European early warning system for systemic risk.

Project Information

EARLINESS.eu

Grant agreement ID: 707070

DOI 10.3030/707070

Project closed

EC signature date 21 March 2016

Start date 1 June 2016

End date 31 May 2018

Funded under

• EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions

Total cost € 171 460,80

EU contribution € 171 460,80

Coordinated by

GESELLSCHAFT FUR KAPITALMARKTFORSCHUNG EV
Germany

CORDIS provides links to public deliverables and publications of HORIZON projects.

Links to deliverables and publications from FP7 projects, as well as links to some specific result types such as dataset and software, are dynamically retrieved from OpenAIRE .

Publications

Peer reviewed articles (2)

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

Author(s): Massimiliano Caporin, Luca Corazzini, Michele Costola
Published in: British Journal of Management, 2018, ISSN 1045-3172
Publisher: Blackwell Publishing Inc.
DOI: 10.1111/1467-8551.12285

“On the (Ab)use of Omega ?”

Author(s): Massimiliano Caporin, Michele Costola, Gregory Jannin, Bertrand Maillet
Published in: Journal of Empirical Finance, Issue 46, 2018, Page(s) 11-33, ISSN 0927-5398
Publisher: Elsevier BV
DOI: 10.1016/j.jempfin.2017.11.007

Other (1)

Do we need a stochastic trend in cay estimation? Yes.

Author(s): Costola, Michele; Frattarolo, Lorenzo; Lucchetta, Marcella; Paradiso, Antonio
Published in: Ca' Foscari Working Paper, Issue No. 24/WP/2016, 2016
Publisher: WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE

Non-peer reviewed articles (2)

Financial Bridges and Network Communities

Author(s): Roberto Casarin, Michele Costola, Erdem Yenerdag
Published in: SSRN Electronic Journal, Issue SAFE Working Paper No. 208, 2018, ISSN 1556-5068
Publisher: Research Center SAFE Working Paper Series
DOI: 10.2139/ssrn.3178053

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

Author(s): Ahmed A.A. Khalifa, Massimiliano Caporin, Michele Costola, Shawkat M. Hammoudeh
Published in: SSRN Electronic Journal, Issue SAFE Working Paper No. 172, 2017, ISSN 1556-5068
Publisher: Research Center SAFE Working Paper Series
DOI: 10.2139/ssrn.2985352

Monographic books (1)

Mathematical and Statistical Methods for Actuarial Sciences and Finance - MAF 2018

Author(s): Marco Corazza, María Durbán, Aurea Grané, Cira Perna, Marilena Sibillo
Published in: Sparse Networks Through Regularised Regressions, 2018, Page(s) 125-128, ISBN 978-3-319-89824-7
Publisher: Springer International Publishing
DOI: 10.1007/978-3-319-89824-7

Conference proceedings (3)

Bayesian Non–Negative L1–Regularised Regression.

Author(s): Costola, M.
Published in: Proceedings in Statistics and Data Science: New Challenges, New Generations, 2017
Publisher: FIRENZE UNIVERSITY PRESS

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author(s): Billio M., Casarin R., Costola, M. & Frattarolo L.
Published in: Disagreement in Signed Financial Networks, 2018
Publisher: Springer International Publishing

Model Selection in Weighted Stochastic Block models

Author(s): Roberto Casarin; Michele Costola; Erdem Yenerdag
Published in: Springer Proceedings in Mathematics & Statistics - series PROMS, 2018
Publisher: "Forthcoming in the Springer Proceedings in Mathematics & Statistics - series PROMS, ""Studies in Theoretical and Applied Statistics - SIS2018 - 49th Meeting of the Italian Statistical Society"
DOI: 10.5281/zenodo.1322572

Book chapters (2)

Contagion Dynamics on Financial Networks (Forthcoming)

Author(s): Billio, Monica; Casarin, Roberto; Costola, Michele; Frattarolo, Lorenzo
Published in: Handbook of Advances in Applied Financial Econometrics, 2018
Publisher: Routledge

Systemic risk and financial interconnectedness: network measures and the impact of the indirect effect

Author(s): Billio, Monica; COSTOLA, MICHELE; Panzica, Roberto Calogero; Pelizzon, Loriana
Published in: 2016
Publisher: ISTE - Elsevier