Working Papers

2025

Barua Mimbela, C. A.; Muzzioli, S. Investor Sentiment Indicators and the Prediction of European Equity Index Returns: A Machine Learning Approach. Working paper n. 259, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi, 2025.

Barua Mimbela, C. A.; Muzzioli, S.; Vitale, L. The assessment of environmental sustainability of European companies: a MCDM approach. Working paper n. 258, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi, 2025.

Muzzioli, S.; Vitale, L. ESG criteria for the evaluation of European countries: a multicriteria analysis (MCDA). Working paper n. 257, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi, 2025.

Muzzioli, S.; Vitale, L. Accounting for controversies in ESG scores: a Fuzzy TOPSIS approach. Working paper n. 256, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi, 2025.

Barua Mimbela, C. A.; Muzzioli, S. Multicriteria Decision Analysis (MCDA) for Sustainability Assessment in EU Countries. Working paper n. 255, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi, 2025.

Ferraboschi, P.; Muzzioli, S. The green premium in the European stock market. Working paper n. 251, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi, 2025.

2024

Capriotti, A.; Muzzioli, S. A note on the Pastor et al. (2021) model. Working paper n. 246, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi, 2024.

Capriotti, A.; Muzzioli, S. Climate risk measures and main data providers. Working paper n. 245, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi, 2024.

Capriotti, A.; Cipollini, A.; Muzzioli, S. Climate risk definition and measures: asset pricing models and stock returns. Working paper n. 237, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi, 2024.

Capriotti, A.; Muzzioli, S. Model-free moments: predictability of STOXX Europe 600 Oil & Gas future returns. Working paper n. 235, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi, 2024.

Ferrara, M.; Ciano, T.; Capriotti, A.; Muzzioli, S. Machine Learning Predictive Modeling for assessing Climate Risk in Finance. Working paper n. 244, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi, 2024. 

Ferrara, M.; Ciano, T.; Capriotti, A.; Muzzioli, S. Climate Change and Asset Pricing: A Focused Review of the Literature. Working paper n. 236, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi, 2024.  

2023

Gambarelli, L. e S., Muzzioli. "Aggregating sentiment in Europe: the relationship with volatility and returns" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università degli Studi di Modena e Reggio Emilia, 2023. https://doi.org/10.25431/11380_1329487

Gambarelli, L. e S., Muzzioli. "Googling Investor Sentiment around Europe" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2023. https://doi.org/10.25431/11380_1296311

Elyasiani, E., L., Gambarelli e S., Muzzioli. "Understanding the SKEW Index: the relationship with sentiment and returns" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2023. https://doi.org/10.25431/11380_1296312

Gambarelli, L. e S., Muzzioli. "Unveiling Sentiment Dynamics and Forecasting Future Economic Sentiment in the Eurozone using Option-Implied Asymmetry Measures" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università degli Studi di Modena e Reggio Emilia, 2023. https://doi.org/10.25431/11380_1329488

2022

Gambarelli., L., S., Muzzioli e B., De Baets. "An OWA Analysis of the VSTOXX volatility index" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università degli Studi di Modena e Reggio Emilia, 2022. https://doi.org/10.25431/11380_1261316

Gambarelli., L., G., Marchi e S., Muzzioli. "Asymmetric correlations and hedging effectiveness of cryptocurrencies for the European stock market" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università degli Studi di Modena e Reggio Emilia, 2022. https://doi.org/10.25431/11380_1261318

Campisi, G. e S., Muzzioli. "Asymmetric semi-volatility spillover in a nonlinear model of interacting markets" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università degli Studi di Modena e Reggio Emilia, 2022. https://doi.org/10.25431/11380_1261314

Campisi, G., B., De Baets, L., Gambarelli e S., Muzzioli. "Forecasting returns in the US market through fuzzy rule-based classification systems" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università degli Studi di Modena e Reggio Emilia, 2022. https://doi.org/10.25431/11380_1261315

Gambarelli., L. e S., Muzzioli. "News Sentiment indicators and the Cross‐Section of Stock Returns in the European Stock Market" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università degli Studi di Modena e Reggio Emilia, 2022. https://doi.org/10.25431/11380_1261317

Damiani, F., S., Muzzioli e B, De Baets. "Regional innovation in southern Europe: a poset-based analysis" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2022. https://doi.org/10.25431/11380_1270080

2021

Muzzioli, S., G., Campisi e B., De Baets. "A comparison of machine learning methods for predicting stock returns in the US market" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2021. https://doi.org/10.25431/11380_1235339

Damiani, F., S., Muzzioli e B., De Baets. "A poset-based analysis of regional innovation at European level" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2021. https://doi.org/10.25431/11380_1237049

Ferrarini, F., S., Muzzioli e B., De Baets. "A TOPSIS analysis of regional competitiveness at European level" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2021. https://doi.org/10.25431/11380_1237050

Russo, T., T., Addabbo, S., Muzzioli e B., De Baets. "Tools and practices for LGBT+ inclusion in tertiary education: the development of the LGBT+ University Inclusion Index and its application to Italian universities" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2021. https://doi.org/10.25431/11380_1235337

Campisi, G., S., Muzzioli e F., Tramontana. "Uncertainty about fundamental and pessimistic traders: a piecewise-linear maps approach" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2021. https://doi.org/10.25431/11380_1235338

2020

Campisi, G. e S., Muzzioli. "Fundamentalists heterogeneity and the role of the sentiment indicator" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2020. https://doi.org/10.25431/11380_1207428

Campisi, G. e S., Muzzioli. "Investor sentiment and trading behavior" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2020. https://doi.org/10.25431/11380_1207427

2019

Campisi, Giovanni e Silvia, Muzzioli. "Construction and properties of volatility indices for Austria, Finland and Spain" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2019. https://doi.org/10.25431/11380_1207422

Gambarelli, Luca e Silvia, Muzzioli. "Risk-asymmetry indices in Europe" Working paper, DEMB WORKING PAPER SERIES, Dipartimento di Economia Marco Biagi - Università di Modena e Reggio Emilia, 2019. https://doi.org/10.25431/11380_1207394