European early warning system for systemic risk.

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

Auteurs: Massimiliano Caporin, Luca Corazzini, Michele Costola
Publié dans: British Journal of Management, 2018, ISSN 1045-3172
Éditeur: Blackwell Publishing Inc.
DOI: 10.1111/1467-8551.12285

“On the (Ab)use of Omega ?”

Auteurs: Massimiliano Caporin, Michele Costola, Gregory Jannin, Bertrand Maillet
Publié dans: Journal of Empirical Finance, Numéro 46, 2018, Page(s) 11-33, ISSN 0927-5398
Éditeur: Elsevier BV
DOI: 10.1016/j.jempfin.2017.11.007

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

Auteurs: Costola, Michele; Frattarolo, Lorenzo; Lucchetta, Marcella; Paradiso, Antonio
Publié dans: Ca' Foscari Working Paper, Numéro No. 24/WP/2016, 2016
Éditeur: WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE

Financial Bridges and Network Communities

Auteurs: Roberto Casarin, Michele Costola, Erdem Yenerdag
Publié dans: SSRN Electronic Journal, Numéro SAFE Working Paper No. 208, 2018, ISSN 1556-5068
Éditeur: 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

Auteurs: Ahmed A.A. Khalifa, Massimiliano Caporin, Michele Costola, Shawkat M. Hammoudeh
Publié dans: SSRN Electronic Journal, Numéro SAFE Working Paper No. 172, 2017, ISSN 1556-5068
Éditeur: Research Center SAFE Working Paper Series
DOI: 10.2139/ssrn.2985352

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

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

Bayesian Non–Negative L1–Regularised Regression.

Auteurs: Costola, M.
Publié dans: Proceedings in Statistics and Data Science: New Challenges, New Generations, 2017
Éditeur: FIRENZE UNIVERSITY PRESS

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Auteurs: Billio M., Casarin R., Costola, M. & Frattarolo L.
Publié dans: Disagreement in Signed Financial Networks, 2018
Éditeur: Springer International Publishing

Model Selection in Weighted Stochastic Block models

Auteurs: Roberto Casarin; Michele Costola; Erdem Yenerdag
Publié dans: Springer Proceedings in Mathematics & Statistics - series PROMS, 2018
Éditeur: "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

Contagion Dynamics on Financial Networks (Forthcoming)

Auteurs: Billio, Monica; Casarin, Roberto; Costola, Michele; Frattarolo, Lorenzo
Publié dans: Handbook of Advances in Applied Financial Econometrics, 2018
Éditeur: Routledge

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

Auteurs: Billio, Monica; COSTOLA, MICHELE; Panzica, Roberto Calogero; Pelizzon, Loriana
Publié dans: 2016
Éditeur: ISTE - Elsevier

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