Michele Costola

Ca' Foscari University of Venice

Post Doc Researcher

Cannaregio 873

Venice, 30121

Italy

SCHOLARLY PAPERS

16

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1,053

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (16)

1.

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
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Independent
Downloads 177 (181,983)

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Entropy, systemic risk measures, early warning indicators, aggregation

2.

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 Padova - Department of Statistical Sciences, Ca' Foscari University of Venice, University Paris-1 Panthéon-Sorbonne and EMLyon Business School (Paris Campus)
Downloads 177 (181,983)
Citation 1

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

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
King Fahd University of Petroleum & Minerals (KFUPM), University of Padova - Department of Statistical Sciences, Ca' Foscari University of Venice and Montpellier Business School
Downloads 113 (260,579)

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

4.

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 Ca' Foscari University of Venice
Downloads 84 (316,741)

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

5.

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 Padova - Department of Statistical Sciences, University of Padova - Department of Economics and Ca' Foscari University of Venice
Downloads 81 (323,794)
Citation 1

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investment decision, behavioral agents, mixture model, behavioral expectations

6.

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 Padova - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 71 (349,108)
Citation 3

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performance measures, combining performance measures, portfolio

7.

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 69 (354,609)

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Systemic Risk, Financial Institutions, Network Communities, Financial Crises

8.

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 Padova - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 61 (377,922)

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

9.

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, Ca Foscari University of Venice and Ca'Foscari University of Venice - Department of Economics
Downloads 52 (407,425)

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

10.

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

SAFE Working Paper No. 261 (2019)
Number of pages: 43 Posted: 18 Oct 2019 Last Revised: 24 Mar 2020
Monica Billio, Michele Costola, Loriana Pelizzon and Max Riedel
Ca 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 49 (418,074)

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Mortgages, Energy Efficiency, Credit Risk

11.

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
Goethe University Frankfurt, Ca Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 37 (465,874)

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

12.

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 Padova - Department of Statistical Sciences
Downloads 36 (470,265)

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learner agent, investment decision, behavioral agents, Bayesian updating

13.

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, Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 27 (514,982)

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Cay, Trend, State-Space Model

14.

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 Padova - Department of Statistical Sciences
Downloads 15 (588,607)

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combining performance measures, portfolio allocation, learning agent process

15.

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

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, Michele Costola, Loriana Pelizzon and Max Riedel
Ca 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 3 (671,626)

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Mortgages, Energy Efficiency, Credit Risk

16.

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

British Journal of Management, Vol. 30, Issue 3, pp. 712-729, 2019
Number of pages: 18 Posted: 05 May 2020
Massimiliano Caporin, Luca Corazzini and Michele Costola
University of Padova - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Ca' Foscari University of Venice
Downloads 1 (693,134)
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