Auflistung LIF-SAFE Working Papers nach Autor "Costola, Michele"
Anzeige der Dokumente 1-9 von 9
-
Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
Billio, Monica; Costola, Michele; Pelizzon, Loriana; Riedel, Max (2020-03-01)We investigate the relation between buildings’ energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional ... -
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
Bedin, Andrea; Billio, Monica; Costola, Michele; Pelizzon, Loriana (2019-10-14)We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information ... -
Financial Bridges and Network Communities
Casarin, Roberto; Costola, Michele; Yenerdag, Erdem (2018-09-29)We analyze the global financial crisis and the European sovereign debt crisis showing that the European network exhibits a strong community structure with two main blocks acting as shock spreader and receiver, respectively. ... -
High-Dimensional Sparse Financial Networks through a Regularised Regression Model
Bernardi, Mauro; Costola, Michele (2019-02-12)"We propose a shrinkage and selection methodology specifically designed for network inference using high dimensional data through a regularised linear regression model with Spike-and-Slab prior on the parameters. The ... -
Impact of public news sentiment on stock market index return and volatility
Anese, Gianluca; Corazza, Marco; Costola, Michele; Pelizzon, Loriana (2021-10-11)Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables ... -
Inside the ESG Ratings: (Dis)agreement and Performance
Billio, Monica; Costola, Michele; Hristova, Iva; Latino, Carmelo; Pelizzon, Loriana (2020-07-31)We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards in defining E, S and G components. ... -
Machine Learning Sentiment Analysis, Covid-19 News and Stock Market Reactions
Costola, Michele; Nofer, Michael; Hinz, Oliver; Pelizzon, Loriana (2020-09-15)The possibility to investigate the impact of news on stock prices has observed a strong evolution thanks to the recent use of natural language processing (NLP) in finance and economics. In this paper, we investigate COVID-19 ... -
Systemic risk for financial institutions of major petroleum-based economies: The role of oil
Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; Hammoudeh, Shawkat (2017-11-05)This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ... -
Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test
Caporina, Massimiliano; Costola, Michele (2021-10-14)Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for ...