Michele Costola

Ca' Foscari University of Venice

Post Doc Researcher

Cannaregio 873

Venice, 30121

Italy

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 23,812

SSRN RANKINGS

Top 23,812

in Total Papers Downloads

2,577

SSRN CITATIONS
Rank 41,162

SSRN RANKINGS

Top 41,162

in Total Papers Citations

14

CROSSREF CITATIONS

4

Scholarly Papers (19)

1.
Downloads 1,135 ( 23,053)
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
Ca 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 868 (33,299)
Citation 1

Abstract:

Loading...

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
Ca 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 267 (140,739)

Abstract:

Loading...

Corporate Social Responsibility, ESG Rating Agencies, Sustainable Investments

2.

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
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Independent
Downloads 202 (184,937)

Abstract:

Loading...

Entropy, systemic risk measures, early warning indicators, aggregation

3.

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
University of Padua - Department of Statistical Sciences, Ca' Foscari University of Venice, University Paris-1 Panthéon-Sorbonne and EMLyon Business School (Paris Campus)
Downloads 186 (199,187)
Citation 1

Abstract:

Loading...

Performance Measure, Omega, Return Distribution, Risk, Stochastic Dominance

4.

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, Michele Costola, Loriana Pelizzon and Max Riedel
Ca 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 144 (247,337)

Abstract:

Loading...

Mortgages, Energy Efficiency, Credit Risk

5.

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
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences, Ca' Foscari University of Venice and Montpellier Business School
Downloads 129 (269,310)

Abstract:

Loading...

Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies

6.

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 116 (291,072)
Citation 1

Abstract:

Loading...

VAR estimation, Financial Networks, Bayesian inference, Sparsity, Spike-and-Slab prior, Stochastic Search Variable Selection, Expectation-Maximisation

7.

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 103 (315,951)
Citation 1

Abstract:

Loading...

COVID-19, Coronavirus, Social Media data, Google Trends, Financial markets

8.

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 92 (339,784)
Citation 1

Abstract:

Loading...

Systemic Risk, Financial Institutions, Network Communities, Financial Crises

9.

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 87 (351,810)
Citation 1

Abstract:

Loading...

investment decision, behavioral agents, mixture model, behavioral expectations

10.

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, Massimiliano Caporin and Michele Costola
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 72 (392,664)
Citation 3

Abstract:

Loading...

performance measures, combining performance measures, portfolio

11.

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 71 (395,675)

Abstract:

Loading...

Meme stocks, Social media, Social trading, Cointegration, Regime switching

12.

Backard/Forward Optimal Combination of Performance Measures for Equity Screening

Number of pages: 31 Posted: 12 Jul 2012
Monica Billio, Massimiliano Caporin and Michele Costola
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 64 (417,946)

Abstract:

Loading...

performance measures, combining performance measures, portfolio allocation, equity screening, differential evolution

13.

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
Goethe University Frankfurt, Ca Foscari University of Venice - Dipartimento di Economia, Ca' Foscari University of Venice and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 49 (473,031)

Abstract:

Loading...

credit scoring; probability of default; small and medium enterprises; assetbacked securities

14.

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
Ca 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 45 (489,794)

Abstract:

Loading...

Multilayer networks, financial markets, COVID-19

15.

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 (526,730)

Abstract:

Loading...

learner agent, investment decision, behavioral agents, Bayesian updating

16.

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
Ca' Foscari University of Venice, Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 28 (575,655)

Abstract:

Loading...

Cay, Trend, State-Space Model

17.

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 (656,697)

Abstract:

Loading...

combining performance measures, portfolio allocation, learning agent process

18.

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

British Journal of Management, Vol. 30, Issue 3, pp. 712-729, 2019
Number of pages: 18 Posted: 05 May 2020
Massimiliano Caporin, Luca Corazzini and Michele Costola
University of Padua - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Ca' Foscari University of Venice
Downloads 1 (777,856)
  • Add to Cart

Abstract:

Loading...

19.

Machine Learning Sentiment Analysis, Covid-19 News and Stock Market Reactions

SAFE Working Paper No. 288
Posted: 15 Sep 2020
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

Abstract:

Loading...

COVID-19 news, Sentiment Analysis, Stock Markets