, Bayesian updating

21.

Learning from Experts: Energy Efficiency in Residential Buildings

SAFE Working Paper No. 403
Number of pages: 49 Posted: 10 Oct 2023
Monica Billio, Monica Billio, Roberto Casarin, Michele Costola and Veronica Veggente
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Imperial College Business School
Downloads 53 (644,358)

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Energy efficiency, Energy Performance Certificate, Machine learning, Tree-based models, big data

22.

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
Ca' Foscari University of Venice, European Commission-Joint Research Centre, Ca Foscari University of Venice and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 46 (684,893)

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Cay, Trend, State-Space Model

23.

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
Ca' Foscari University of Venice and University of Padua - Department of Statistical Sciences
Downloads 33 (774,418)

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combining performance measures, portfolio allocation, learning agent process

24.

Bayesian SAR Model with Stochastic Volatility and Multiple Time-Varying Weights

SAFE Working Paper No. 407
Number of pages: 35 Posted: 02 Nov 2023
Michele Costola, Matteo Iacopini and Casper Wichers
Ca' Foscari University of Venice, Queen Mary University of London and Independent
Downloads 21 (875,579)

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Bayesian inference; International relationships; Multilayer networks; Spatial autoregressive model; Time-varying networks; Stochastic volatility

25.

Machine Learning Sentiment Analysis, Covid-19 News and Stock Market Reactions

SAFE Working Paper No. 288
Posted: 15 Sep 2020
Michele Costola, Michael Nofer, Oliver Hinz and Loriana Pelizzon
Ca' Foscari University of Venice, Goethe University Frankfurt, Goethe University Frankfurt - Faculty of Economics and Business Administration and Goethe University Frankfurt - Faculty of Economics and Business Administration

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COVID-19 news, Sentiment Analysis, Stock Markets