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European early warning system for systemic risk.

Total Cost €


EC-Contrib. €






Project "" data sheet

The following table provides information about the project.

Center for Financial Studies at the University of Frankfurt 

Organization address
address: Grueneburgplatz 1
city: Frankfurt am Main
postcode: 60323

contact info
title: n.a.
name: n.a.
surname: n.a.
function: n.a.
email: n.a.
telephone: n.a.
fax: n.a.

 Coordinator Country Germany [DE]
 Project website
 Total cost 171˙460 €
 EC max contribution 171˙460 € (100%)
 Programme 1. H2020-EU.1.3.2. (Nurturing excellence by means of cross-border and cross-sector mobility)
 Code Call H2020-MSCA-IF-2015
 Funding Scheme MSCA-IF-EF-ST
 Starting year 2016
 Duration (year-month-day) from 2016-06-01   to  2018-05-31


Take a look of project's partnership.

# participants  country  role  EC contrib. [€] 
1    Center for Financial Studies at the University of Frankfurt DE (Frankfurt am Main) coordinator 171˙460.00


 Project objective proposes a new European early warning system (EWS), able to identify and signal economic vulnerabilities in order to allow policy makers to intervene in a timely manner. The ongoing European financial crisis poses a serious challenge to the stability of the euro area and growth prospects in Europe. The aim of the project is to implement a EWS for systemic risk to prevent and mitigate financial instability by exploiting the linkages among the financial markets and the real economy. Given the potentially high and unsustainable costs caused by systemic crises, it is of fundamental importance to establish a comprehensive system of early warning signals and indicators to monitor them. Recent studies suggest that empirical analysis should focus on the macroeconomic and financial shocks transmission across countries, allowing for nonlinear propagation of these shocks. The innovative purpose of EARLINESS is to fill this gap by modelling nonlinear interactions between the financial market and the macroeconomic system. The main challenge is the realization of a comprehensive system able to detect and measure each marginal change in the sources of systemic risk by developing an innovative building block structure. A novel Dynamic Quantile Factors model is introduced to extract the latent signal of systemic risks at micro and macro level from a panel of institutions belonging to the European area and partner countries. The project uses state-of-the-art systemic risk measures and integrates new methodologies in financial econometrics, systemic risk measurement and big data analysis tools. According to the Macroprudential Research Network of the ECB, the implementation of macroprudential policy is still at an early stage and much effort is needed to support policymakers in designing mechanisms for prudential tools. The EARLINESS project can deliver an important contribution to this.


year authors and title journal last update
List of publications.
2018 Billio, Monica; Casarin, Roberto; Costola, Michele; Frattarolo, Lorenzo
Contagion Dynamics on Financial Networks (Forthcoming)
published pages: , ISSN: , DOI:
Handbook of Advances in Applied Financial Econometrics 2019-06-13
2016 Costola, Michele; Frattarolo, Lorenzo; Lucchetta, Marcella; Paradiso, Antonio
Do we need a stochastic trend in cay estimation? Yes.
published pages: , ISSN: , DOI:
Ca\' Foscari Working Paper No. 24/WP/2016 2019-06-13
2016 Billio, Monica; COSTOLA, MICHELE; Panzica, Roberto Calogero; Pelizzon, Loriana
Systemic risk and financial interconnectedness: network measures and the impact of the indirect effect
published pages: , ISSN: , DOI:
2017 Costola, M.
Bayesian Non–Negative L1–Regularised Regression.
published pages: , ISSN: , DOI:
Proceedings in Statistics and Data Science: New Challenges, New Generations 2019-06-13
2018 Billio M., Casarin R., Costola, M. & Frattarolo L.
Mathematical and Statistical Methods for Actuarial Sciences and Finance
published pages: , ISSN: , DOI:
Disagreement in Signed Financial Networks 2019-06-13
2018 Massimiliano Caporin, Michele Costola, Gregory Jannin, Bertrand Maillet
“On the (Ab)use of Omega ?”
published pages: 11-33, ISSN: 0927-5398, DOI: 10.1016/j.jempfin.2017.11.007
Journal of Empirical Finance 46 2019-06-13
2018 Roberto Casarin; Michele Costola; Erdem Yenerdag
Model Selection in Weighted Stochastic Block models
published pages: , ISSN: , DOI: 10.5281/zenodo.1322572
Springer Proceedings in Mathematics & Statistics - series PROMS 2019-06-13
2018 Massimiliano Caporin, Luca Corazzini, Michele Costola
Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises
published pages: , ISSN: 1045-3172, DOI: 10.1111/1467-8551.12285
British Journal of Management 2019-06-13

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The information about "EARLINESS.EU" are provided by the European Opendata Portal: CORDIS opendata.

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