Michele Costola

Ca' Foscari University of Venice

Post Doc Researcher

Cannaregio 873

Venice, 30121

Italy

  • Ca' Foscari University of Venice

SCHOLARLY PAPERS

22

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14

CROSSREF CITATIONS

4

Scholarly Papers (22)

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1.

Inside the ESG Ratings: (Dis)Agreement and Performance

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
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 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
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 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
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 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
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 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
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 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
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 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
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 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
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 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
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 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
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 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
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 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
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 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
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 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
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, 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
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