Nicola Spagnolo

Brunel University London - Economics and Finance

Uxbridge UB8 3PH

United Kingdom

  • Brunel University London - Economics and Finance

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 18,187

SSRN RANKINGS

Top 18,187

in Total Papers Downloads

2,903

SSRN CITATIONS
Rank 3,593

SSRN RANKINGS

Top 3,593

in Total Papers Citations

152

CROSSREF CITATIONS

187

Scholarly Papers (31)

Actions:
Email selected abstracts
1.

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

Downloads 698 ( 39,686)
Citation 40

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 315 (104,409)

Abstract:

Loading...

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 215 (154,841)

Abstract:

Loading...

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 168 (194,057)
Citation 49

Abstract:

Loading...

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
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 0
Citation 1
  • Add to Cart

Abstract:

Loading...

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 and Nicola Spagnolo
University of Cambridge - Department of Land Economy, Brunel University London - Department of Economics and Finance, University of Palermo - d/SEAS and Brunel University London - Economics and Finance
Downloads 394 (81,474)
Citation 5

Abstract:

Loading...

Contagion, Financial crises, Conditional Correlation

3.

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

Downloads 330 ( 99,749)
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 184 (179,023)

Abstract:

Loading...

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 146 (218,630)
Citation 19

Abstract:

Loading...

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 London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 0
  • Add to Cart

Abstract:

Loading...

4.

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

Downloads 233 (143,721)
Citation 11

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 174 (188,135)
Citation 1

Abstract:

Loading...

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 59 (396,588)

Abstract:

Loading...

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 147 (216,917)

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 122 (251,998)
Citation 1

Abstract:

Loading...

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 25 (551,945)

Abstract:

Loading...

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

6.

Macro News and Commodity Returns

Downloads 125 (246,387)
Citation 1

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 67 (371,155)

Abstract:

Loading...

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 58 (400,011)
Citation 1

Abstract:

Loading...

Macro news, Commodity Prices, VAR-GARCH model

7.

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

Downloads 102 (284,967)
Citation 3

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 57 (403,515)

Abstract:

Loading...

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 45 (449,106)
Citation 3

Abstract:

Loading...

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

8.

Exchange Rate Uncertainty and International Portfolio Flows

Downloads 93 (302,583)
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, Brunel University London and Brunel University London - Economics and Finance
Downloads 56 (407,151)

Abstract:

Loading...

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, Brunel University London and Brunel University London - Economics and Finance
Downloads 37 (484,871)

Abstract:

Loading...

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

9.

Macro News and Bond Yield Spreads in the Euro Area

Downloads 89 (311,059)
Citation 6

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 64 (380,248)

Abstract:

Loading...

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 25 (551,945)
Citation 8

Abstract:

Loading...

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

10.

Stock Market Integration between Three CEECs, Russia and the UK

Downloads 84 (322,473)
Citation 14

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 82 (330,238)

Abstract:

Loading...

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 London - Economics and Finance
Downloads 2 (728,017)
Citation 1
  • Add to Cart

Abstract:

Loading...

11.

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

Downloads 73 (349,924)
Citation 2

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, Brunel University London and Brunel University London - Economics and Finance
Downloads 43 (457,632)

Abstract:

Loading...

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, Brunel University London and Brunel University London - Economics and Finance
Downloads 30 (521,233)
Citation 1

Abstract:

Loading...

China, oil price uncertainty, sectoral stock returns

12.

Macro News and Exchange Rates in the BRICS

Downloads 66 (369,493)
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 33 (504,899)
Citation 1

Abstract:

Loading...

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 33 (504,899)
Citation 2

Abstract:

Loading...

BRICS, exchange rates, GARCH model, macro news

13.

Cyber-Attacks and Cryptocurrencies

CESifo Working Paper No. 8124
Number of pages: 46 Posted: 28 Feb 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 64 (378,527)

Abstract:

Loading...

cyber security, cyber-attacks, cryptocurrencies, return and volatility jumps

14.

Spillovers between Food and Energy Prices and Structural Breaks

Downloads 56 (401,057)
Citation 3

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 40 (470,987)

Abstract:

Loading...

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 16 (614,592)
Citation 1

Abstract:

Loading...

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

15.

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 51 (418,304)

Abstract:

Loading...

emerging markets, exchange rates, GARCH model, macro news

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
Guglielmo Maria Caporale, Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo
Brunel University London - Department of Economics and Finance, Brunel University London, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 51 (418,304)
Citation 1

Abstract:

Loading...

Bond flows, Equity flows, Exchange rates, 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, Brunel University London, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 48 (429,239)

Abstract:

Loading...

bond flows, equity flows, exchange rates, regime switching

18.

Non-Linearities, Cyber Attacks and Cryptocurrencies

CESifo Working Paper No. 7692
Number of pages: 15 Posted: 06 Nov 2019
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 35 (483,262)

Abstract:

Loading...

crypto currencies, cyber attacks, regime switching

19.

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 27 (524,056)

Abstract:

Loading...

Fractional Integration, Local Whittle Estimation, Structural Change

20.

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 26 (529,866)
Citation 1

Abstract:

Loading...

Emerging markets, Exchange Rates, GARCH model, Macro news

21.

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, Brunel University London, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 22 (554,329)

Abstract:

Loading...

Bloomberg, bond flows, equity flows, news

22.

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 21 (560,596)

Abstract:

Loading...

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

23.

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 18 (579,894)

Abstract:

Loading...

mean and volatility spillovers, contagion, cryptocurrencies, cyber attacks

24.

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 London - Economics and Finance
Downloads 18 (579,894)
  • Add to Cart

Abstract:

Loading...

25.

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 17 (586,301)

Abstract:

Loading...

GCC, multivariate GARCH, political tension

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: 23 Jul 2019
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 12 (620,039)

Abstract:

Loading...

stock markets, GCC, volatility transmission

27.

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
Zacharias Psaradakis, Martín Sola, Fabio Spagnolo and Nicola Spagnolo
University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 2 (695,756)
  • Add to Cart

Abstract:

Loading...

28.

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 1 (708,044)

Abstract:

Loading...

29.

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 London - Economics and Finance and University of Palermo - d/SEAS

Abstract:

Loading...

30.

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 and Guglielmo Maria Caporale
Brunel University London - Economics and Finance, University of Palermo - d/SEAS and Brunel University London - Department of Economics and Finance

Abstract:

Loading...

Contagion, Financial crises, Conditional correlation

31.

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

Abstract:

Loading...

Markov switching, GARCH, volatility, financial crises