Author Page for Nicola Spagnolo

1.

Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

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Citation 40

4

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 308 (100,533)

Abstract:

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 214 (146,550)

Abstract:

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) - Policy Development and Review Department and Brunel University London - Economics and Finance

Downloads 168 (184,122)

Citation 46

Abstract:

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

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Citation 1

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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

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

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Citation 4

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3.

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

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Citation 18

3

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 181 (171,516)

Abstract:

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 (206,545)

Citation 19

Abstract:

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

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4.

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

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Citation 10

2

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 172 (179,437)

Abstract:

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 (375,837)

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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 146 (206,089)

2

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 121 (239,663)

Citation 1

Abstract:

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

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6.

Macro News and Commodity Returns

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Citation 1

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 66 (354,471)

Abstract:

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 (379,068)

Citation 1

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7.

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

Downloads 102 (269,531)

Citation 3

2

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 (382,481)

Abstract:

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

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Citation 3

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8.

Macro News and Bond Yield Spreads in the Euro Area

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Citation 6

2

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 63 (363,362)

Abstract:

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

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Citation 6

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9.

Exchange Rate Uncertainty and International Portfolio Flows

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Citation 2

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 -University of Sussex Business School and Brunel University London - Economics and Finance

Downloads 52 (399,600)

Abstract:

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 -University of Sussex Business School and Brunel University London - Economics and Finance

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10.

Stock Market Integration between Three CEECs, Russia and the UK

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Citation 13

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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 (312,632)

Abstract:

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

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11.

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

Downloads 73 (331,415)

Citation 1

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, University of Sussex -University of Sussex Business School and Brunel University London - Economics and Finance

Downloads 43 (433,863)

Abstract:

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 -University of Sussex Business School and Brunel University London - Economics and Finance

Downloads 30 (494,490)

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12.

Macro News and Exchange Rates in the BRICS

Downloads 63 (358,641)

Citation 2

2

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 32 (483,842)

Citation 1

Abstract:

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

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Citation 1

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13.

Spillovers between Food and Energy Prices and Structural Breaks

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Citation 3

2

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 39 (451,022)

Abstract:

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 (583,024)

Citation 1

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14.

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 (396,531)

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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 -University of Sussex Business School, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance

Downloads 48 (406,818)

Citation 1

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16.

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 -University of Sussex Business School, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance

Downloads 47 (410,354)

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17.

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 31 (476,714)

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18.

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 Birmingham - Department of Economics

Downloads 27 (497,094)

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19.

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 25 (508,240)

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20.

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 (549,751)

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21.

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 (555,878)

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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 17 (555,878)

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23.

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 11 (593,831)

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24.

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 (658,175)

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25.

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

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26.

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

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27.

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

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28.

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 London - Economics and Finance

Nicola Spagnolo

Brunel University London - Economics and Finance

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Scholarly Papers (28)

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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets

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

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

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

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Selecting Nonlinear Time Series Models Using Information Criteria

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