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

Autori: Massimiliano Caporin, Luca Corazzini, Michele Costola
Pubblicato in: British Journal of Management, 2018, ISSN 1045-3172
Editore: Blackwell Publishing Inc.
DOI: 10.1111/1467-8551.12285

“On the (Ab)use of Omega ?”

Autori: Massimiliano Caporin, Michele Costola, Gregory Jannin, Bertrand Maillet
Pubblicato in: Journal of Empirical Finance, Numero 46, 2018, Pagina/e 11-33, ISSN 0927-5398
Editore: Elsevier BV
DOI: 10.1016/j.jempfin.2017.11.007

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

Autori: Costola, Michele; Frattarolo, Lorenzo; Lucchetta, Marcella; Paradiso, Antonio
Pubblicato in: Ca' Foscari Working Paper, Numero No. 24/WP/2016, 2016
Editore: WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE

Financial Bridges and Network Communities

Autori: Roberto Casarin, Michele Costola, Erdem Yenerdag
Pubblicato in: SSRN Electronic Journal, Numero SAFE Working Paper No. 208, 2018, ISSN 1556-5068
Editore: 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

Autori: Ahmed A.A. Khalifa, Massimiliano Caporin, Michele Costola, Shawkat M. Hammoudeh
Pubblicato in: SSRN Electronic Journal, Numero SAFE Working Paper No. 172, 2017, ISSN 1556-5068
Editore: Research Center SAFE Working Paper Series
DOI: 10.2139/ssrn.2985352

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

Autori: Marco Corazza, María Durbán, Aurea Grané, Cira Perna, Marilena Sibillo
Pubblicato in: Sparse Networks Through Regularised Regressions, 2018, Pagina/e 125-128, ISBN 978-3-319-89824-7
Editore: Springer International Publishing
DOI: 10.1007/978-3-319-89824-7

Bayesian Non–Negative L1–Regularised Regression.

Autori: Costola, M.
Pubblicato in: Proceedings in Statistics and Data Science: New Challenges, New Generations, 2017
Editore: FIRENZE UNIVERSITY PRESS

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Autori: Billio M., Casarin R., Costola, M. & Frattarolo L.
Pubblicato in: Disagreement in Signed Financial Networks, 2018
Editore: Springer International Publishing

Model Selection in Weighted Stochastic Block models

Autori: Roberto Casarin; Michele Costola; Erdem Yenerdag
Pubblicato in: Springer Proceedings in Mathematics & Statistics - series PROMS, 2018
Editore: "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)

Autori: Billio, Monica; Casarin, Roberto; Costola, Michele; Frattarolo, Lorenzo
Pubblicato in: Handbook of Advances in Applied Financial Econometrics, 2018
Editore: Routledge

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

Autori: Billio, Monica; COSTOLA, MICHELE; Panzica, Roberto Calogero; Pelizzon, Loriana
Pubblicato in: 2016
Editore: ISTE - Elsevier

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