Nicola Spagnolo

Brunel University London - Economics and Finance

Uxbridge UB8 3PH

United Kingdom

SCHOLARLY PAPERS

38

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216

CROSSREF CITATIONS

89

Scholarly Papers (38)

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

ECB Working Paper No. 1113
Number of pages: 49 Posted: 15 Nov 2009
Asian Development Bank, Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University London - Economics and Finance
Downloads 348 (163,275)

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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
Asian Development Bank, Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University London - Economics and Finance
Downloads 260 (221,752)

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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
Asian Development Bank, Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University London - Economics and Finance
Downloads 232 (248,260)
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
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 436 (127,650)
Citation 5

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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
Asian Development Bank, Brunel University London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 251 (229,845)

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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
Asian Development Bank, Brunel University London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 174 (324,102)
Citation 19

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

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
Asian Development Bank, Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University London - Economics and Finance
Downloads 224 (256,859)
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
Asian Development Bank, Brunel University London - Department of Economics and Finance, International Monetary Fund (IMF) and Brunel University London - Economics and Finance
Downloads 114 (460,202)

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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 London - Department of Economics and Finance and Brunel University London - Economics and Finance
Downloads 146 (376,537)
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
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 51 (738,131)

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

Exchange Rate Uncertainty and International Portfolio Flows

CESifo Working Paper Series No. 4234
Number of pages: 31 Posted: 22 May 2013
Brunel University London - Department of Economics and Finance, University of Sussex and Brunel University London - Economics and Finance
Downloads 98 (510,573)

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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 London - Department of Economics and Finance, University of Sussex and Brunel University London - Economics and Finance
Downloads 89 (544,062)
Citation 1

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

7.
Downloads 179 (316,343)
Citation 3

Macro News and Commodity Returns

CESifo Working Paper Series No. 5551
Number of pages: 20 Posted: 05 Nov 2015
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 96 (517,582)

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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 London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 83 (568,702)
Citation 2

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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 London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 88 (548,055)
Citation 2

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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 London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 73 (614,042)
Citation 2

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

9.
Downloads 147 (374,079)
Citation 8

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 London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 91 (536,227)

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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 London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 56 (706,490)
Citation 9

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

10.
Downloads 144 (380,293)
Citation 3

Macro News and Exchange Rates in the BRICS

DIW Berlin Discussion Paper No. 1545
Number of pages: 10 Posted: 10 Feb 2016
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 88 (548,055)
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
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 56 (706,490)
Citation 2

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BRICS, exchange rates, GARCH model, macro news

11.

Cross-Border Portfolio Flows and News Media Coverage

CESifo Working Paper No. 8112
Number of pages: 41 Posted: 27 Feb 2020
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 124 (427,062)
Citation 3

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Bloomberg, bond flows, equity flows, 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 London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 73 (614,042)
Citation 6

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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 London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 43 (794,592)
Citation 1

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

13.

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 116 (448,908)

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

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 London - Department of Economics and Finance, University of Sussex and Brunel University London - Economics and Finance
Downloads 63 (665,862)

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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 London - Department of Economics and Finance, University of Sussex and Brunel University London - Economics and Finance
Downloads 50 (744,871)
Citation 5

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China, oil price uncertainty, sectoral stock returns

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
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 102 (492,933)
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
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 83 (562,208)
Citation 11

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crypto currencies, cyber attacks, regime switching

17.

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
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 82 (566,307)

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

18.

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 London - Department of Economics and Finance, University of Sussex, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 82 (566,307)
Citation 2

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bond flows, equity flows, exchange rates, regime switching

19.

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 London - Economics and Finance
Downloads 81 (570,552)

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emerging markets, exchange rates, GARCH model, macro news

20.

Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets

CESifo Working Paper No. 8324
Number of pages: 33 Posted: 05 Jun 2020
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 71 (614,467)
Citation 16

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mean and volatility spillovers, contagion, cryptocurrencies, cyber attacks

21.

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

CESifo Working Paper No. 9824
Number of pages: 28 Posted: 11 Jul 2022
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London
Downloads 65 (643,691)
Citation 3

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COP, fossil and renewable energy, VAR, connectedness

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
Brunel University London - Department of Economics and Finance, University of Campania “Luigi Vanvitelli” and Brunel University London - Economics and Finance
Downloads 50 (744,871)

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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
Brunel University London - Department of Economics and Finance, University of Campania “Luigi Vanvitelli” and Brunel University London - Economics and Finance
Downloads 14 (1,071,287)

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Energy efficiency measures, EPI, Financing, SMEs

23.

Exchange Rates and Macro News in Emerging Markets

DIW Berlin Discussion Paper No. 1558
Number of pages: 22 Posted: 17 Mar 2016
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 56 (692,276)

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Emerging markets, Exchange Rates, GARCH model, Macro news

24.

Aggregate Insider Trading and Stock Market Volatility in the UK

CESifo Working Paper No. 10511
Number of pages: 28 Posted: 14 Jun 2023
Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 54 (703,859)

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aggregate insider trading, stock market volatility, VAR, impulse responses

25.

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 Sussex
Downloads 53 (709,643)

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Fractional Integration, Local Whittle Estimation, Structural Change

26.

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 London - Economics and Finance
Downloads 52 (715,895)
Citation 2

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

27.

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 London - Economics and Finance
Downloads 45 (761,033)

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GCC, multivariate GARCH, political tension

28.

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
Zayed University, Brunel University London - Department of Economics and Finance, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 40 (796,720)
Citation 2

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stock markets, GCC, volatility transmission

29.

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 38 (811,571)

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

30.

Stock Market Responses to Monetary Policy Shocks Firm-Level Evidence from the U.S

Number of pages: 26 Posted: 19 Jan 2024
Zayed University, Universidad Nacional de Córdoba, Zayed University and Brunel University London - Economics and Finance
Downloads 36 (827,132)

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Monetary policy, Firm-level data, Leverage

31.

The Effects of Physical and Transition Climate Risk on Stock Markets: Some Multi-Country Evidence

CESifo Working Paper No. 11184
Number of pages: 40 Posted: 03 Jul 2024
Department of Political lScienceDepartment of Political SciencesCSEF - University of Naples Federico II - Department of Political Science, Brunel University London - Department of Economics and Finance, Brunel University London - Brunel Business School and Brunel University London - Economics and Finance
Downloads 28 (904,027)

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climate change, physical risk, transition risk, stock markets, balanced panel VAR, impulse response analysis, local projections

32.

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 26 (913,177)
Citation 1

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33.

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

Number of pages: 36 Posted: 30 Dec 2021
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 25 (922,459)

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Technological heterogeneity, Metafrontier, Energy efficiency, Hansen threshold methodology

34.

European SMEs and Resource Efficiency Measures: Firm Characteristics and Contextual Factors

CESifo Working Paper No. 10799
Number of pages: 33 Posted: 05 Dec 2023
Brunel University London - Department of Economics and Finance, University of Campania “Luigi Vanvitelli” and Brunel University London - Economics and Finance
Downloads 22 (952,108)

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resource efficiency measures, financing, SMEs, workforce skills

Bias and Predictive Accuracy of Impulse Responses

Number of pages: 12 Posted: 11 Apr 2024
Universidad Torcuato Di Tella, University of London - Economics, Mathematics and Statistics, Brunel University London - Economics and Finance and affiliation not provided to SSRN
Downloads 13 (1,082,563)

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bias, local projections, Predictive accuracy, VAR models

36.

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
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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37.

Testing for Contagion: A Conditional Correlation Analysis

Journal of Empirical Finance, Vol. 12, No. 3, pp. 476-489
Posted: 31 Aug 2005
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

38.

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