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

Autorzy: Massimiliano Caporin, Luca Corazzini, Michele Costola
Opublikowane w: British Journal of Management, 2018, ISSN 1045-3172
Wydawca: Blackwell Publishing Inc.
DOI: 10.1111/1467-8551.12285

“On the (Ab)use of Omega ?”

Autorzy: Massimiliano Caporin, Michele Costola, Gregory Jannin, Bertrand Maillet
Opublikowane w: Journal of Empirical Finance, Numer 46, 2018, Strona(/y) 11-33, ISSN 0927-5398
Wydawca: Elsevier BV
DOI: 10.1016/j.jempfin.2017.11.007

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

Autorzy: Costola, Michele; Frattarolo, Lorenzo; Lucchetta, Marcella; Paradiso, Antonio
Opublikowane w: Ca' Foscari Working Paper, Numer No. 24/WP/2016, 2016
Wydawca: WORKING PAPER-DEPARTMENT OF ECONOMICS, CÀ FOSCARI. UNIVERSITY OF VENICE

Financial Bridges and Network Communities

Autorzy: Roberto Casarin, Michele Costola, Erdem Yenerdag
Opublikowane w: SSRN Electronic Journal, Numer SAFE Working Paper No. 208, 2018, ISSN 1556-5068
Wydawca: 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

Autorzy: Ahmed A.A. Khalifa, Massimiliano Caporin, Michele Costola, Shawkat M. Hammoudeh
Opublikowane w: SSRN Electronic Journal, Numer SAFE Working Paper No. 172, 2017, ISSN 1556-5068
Wydawca: Research Center SAFE Working Paper Series
DOI: 10.2139/ssrn.2985352

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

Autorzy: Marco Corazza, María Durbán, Aurea Grané, Cira Perna, Marilena Sibillo
Opublikowane w: Sparse Networks Through Regularised Regressions, 2018, Strona(/y) 125-128, ISBN 978-3-319-89824-7
Wydawca: Springer International Publishing
DOI: 10.1007/978-3-319-89824-7

Bayesian Non–Negative L1–Regularised Regression.

Autorzy: Costola, M.
Opublikowane w: Proceedings in Statistics and Data Science: New Challenges, New Generations, 2017
Wydawca: FIRENZE UNIVERSITY PRESS

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Autorzy: Billio M., Casarin R., Costola, M. & Frattarolo L.
Opublikowane w: Disagreement in Signed Financial Networks, 2018
Wydawca: Springer International Publishing

Model Selection in Weighted Stochastic Block models

Autorzy: Roberto Casarin; Michele Costola; Erdem Yenerdag
Opublikowane w: Springer Proceedings in Mathematics & Statistics - series PROMS, 2018
Wydawca: "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)

Autorzy: Billio, Monica; Casarin, Roberto; Costola, Michele; Frattarolo, Lorenzo
Opublikowane w: Handbook of Advances in Applied Financial Econometrics, 2018
Wydawca: Routledge

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

Autorzy: Billio, Monica; COSTOLA, MICHELE; Panzica, Roberto Calogero; Pelizzon, Loriana
Opublikowane w: 2016
Wydawca: ISTE - Elsevier

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