Nicola Spagnolo

Brunel University

Kingston Lane

Uxbridge, Middlesex UB8 3PH

United Kingdom

SCHOLARLY PAPERS

25

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15

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Scholarly Papers (25)

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

ECB Working Paper No. 1113
Number of pages: 49 Posted: 15 Nov 2009
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University
Downloads 307 (96,102)

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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
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University
Downloads 214 (139,690)

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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
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) - Policy Development and Review Department and Brunel University
Downloads 167 (175,718)

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volatility spillovers, contagion, stock markets, emerging markets

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Review of International Economics, Vol. 21, Issue 5, pp. 1060-1075, 2013
Number of pages: 16 Posted: 23 Oct 2013
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University
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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
University of Cambridge - Department of Land Economy, Brunel University London - Department of Economics and Finance, University of Palermo - d/SEAS and Brunel University
Downloads 391 (73,395)

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Contagion, Financial crises, Conditional Correlation

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
Downloads 178 (166,019)

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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
Downloads 145 (198,119)

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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

The Manchester School, Vol. 81, Issue 6, pp. 925-940, 2013
Number of pages: 16 Posted: 12 Oct 2013
John Beirne, Guglielmo Maria Caporale and Nicola Spagnolo
European Central Bank (ECB), Brunel University - Centre for Empirical Finance and Brunel University
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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
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University
Downloads 172 (171,208)

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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
European Central Bank (ECB), Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University
Downloads 55 (371,252)

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Volatility spillovers, contagion, stock markets, emerging markets

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
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University - Centre for Empirical Finance and Brunel University
Downloads 116 (236,144)

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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
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University London - Department of Economics and Finance and Brunel University
Downloads 25 (498,881)

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

6.
Downloads 123 (224,892)

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 (340,974)

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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 (361,583)

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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 (364,776)

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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 (406,166)

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

8.
Downloads 87 (285,038)

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 (349,512)

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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 (498,881)

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

Exchange Rate Uncertainty and International Portfolio Flows

CESifo Working Paper Series No. 4234
Number of pages: 31 Posted: 22 May 2013
Brunel University - Centre for Empirical Finance, University of Sussex -University of Sussex Business School and Brunel University
Downloads 50 (388,033)

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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
Brunel University - Centre for Empirical Finance, University of Sussex -University of Sussex Business School and Brunel University
Downloads 35 (447,251)

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

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
Downloads 80 (302,738)

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

Stock Market Integration between Three CEECs, Russia, and the UK

Review of International Economics, Vol. 19, Issue 1, pp. 158-169, 2011
Number of pages: 12 Posted: 24 Jan 2011
Guglielmo Maria Caporale and Nicola Spagnolo
Brunel University London - Department of Economics and Finance and Brunel University
Downloads 2 (656,438)
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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
Brunel University - Centre for Empirical Finance, University of Sussex -University of Sussex Business School and Brunel University
Downloads 41 (421,631)

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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
Brunel University - Centre for Empirical Finance, University of Sussex -University of Sussex Business School and Brunel University
Downloads 29 (476,265)

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China, oil price uncertainty, sectoral stock returns

12.
Downloads 62 (344,919)

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 (460,924)

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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 (471,051)

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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 (429,857)

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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 (555,397)

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

14.

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 (378,257)

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emerging markets, exchange rates, GARCH model, macro news

15.

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 (398,736)

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bond flows, equity flows, exchange rates, regime switching

16.

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 45 (398,736)

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Bond flows, Equity flows, Exchange rates, Regime switching

17.

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 and University of Birmingham - Department of Economics
Downloads 26 (479,069)

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Fractional Integration, Local Whittle Estimation, Structural Change

18.

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 (484,444)

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Emerging markets, Exchange Rates, GARCH model, Macro news

19.

Joint Determination of the State Dimension and Autoregressive Order for Models With Markov Regime Switching

Journal of Time Series Analysis, Vol. 27, No. 5, pp. 753-766, September 2006
Number of pages: 14 Posted: 22 Mar 2007
Zacharias Psaradakis and Nicola Spagnolo
University of London - Economics, Mathematics and Statistics and Brunel University
Downloads 18 (523,979)
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20.

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 10 (571,119)

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

21.

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 (577,184)

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GCC, multivariate GARCH, political tension

22.

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 (626,453)
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23.

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 and Andrea Cipollini
Swansea University, Brunel University and University of Palermo - d/SEAS

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24.

Testing for Contagion: A Conditional Correlation Analysis

Journal of Empirical Finance, Vol. 12, No. 3, pp. 476-489
Posted: 31 Aug 2005
Brunel University, University of Palermo - d/SEAS and Brunel University London - Department of Economics and Finance

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Contagion, Financial crises, Conditional correlation

25.

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