Fabio Spagnolo

Brunel University London - Economics and Finance

SCHOLARLY PAPERS

26

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CITATIONS
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12

Scholarly Papers (26)

1.

Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting

FRB of St. Louis Working Paper No. 2003-024C
Number of pages: 38 Posted: 13 May 2006
Michael Dueker, Martín Sola and Fabio Spagnolo
Russell Investments, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 219 (136,769)
Citation 3

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Smooth Transition Threshold Autoregressive, Forecasting, Nonlinear Models

2.
Downloads 123 (224,580)

Macro News and Commodity Returns

CESifo Working Paper Series No. 5551
Number of pages: 20 Posted: 05 Nov 2015
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 65 (340,510)

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macro news, commodity prices, VAR-GARCH model

Macro News and Commodity Returns

DIW Berlin Discussion Paper No. 1508
Number of pages: 21 Posted: 24 Sep 2015
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 58 (361,105)

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Macro news, Commodity Prices, VAR-GARCH model

Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis

CESifo Working Paper Series No. 4912
Number of pages: 19 Posted: 20 Aug 2014
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 57 (364,303)

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macro news, volatility spillovers, VAR-GARCH-in-mean model

Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis

DIW Berlin Discussion Paper No. 1399
Number of pages: 20 Posted: 30 Jul 2014
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 45 (405,599)

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Macro news, Volatility spillovers, VAR-GARCH-in-mean model

4.

Multivariate Contemporaneous Threshold Autoregressive Models

FRB of St. Louis Working Paper No. 2007-019A
Number of pages: 30 Posted: 15 May 2007
Russell Investments, University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 102 (256,927)
Citation 1

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Nonlinear autoregressive models, Smooth transition, Stability, Threshold

Macro News and Bond Yield Spreads in the Euro Area

CESifo Working Paper Series No. 5008
Number of pages: 26 Posted: 22 Oct 2014
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 62 (349,043)

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news, yield spreads, volatility spillovers, VAR-GARCH model

Macro News and Bond Yield Spreads in the Euro Area

DIW Berlin Discussion Paper No. 1413
Number of pages: 27 Posted: 02 Oct 2014
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 25 (498,218)

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News, Yield Spreads, Volatility Spillovers, VAR-GARCH model

Macro News and Exchange Rates in the BRICS

DIW Berlin Discussion Paper No. 1545
Number of pages: 10 Posted: 10 Feb 2016
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 32 (460,293)

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BRICS, Exchange Rates, GARCH model, Macro news

Macro News and Exchange Rates in the BRICS

CESifo Working Paper Series No. 5748
Number of pages: 9 Posted: 12 Mar 2016
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 30 (470,407)

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BRICS, exchange rates, GARCH model, macro news

Spillovers between Food and Energy Prices and Structural Breaks

CESifo Working Paper Series No. 5282
Number of pages: 21 Posted: 14 Apr 2015
Brunel University London - Economics and Finance, Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 39 (429,248)

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energy and food prices, VAR-GARCH BEKK model, mean and volatility spillovers

Spillovers between Food and Energy Prices and Structural Breaks

DIW Berlin Discussion Paper No. 1466
Number of pages: 22 Posted: 08 Apr 2015
Brunel University London - Economics and Finance, Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 16 (554,600)

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Energy and food prices, VAR-GARCH BEKK model, Mean and volatility spillovers

8.

Exchange Rates and Macro News in Emerging Markets

CESifo Working Paper Series No. 5816
Number of pages: 21 Posted: 18 Apr 2016
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 51 (377,748)

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emerging markets, exchange rates, GARCH model, macro news

9.

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

CESifo Working Paper Series No. 5615
Number of pages: 25 Posted: 22 Dec 2015
Brunel University - Centre for Empirical Finance, University of Sussex -University of Sussex Business School, Brunel University London - Economics and Finance and Brunel University
Downloads 45 (398,150)

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bond flows, equity flows, exchange rates, regime switching

10.

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

DIW Berlin Discussion Paper No. 1519
Number of pages: 26 Posted: 19 Nov 2015
Brunel University London - Department of Economics and Finance, University of Sussex -University of Sussex Business School, Brunel University London - Economics and Finance and Brunel University
Downloads 44 (401,667)

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Bond flows, Equity flows, Exchange rates, Regime switching

11.

On Model Selection and Markov Switching: An Empirical Examination of Term Structure Models with Regime Shifts

CEPR Discussion Paper No. 4165
Number of pages: 38 Posted: 19 Jan 2004
John Driffill, Turalay Kenc, Martín Sola and Fabio Spagnolo
University of London - Birkbeck College, University of London - Imperial College, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 28 (468,086)
Citation 3
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12.

Exchange Rates and Macro News in Emerging Markets

DIW Berlin Discussion Paper No. 1558
Number of pages: 22 Posted: 17 Mar 2016
Brunel University - Centre for Empirical Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 25 (483,727)

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Emerging markets, Exchange Rates, GARCH model, Macro news

13.

Is the Feldstein-Horioka Puzzle History?

Manchester School, Vol. 72, No. 5, pp. 569-590, September 2004
Number of pages: 22 Posted: 12 Aug 2004
Ana-Maria Fuertes, Jerry Coakley and Fabio Spagnolo
Cass Business School, City University of London, University of Essex - Essex Business School and Brunel University London - Economics and Finance
Downloads 23 (494,618)
Citation 4
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14.

Inflation Targeting, Exchange Rate Volatility and International Policy Coordination

The Manchester School, Vol. 70, pp. 546-569, 2002
Number of pages: 24 Posted: 08 Feb 2003
John Driffill and Fabio Spagnolo
University of London - Birkbeck College and Brunel University London - Economics and Finance
Downloads 16 (534,540)
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15.

Political Tension and Stock Markets in the Arabian Peninsula

CESifo Working Paper No. 7341
Number of pages: 9 Posted: 21 Feb 2019
Qatar University, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 9 (576,108)

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GCC, multivariate GARCH, political tension

16.

The Impact of Business and Political News on the GCC Stock Markets

CESifo Working Paper No. 7353
Number of pages: 33 Posted: 21 Feb 2019
Qatar University, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University
Downloads 9 (576,108)

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business news, GCC countries, Markov switching model, political news

17.

Selecting Nonlinear Time Series Models Using Information Criteria

Journal of Time Series Analysis, Vol. 30, Issue 4, pp. 369-394, July 2009
Number of pages: 26 Posted: 20 Jun 2009
University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella, Brunel University London - Economics and Finance and Brunel University
Downloads 2 (624,925)
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18.

State‐Dependent Threshold Smooth Transition Autoregressive Models

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 6, pp. 835-854, 2013
Number of pages: 20 Posted: 22 Nov 2013
Russell Investments, University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 0 (655,398)
Citation 1
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19.

The Prisoners' Dilemma and Regime-Switching in the Greek-Turkish Arms Race

Journal of Peace Research, Vol. 37, pp. 737-750, 2000
Posted: 07 Dec 2004
Ron Smith, Martín Sola and Fabio Spagnolo
Birkbeck College, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

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20.

Forecast Performance of Nonlinear Error-Correction Models with Multiple Regimes

Journal of Forecasting, Forthcoming
Posted: 07 Dec 2004
Zacharias Psaradakis and Fabio Spagnolo
University of London - Economics, Mathematics and Statistics and Brunel University London - Economics and Finance

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Error-correction model, forecasting, Markov-switching model, Monte Carlo experiments

21.

On Markov Error-Correction Models, with an Application to Stock Prices and Dividends

Journal of Applied Econometrics, Vol. 19, pp. 69-88, 2004
Posted: 06 Dec 2004
Zacharias Psaradakis, Martín Sola and Fabio Spagnolo
University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

Abstract:

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Cointegration, Error-correction model, Markov chain, Stock prices

22.

Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables

Journal of Applied Econometrics, Forthcoming
Posted: 06 Dec 2004
Fabio Spagnolo, Zacharias Psaradakis and Martín Sola
Brunel University London - Economics and Finance, University of London - Economics, Mathematics and Statistics and Universidad Torcuato Di Tella

Abstract:

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Instrumental variables, forward exchange rate, Markov chain, maximum likelihood, Regime switching

23.

A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles

Economics Letters, Vol. 72, pp. 317-323, 2001
Posted: 05 Dec 2004
Zacharias Psaradakis, Martín Sola and Fabio Spagnolo
University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

Abstract:

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Rational bubbles, stochastic unit root, time-varying coefficients

24.

Contemporaneous Threshold Autoregressive Models: Estimation, Forecasting and Rational Expectations Applications

FRB of St. Louis Working Paper No. 2003-025A
Posted: 05 Dec 2004
Michael Dueker, Martín Sola and Fabio Spagnolo
Russell Investments, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

Abstract:

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Smooth transition threshold autoregressive, rational expectations, forecasting

25.

Red Signals: Current Account Deficits and Sustainability

Economics Letters, Vol. 84, pp. 217-223, 2004
Posted: 05 Dec 2004
Brunel University London - Economics and Finance, Universidad Torcuato Di Tella and Universidad Torcuato Di Tella - Departamento de Economia

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Deficits sustainability, Markov Switching

26.

A Test for Volatility Spillovers

Economics Letters, Vol. 76, pp. 77-84, 2002
Posted: 05 Dec 2004
Fabio Spagnolo, Martín Sola and Nicola Spagnolo
Brunel University London - Economics and Finance, Universidad Torcuato Di Tella and Brunel University

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Markov switching, GARCH, volatility, financial crises