Michele Costola

Ca' Foscari University of Venice

Post Doc Researcher

Cannaregio 873

Venice, 30121

Italy

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 17,152

SSRN RANKINGS

Top 17,152

in Total Papers Downloads

4,167

SSRN CITATIONS
Rank 40,517

SSRN RANKINGS

Top 40,517

in Total Papers Citations

14

CROSSREF CITATIONS

4

Scholarly Papers (22)

1.
Downloads 1,988 ( 11,334)
Citation 6

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
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 1,516 (16,924)
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
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 472 (84,634)

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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
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 Leibniz Institute for Financial Research SAFE
Downloads 247 (174,986)

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

3.

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
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 229 (184,526)

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Entropy, systemic risk measures, early warning indicators, aggregation

4.

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
University of Padua - Department of Statistical Sciences, Ca' Foscari University of Venice, University Paris-1 Panthéon-Sorbonne and EMLyon Business School (Paris Campus)
Downloads 193 (216,077)
Citation 1

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

5.

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
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 174 (236,361)

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Mortgages, Energy Efficiency, Credit Risk

6.

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
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 150 (267,381)

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

7.

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
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 139 (283,939)

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

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, VU University Amsterdam - Department of Econometrics and Ca'Foscari University of Venice - Department of Economics
Downloads 137 (287,160)
Citation 1

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

9.

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 134 (292,028)
Citation 1

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

10.

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, VU University Amsterdam - Department of Econometrics and Ca'Foscari University of Venice - Department of Economics
Downloads 124 (309,460)

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

11.

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, Ca' Foscari University of Venice and Washington University in St. Louis - Department of Economics
Downloads 107 (343,155)
Citation 1

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Systemic Risk, Financial Institutions, Network Communities, Financial Crises

12.

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 103 (356,662)

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

13.

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 88 (388,776)
Citation 1

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investment decision, behavioral agents, mixture model, behavioral expectations

14.

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
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 72 (436,282)
Citation 3

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performance measures, combining performance measures, portfolio

15.

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
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 VU University Amsterdam - Department of Econometrics
Downloads 69 (446,206)
Citation 1

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Multilayer networks, financial markets, COVID-19

16.

Backard/Forward Optimal Combination of Performance Measures for Equity Screening

Number of pages: 31 Posted: 12 Jul 2012
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 64 (463,692)

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

17.

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
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 58 (486,458)

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

18.

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 37 (582,609)

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learner agent, investment decision, behavioral agents, Bayesian updating

19.

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
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 33 (605,201)

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Cay, Trend, State-Space Model

20.

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 16 (725,712)

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combining performance measures, portfolio allocation, learning agent process

21.

Creditworthiness and buildings’ energy efficiency in the Italian mortgage market

SAFE Working Paper No. 352
Number of pages: 26 Posted: 29 Jun 2022
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice, Leibniz Institute for Financial Research SAFE and Leibniz Institute for Financial Research SAFE
Downloads 5 (837,846)

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22.

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

SAFE Working Paper No. 288
Posted: 15 Sep 2020
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