Research

List of Publications

Publications in Journals
  •  Caporin, M., Corazzini, L., & Costola, M. (2018). Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises. British Journal of Management. Link, PDF.
  •  Caporin M., Costola M., Jannin G., Maillet B. (2018). “On the (Ab)use of Omega?”. Journal of Empirical Finance, 46, 11-33. Link, PDF.
 Book Chapters
  •  Billio, M., Casarin R., Costola M. and Frattarolo L. Contagion Dynamics on Financial Networks. Accepted for publication the Handbook of Advances in Applied Financial Econometrics. Routledge. PDF.
  •  Billio, M., Costola, M., Panzica, R., & Pelizzon, L. (2017). Systemic risk and financial interconnectedness: network measures and the impact of the indirect effect. in Billio M., Pelizzon L., & Savona R. SYSTEMIC RISK TOMOGRAPHY SIGNALS, MEASUREMENTS AND TRANSMISSION CHANNELS, ISTE – Elsevier. Book and Chapter.
 Proceedings
  • Casarin R., Costola, M. and Yenerdag, E. (2018). Model Selection in Weighted Stochastic Block models. Forthcoming in the Springer Proceedings in Mathematics & Statistics – series PROMS, “Studies in Theoretical and Applied Statistics – SIS2018 – 49th Meeting of the Italian Statistical Society, Palermo 20-22 June 2018”. Link.
  • Bernardi M. & Costola, M. (2018). Sparse networks through regularised regressions. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer International Publishing. LinkPDF.
  • Billio M., Casarin R., Costola, M. & Frattarolo L. (2018). Disagreement in Signed Financial Networks. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer International Publishing. LinkPDF.
  • Costola, M. (2017). Bayesian Non–Negative L1–Regularised Regression. Proceedings in STATISTICS AND DATA SCIENCE: NEW CHALLENGES, NEW GENERATIONS. Link.
 Working papers
  • Casarin, Roberto and Costola, Michele and Yenerdag, Erdem, Financial Bridges and Network Communities (May 6, 2018). SAFE Working Paper No. 208. Link
  • Khalifa, Ahmed A.A. and Caporin, Massimiliano and Costola, Michele and Hammoudeh, Shawkat M., Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil (November 5, 2017). SAFE Working Paper No. 172. Link
  • Lucchetta, M., Costola, M., Frattarolo, L. and Paradiso, A., 2016. Do we need a stochastic trend in cay estimation? Yes. Ca’ Foscari Working Paper Series (No. 2016: 24). Link.

Ongoing Research

  • Bernardi M. & Costola, M. Bayesian Factor–Augmented Dynamic Quantile VAR.
  • Bernardi M. & Costola, M. Dynamic Factor Quantile Models.
  • Bernardi M. & Costola, M. Sparse Financial Networks.