Nicola Spagnolo

Brunel University London - Economics and Finance

Uxbridge UB8 3PH

United Kingdom

  • Brunel University London - Economics and Finance

SCHOLARLY PAPERS

33

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90

Scholarly Papers (33)

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1.

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Downloads 764 (53,383)
Citation 37

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

ECB Working Paper No. 1113
Number of pages: 49 Posted: 15 Nov 2009
John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University London - Economics and Finance
Downloads 343 (140,608)

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Volatility spillovers, Contagion, Stock markets, Emerging markets

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

IMF Working Paper No. 08/286
Number of pages: 42 Posted: 18 Dec 2008
John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University London - Economics and Finance
Downloads 235 (207,964)

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Working Paper

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

CESifo Working Paper Series No. 2545, DIW Berlin Discussion Paper No. 873
Number of pages: 26 Posted: 11 Feb 2009
John Beirne, Guglielmo Maria Caporale, Marianne Schulze‐Ghattas and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University London - Economics and Finance
Downloads 186 (258,882)
Citation 51

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volatility spillovers, contagion, stock markets, emerging markets

2.

Testing for Financial Contagion between Developed and Emerging Markets During the 1997 East Asian Crisis

Brunel Business School, Economics and Finance Working Papers No. 05-08, International Journal of Finance & Economics, (2005), vol. 10(4), pages 359-367
Number of pages: 17 Posted: 25 Mar 2003 Last Revised: 18 May 2009
Philip Arestis, Guglielmo Maria Caporale, Andrea Cipollini, Andrea Cipollini and Nicola Spagnolo
University of Cambridge - Department of Land Economy, Brunel University London - Department of Economics and Finance, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and Brunel University London - Economics and Finance
Downloads 428 (110,315)
Citation 5

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Contagion, Financial crises, Conditional Correlation

3.

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

Downloads 371 (129,909)
Citation 18

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

CESifo Working Paper Series No. 3115
Number of pages: 22 Posted: 12 Jul 2010
John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 208 (233,647)

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overnight interest rate spread, liquidity risk, credit risk, stochastic volatility

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach

DIW Berlin Discussion Paper No. 1029
Number of pages: 22 Posted: 17 Jul 2010
John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 163 (290,529)
Citation 19

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Overnight Interest Rate Spread, Liquidity Risk, Credit Risk, Stochastic Volatility

4.

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis

Downloads 272 (180,589)
Citation 6

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis

CESifo Working Paper Series No. 2794
Number of pages: 20 Posted: 05 Oct 2009
John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University London - Economics and Finance
Downloads 189 (255,132)
Citation 6

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volatility spillovers, contagion, stock markets, emerging markets

Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis

DIW Berlin Discussion Paper No. 942
Number of pages: 18 Posted: 06 Nov 2009
John Beirne, Guglielmo Maria Caporale, Marianne Schulze-Ghattas and Nicola Spagnolo
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University London - Economics and Finance
Downloads 83 (477,676)

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Volatility spillovers, contagion, stock markets, emerging markets

5.

Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis: A VAR-GARCH-In-Mean Analysis

Downloads 181 (265,334)

Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis: A VAR-GARCH-In-Mean Analysis

DIW Berlin Discussion Paper No. 1583
Number of pages: 18 Posted: 30 May 2016
Vassilios Babalos, Guglielmo Maria Caporale and Nicola Spagnolo
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 137 (335,362)
Citation 1

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Equity Fund Flows, Stock Market Returns, VAR-GARCH-in-mean model, Volatility

Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis: A VAR-GARCH-in-mean Analysis

CESifo Working Paper Series No. 5932
Number of pages: 17 Posted: 06 Jul 2016
Vassilios Babalos, Guglielmo Maria Caporale and Nicola Spagnolo
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 44 (660,929)

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equity fund flows, stock market returns, VAR-GARCH-in-mean model, volatility

6.

Macro News and Commodity Returns

Downloads 162 (291,871)
Citation 2

Macro News and Commodity Returns

CESifo Working Paper Series No. 5551
Number of pages: 20 Posted: 05 Nov 2015
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 88 (460,424)

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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
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 74 (511,404)
Citation 2

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Macro news, Commodity Prices, VAR-GARCH model

7.

Exchange Rate Uncertainty and International Portfolio Flows

Downloads 144 (321,648)
Citation 2

Exchange Rate Uncertainty and International Portfolio Flows

CESifo Working Paper Series No. 4234
Number of pages: 31 Posted: 22 May 2013
Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex and Brunel University London - Economics and Finance
Downloads 83 (477,676)

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exchange rate uncertainty, equity flows, bond flows, causality-in-variance

Exchange Rate Uncertainty and International Portfolio Flows

DIW Berlin Discussion Paper No. 1296
Number of pages: 36 Posted: 14 May 2013 Last Revised: 29 Oct 2014
Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex and Brunel University London - Economics and Finance
Downloads 61 (568,373)
Citation 1

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Exchange rate uncertainty, Equity flows, Bond flows, Causality-in-variance

8.

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

Downloads 141 (326,972)
Citation 4

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
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 81 (484,827)
Citation 1

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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
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 60 (573,150)
Citation 3

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

9.

Macro News and Bond Yield Spreads in the Euro Area

Downloads 130 (348,179)
Citation 7

Macro News and Bond Yield Spreads in the Euro Area

CESifo Working Paper Series No. 5008
Number of pages: 26 Posted: 22 Oct 2014
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 83 (477,676)

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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
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 47 (642,786)
Citation 9

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

10.

Cross-Border Portfolio Flows and News Media Coverage

CESifo Working Paper No. 8112
Number of pages: 41 Posted: 27 Feb 2020
Guglielmo Maria Caporale, Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 114 (383,280)

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Bloomberg, bond flows, equity flows, news

11.

Stock Market Integration between Three CEECs, Russia and the UK

CESifo Working Paper Series No. 2978
Number of pages: 24 Posted: 22 Mar 2010
Guglielmo Maria Caporale and Nicola Spagnolo
Brunel University London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 105 (406,317)

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Central and Eastern European countries (CEECs), volatility spillovers, interdependence, contagion, VAR-GARCH-in-mean model

12.

Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach

Downloads 99 (423,429)
Citation 5

Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach

DIW Berlin Discussion Paper No. 1394
Number of pages: 29 Posted: 28 Jun 2014
Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex and Brunel University London - Economics and Finance
Downloads 53 (608,843)

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China, Oil price uncertainty, Sectoral stock returns

Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach

CESifo Working Paper Series No. 4881
Number of pages: 27 Posted: 23 Jul 2014
Guglielmo Maria Caporale, Faek Menla Ali and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex and Brunel University London - Economics and Finance
Downloads 46 (648,676)
Citation 3

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China, oil price uncertainty, sectoral stock returns

13.

Macro News and Exchange Rates in the BRICS

Downloads 97 (429,095)
Citation 3

Macro News and Exchange Rates in the BRICS

DIW Berlin Discussion Paper No. 1545
Number of pages: 10 Posted: 10 Feb 2016
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 49 (631,101)
Citation 1

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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
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 48 (636,970)
Citation 2

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BRICS, exchange rates, GARCH model, macro news

14.

Spillovers between Food and Energy Prices and Structural Breaks

Downloads 94 (437,828)
Citation 1

Spillovers between Food and Energy Prices and Structural Breaks

CESifo Working Paper Series No. 5282
Number of pages: 21 Posted: 14 Apr 2015
Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Economics and Finance, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 62 (563,553)
Citation 1

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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
Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Economics and Finance, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 32 (743,010)
Citation 1

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

15.

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

DIW Berlin Discussion Paper No. 1519
Number of pages: 26 Posted: 19 Nov 2015
Guglielmo Maria Caporale, Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 82 (476,460)
Citation 1

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Bond flows, Equity flows, Exchange rates, Regime switching

16.

Non-Linearities, Cyber Attacks and Cryptocurrencies

CESifo Working Paper No. 7692
Number of pages: 15 Posted: 06 Nov 2019 Last Revised: 18 Nov 2021
Guglielmo Maria Caporale, Woo-Young Kang, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 75 (501,640)
Citation 6

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crypto currencies, cyber attacks, regime switching

17.

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

CESifo Working Paper Series No. 5615
Number of pages: 25 Posted: 22 Dec 2015
Guglielmo Maria Caporale, Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Sussex, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 74 (505,353)
Citation 2

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bond flows, equity flows, exchange rates, regime switching

18.

Exchange Rates and Macro News in Emerging Markets

CESifo Working Paper Series No. 5816
Number of pages: 21 Posted: 18 Apr 2016
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 70 (521,001)

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emerging markets, exchange rates, GARCH model, macro news

19.

The COVID-19 Pandemic, Policy Responses and Stock Markets in the G20

CESifo Working Paper No. 9299
Number of pages: 30 Posted: 27 Sep 2021
Guglielmo Maria Caporale, Woo-Young Kang, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 65 (541,755)

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Covid-19 pandemic, stringency index, Covid-19 index, fiscal policy, shadow rates, stock markets

20.

Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets

CESifo Working Paper No. 8324
Number of pages: 33 Posted: 05 Jun 2020
Guglielmo Maria Caporale, Woo-Young Kang, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 54 (592,420)
Citation 6

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mean and volatility spillovers, contagion, cryptocurrencies, cyber attacks

21.

Exchange Rates and Macro News in Emerging Markets

DIW Berlin Discussion Paper No. 1558
Number of pages: 22 Posted: 17 Mar 2016
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 47 (629,175)

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Emerging markets, Exchange Rates, GARCH model, Macro news

22.

Fractional Integration v Structural Change: Testing the Convergence of CO2 Emissions

Number of pages: 52 Posted: 30 Jan 2017
Marco R. Barassi, Nicola Spagnolo and Yuqian Zhao
University of Birmingham, Brunel University London - Economics and Finance and University of Essex
Downloads 45 (640,249)

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Fractional Integration, Local Whittle Estimation, Structural Change

23.

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
Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Qatar University, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 43 (651,879)
Citation 1

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

24.

Political Tension and Stock Markets in the Arabian Peninsula

CESifo Working Paper No. 7341
Number of pages: 9 Posted: 21 Feb 2019
Alanoud Al-Maadid, Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Qatar University, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 38 (682,248)

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GCC, multivariate GARCH, political tension

25.

Fossil and Renewable Energy Stock Indices: Connectedness and the COP Meetings

CESifo Working Paper No. 9824
Number of pages: 28 Posted: 11 Jul 2022
Guglielmo Maria Caporale, Nicola Spagnolo and Awon Almajali
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London
Downloads 34 (708,479)

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COP, fossil and renewable energy, VAR, connectedness

26.

Financial Integration in the GCC Region: Market Size Versus National Effects

CESifo Working Paper No. 7686
Number of pages: 12 Posted: 25 Jun 2019 Last Revised: 18 Nov 2021
K. Peren Arin, Guglielmo Maria Caporale, Kyriacos Kyriacou and Nicola Spagnolo
Zayed University, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 33 (715,280)
Citation 1

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stock markets, GCC, volatility transmission

27.

Small and Medium Sized European Firms and Energy Efficiency Measures: A Probit Analysis

Downloads 28 (751,185)

Small and Medium Sized European Firms and Energy Efficiency Measures: A Probit Analysis

CESifo Working Paper No. 10066
Number of pages: 30 Posted: 17 Nov 2022
Guglielmo Maria Caporale, Cristiana Donati and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Campania “Luigi Vanvitelli” and Brunel University London - Economics and Finance
Downloads 25 (798,875)

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energy efficiency measures, EPI, financing, SMEs

Small and Medium Sized European Firms and Energy Efficiency Measures:A Probit Analysis

Number of pages: 30 Posted: 29 Nov 2022
Guglielmo Maria Caporale, Cristiana Donati and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, University of Campania “Luigi Vanvitelli” and Brunel University London - Economics and Finance
Downloads 3 (1,001,926)

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Energy efficiency measures, EPI, Financing, SMEs

28.

US Municipal Green Bonds and Financial Integration

CESifo Working Paper No. 10323
Number of pages: 21 Posted: 21 Mar 2023
Guglielmo Maria Caporale and Nicola Spagnolo
Brunel University London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 19 (823,903)

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municipal bonds, financial integration, spillovers, multivariate GARCH-BEKK, volatility

29.

Energy, Emissions, Renewable Efficiency and Countries' Productive Performance. Is There Any Link?

Number of pages: 36 Posted: 30 Dec 2021
Konstantinos Elias Kounetas, Oreste Napolitano, Pasquale Foresti and Nicola Spagnolo
delete, University of Naples "Parthenope" - Department of Business and Economics, London School of Economics & Political Science (LSE) and Brunel University London - Economics and Finance
Downloads 19 (823,903)

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Technological heterogeneity, Metafrontier, Energy efficiency, Hansen threshold methodology

30.

A Closer Look at the Employment Effects of Fiscal Policy Shocks: What have Minorities Got to Do with It?

CAMA Working Paper No. 66/2019
Number of pages: 60 Posted: 06 Sep 2019
Wifag Adnan, K. Peren Arin, Aysegul Corakci and Nicola Spagnolo
New York University (NYU) - New York University Abu Dhabi, Zayed University, Department of Economics, Cankaya University, Ankara, Turkey and Brunel University London - Economics and Finance
Downloads 15 (859,549)

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31.

Evaluating Currency Crises: The Case of the European Monetary System

Empirical Economics, Vol. 35, No. 1, pp. 11-27, August 2008
Posted: 16 May 2009
Kostas Mouratidis, Nicola Spagnolo, Andrea Cipollini and Andrea Cipollini
Swansea University, Brunel University London - Economics and Finance and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS

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32.

Testing for Contagion: A Conditional Correlation Analysis

Journal of Empirical Finance, Vol. 12, No. 3, pp. 476-489
Posted: 31 Aug 2005
Nicola Spagnolo, Andrea Cipollini, Andrea Cipollini and Guglielmo Maria Caporale
Brunel University London - Economics and Finance, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and Brunel University London - Department of Economics and Finance

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Contagion, Financial crises, Conditional correlation

33.

A Test for Volatility Spillovers

Posted: 05 Dec 2004
Fabio Spagnolo, Martín Sola and Nicola Spagnolo
Brunel University London - Economics and Finance, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

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Markov switching, GARCH, volatility, financial crises