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Details about Nicola Spagnolo

Access statistics for papers by Nicola Spagnolo.

Last updated 2024-11-06. Update your information in the RePEc Author Service.

Short-id: psp160


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Working Papers

2024

  1. Climate Physical Risk and Asian Stock Market Returns
    CESifo Working Paper Series, CESifo Downloads
  2. The Effects of Physical and Transition Climate Risk on Stock Markets: Some Multi-Country Evidence
    CESifo Working Paper Series, CESifo Downloads
  3. The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads

2023

  1. Aggregate Insider Trading and Stock Market Volatility in the UK
    CESifo Working Paper Series, CESifo Downloads
    See also Journal Article Aggregate insider trading and stock market volatility in the UK, Journal of International Financial Markets, Institutions and Money, Elsevier (2023) Downloads (2023)
  2. European SMEs and Resource Efficiency Measures: Firm Characteristics and Contextual Factors
    CESifo Working Paper Series, CESifo Downloads
  3. US Municipal Green Bonds and Financial Integration
    CESifo Working Paper Series, CESifo Downloads
    See also Chapter US municipal green bonds and financial integration, Chapters, Edward Elgar Publishing (2024) Downloads (2024)

2022

  1. Fossil and Renewable Energy Stock Indices: Connectedness and the COP Meetings
    CESifo Working Paper Series, CESifo Downloads
  2. Small and Medium Sized European Firms and Energy Efficiency Measures: A Probit Analysis
    CESifo Working Paper Series, CESifo Downloads
  3. Stock Market Responses to Monetary Policy Shocks: Universal Firm-Level Evidence
    Asociación Argentina de Economía Política: Working Papers, Asociación Argentina de Economía Política Downloads

2021

  1. The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20
    CESifo Working Paper Series, CESifo Downloads
    See also Journal Article The COVID-19 pandemic, policy responses and stock markets in the G20, International Economics, CEPII research center (2022) Downloads View citations (2) (2022)

2020

  1. Cross-Border Portfolio Flows and News Media Coverage
    CESifo Working Paper Series, CESifo Downloads
    See also Journal Article Cross-border portfolio flows and news media coverage, Journal of International Money and Finance, Elsevier (2022) Downloads View citations (2) (2022)
  2. Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets
    CESifo Working Paper Series, CESifo Downloads View citations (2)
    See also Journal Article Cyber-attacks, spillovers and contagion in the cryptocurrency markets, Journal of International Financial Markets, Institutions and Money, Elsevier (2021) Downloads View citations (27) (2021)
  3. Cyber-Attacks, Cryptocurrencies, and Cyber Security
    CESifo Working Paper Series, CESifo Downloads

2019

  1. A closer look at the employment effects of fiscal policy shocks: What have minorities got to do with it?
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
  2. Financial integration in the GCC region: market size versus national effects
    CESifo Working Paper Series, CESifo Downloads View citations (1)
    See also Journal Article Financial Integration in the GCC Region: Market Size Versus National Effects, Open Economies Review, Springer (2020) Downloads View citations (3) (2020)
  3. Non-Linearities, Cyber Attacks and Cryptocurrencies
    CESifo Working Paper Series, CESifo Downloads View citations (5)
    See also Journal Article Non-linearities, cyber attacks and cryptocurrencies, Finance Research Letters, Elsevier (2020) Downloads View citations (18) (2020)

2018

  1. Political Tension and Stock Markets in the Arabian Peninsula
    CESifo Working Paper Series, CESifo Downloads View citations (2)
    See also Journal Article Political tension and stock markets in the Arabian Peninsula, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2021) Downloads View citations (4) (2021)
  2. The Impact of Business and Political News on the GCC Stock Markets
    CESifo Working Paper Series, CESifo Downloads View citations (2)
    See also Journal Article The impact of business and political news on the GCC stock markets, Research in International Business and Finance, Elsevier (2020) Downloads View citations (8) (2020)

2016

  1. Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-In-Mean Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo (2016) Downloads View citations (1)

    See also Journal Article Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis, Empirical Economics, Springer (2021) Downloads View citations (2) (2021)
  2. Exchange Rates and Macro News in Emerging Markets
    CESifo Working Paper Series, CESifo Downloads View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) Downloads View citations (2)

    See also Journal Article Exchange rates and macro news in emerging markets, Research in International Business and Finance, Elsevier (2018) Downloads View citations (11) (2018)
  3. Macro News and Exchange Rates in the BRICS
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo (2016) Downloads View citations (1)

    See also Journal Article Macro news and exchange rates in the BRICS, Finance Research Letters, Elsevier (2017) Downloads View citations (15) (2017)
  4. Spillovers between food and energy prices and structural breaks
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) Downloads View citations (1)
    CESifo Working Paper Series, CESifo (2015) Downloads View citations (1)

    See also Journal Article Spillovers between food and energy prices and structural breaks, International Economics, Elsevier (2017) Downloads View citations (52) (2017)

2015

  1. International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo (2015) Downloads View citations (2)
  2. Macro News and Commodity Returns
    CESifo Working Paper Series, CESifo Downloads
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) Downloads View citations (1)

    See also Journal Article Macro News and Commodity Returns, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2017) Downloads View citations (21) (2017)

2014

  1. Macro News and Bond Yield Spreads in the Euro Area
    CESifo Working Paper Series, CESifo Downloads View citations (5)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) Downloads View citations (8)

    See also Journal Article Macro news and bond yield spreads in the euro area, The European Journal of Finance, Taylor & Francis Journals (2018) Downloads View citations (14) (2018)
  2. Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (4)
    Also in CESifo Working Paper Series, CESifo (2014) Downloads View citations (4)

    See also Journal Article Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis, International Review of Financial Analysis, Elsevier (2016) Downloads View citations (17) (2016)
  3. Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (7)
    Also in CESifo Working Paper Series, CESifo (2014) Downloads View citations (6)

    See also Journal Article Oil price uncertainty and sectoral stock returns in China: A time-varying approach, China Economic Review, Elsevier (2015) Downloads View citations (87) (2015)

2013

  1. Exchange Rate Uncertainty and International Portfolio Flows
    CESifo Working Paper Series, CESifo Downloads View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) Downloads View citations (5)
  2. Fiscal Multipliers in Good Times and Bad Times
    Departmental Working Papers, Department of Economics, Louisiana State University Downloads View citations (3)
    See also Journal Article Fiscal multipliers in good times and bad times, Journal of Macroeconomics, Elsevier (2015) Downloads View citations (31) (2015)

2011

  1. Volatility spillovers and contagion from mature and emerging stock markets
    NCID Working Papers, Navarra Center for International Development, University of Navarra Downloads

2010

  1. Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach
    CESifo Working Paper Series, CESifo Downloads View citations (2)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) Downloads View citations (1)

    See also Journal Article LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH, Manchester School, University of Manchester (2013) Downloads View citations (1) (2013)
  2. Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads View citations (7)
  3. Stock Market Integration between three CEECs, Russia and the UK
    CESifo Working Paper Series, CESifo Downloads View citations (5)
    See also Journal Article Stock Market Integration between Three CEECs, Russia, and the UK, Review of International Economics, Wiley Blackwell (2011) View citations (27) (2011)
  4. Understanding Homeland Security: Theory and UK Evidence
    EcoMod2010, EcoMod Downloads

2009

  1. Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-Mean Analysis
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo (2009) Downloads View citations (4)

    See also Journal Article Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis, Emerging Markets Review, Elsevier (2010) Downloads View citations (92) (2010)
  2. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (51)
    Also in Working Paper Series, European Central Bank (2009) Downloads View citations (35)
    CESifo Working Paper Series, CESifo (2009) Downloads View citations (40)
    IMF Working Papers, International Monetary Fund (2008) Downloads View citations (21)

    See also Journal Article Volatility Spillovers and Contagion from Mature to Emerging Stock Markets, Review of International Economics, Wiley Blackwell (2013) Downloads View citations (64) (2013)

2006

  1. Stock Returns and Inflation: The Impact of Inflation Targeting
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (2)

2005

  1. STOCK MARKET INTEGRATION AND EUROPEAN MONETARY UNION
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
  2. TESTING FOR FINANCIAL CONTAGION BETWEEN DEVELOPED AND EMERGING MARKETS DURING THE 1997 EAST ASIAN CRISIS
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    See also Journal Article Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2005) Downloads View citations (5) (2005)

2004

  1. Evaluating currency crises: the case of the European Monetary System
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group Downloads View citations (1)
    See also Journal Article Evaluating currency crises: the case of the European monetary system, Empirical Economics, Springer (2008) Downloads View citations (8) (2008)
  2. MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004) Downloads
  3. TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS
    International Finance, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article Testing for contagion: a conditional correlation analysis, Journal of Empirical Finance, Elsevier (2005) Downloads View citations (163) (2005)

2002

  1. A Test for Volatility Spillovers
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2002) Downloads

    See also Journal Article A test for volatility spillovers, Economics Letters, Elsevier (2002) Downloads View citations (33) (2002)
  2. Are currency crises self-fulfilling? the case of Argentina
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2002) Downloads
  3. On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (6)
    See also Journal Article ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS, Journal of Time Series Analysis, Wiley Blackwell (2003) Downloads View citations (89) (2003)

Journal Articles

2024

  1. Do not shut up and do dribble: social media and TV consumption
    Journal of Population Economics, 2024, 37, (2), 1-25 Downloads
  2. Environmental awareness and firm creation
    Journal of Economic Studies, 2024, 51, (9), 137-147 Downloads
  3. The non-linear effect of income on the shadow economy
    Socio-Economic Planning Sciences, 2024, 95, (C) Downloads

2023

  1. Aggregate insider trading and stock market volatility in the UK
    Journal of International Financial Markets, Institutions and Money, 2023, 89, (C) Downloads
    See also Working Paper Aggregate Insider Trading and Stock Market Volatility in the UK, CESifo Working Paper Series (2023) Downloads (2023)
  2. Connectedness between fossil and renewable energy stock indices: The impact of the COP policies
    Economic Modelling, 2023, 123, (C) Downloads View citations (9)
  3. Small and medium sized European firms and energy saving measures: The role of financing
    Energy Policy, 2023, 179, (C) Downloads
  4. Sustainable developments, renewable energy, and economic growth in Canada
    Sustainable Development, 2023, 31, (4), 2950-2966 Downloads
  5. The impact of energy, renewable and CO2 emissions efficiency on countries’ productivity
    Energy Economics, 2023, 125, (C) Downloads View citations (1)

2022

  1. Cross-border portfolio flows and news media coverage
    Journal of International Money and Finance, 2022, 126, (C) Downloads View citations (2)
    See also Working Paper Cross-Border Portfolio Flows and News Media Coverage, CESifo Working Paper Series (2020) Downloads (2020)
  2. Effect of Media News on Radicalization of Attitudes to Immigration
    Journal of Economics, Race, and Policy, 2022, 5, (4), 318-340 Downloads View citations (1)
  3. On the heterogeneous effects of tax policy on labor market outcomes
    Southern Economic Journal, 2022, 88, (3), 991-1036 Downloads
  4. Price of a Surprise: The Effects of Election Outcomes on Stock Market Returns and Volatility
    Review of Economics, 2022, 73, (3), 211-221 Downloads
  5. Renewable energy and economic growth: A Markov-switching approach
    Energy, 2022, 244, (PB) Downloads View citations (7)
  6. The COVID-19 pandemic, policy responses and stock markets in the G20
    International Economics, 2022, (172), 77-90 Downloads View citations (2)
    Also in International Economics, 2022, 172, (C), 77-90 (2022) Downloads View citations (3)

    See also Working Paper The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20, CESifo Working Paper Series (2021) Downloads (2021)
  7. The economic and welfare state determinants of well-being in Europe
    International Economics, 2022, 171, (C), 49-57 Downloads

2021

  1. Cyber-attacks, spillovers and contagion in the cryptocurrency markets
    Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) Downloads View citations (27)
    See also Working Paper Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets, CESifo Working Paper Series (2020) Downloads View citations (2) (2020)
  2. Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis
    Empirical Economics, 2021, 60, (2), 539-555 Downloads View citations (2)
    See also Working Paper Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-In-Mean Analysis, Discussion Papers of DIW Berlin (2016) Downloads View citations (1) (2016)
  3. Financial markets and fiscal discipline in the Eurozone
    Structural Change and Economic Dynamics, 2021, 58, (C), 490-499 Downloads View citations (1)
  4. Political tension and stock markets in the Arabian Peninsula
    International Journal of Finance & Economics, 2021, 26, (1), 679-683 Downloads View citations (4)
    See also Working Paper Political Tension and Stock Markets in the Arabian Peninsula, CESifo Working Paper Series (2018) Downloads View citations (2) (2018)

2020

  1. Financial Integration in the GCC Region: Market Size Versus National Effects
    Open Economies Review, 2020, 31, (2), 309-316 Downloads View citations (3)
    See also Working Paper Financial integration in the GCC region: market size versus national effects, CESifo Working Paper Series (2019) Downloads View citations (1) (2019)
  2. Non-linearities, cyber attacks and cryptocurrencies
    Finance Research Letters, 2020, 32, (C) Downloads View citations (18)
    See also Working Paper Non-Linearities, Cyber Attacks and Cryptocurrencies, CESifo Working Paper Series (2019) Downloads View citations (5) (2019)
  3. The effect of a new power cable on energy prices volatility spillovers
    Energy Policy, 2020, 144, (C) Downloads View citations (5)
  4. The impact of business and political news on the GCC stock markets
    Research in International Business and Finance, 2020, 52, (C) Downloads View citations (8)
    See also Working Paper The Impact of Business and Political News on the GCC Stock Markets, CESifo Working Paper Series (2018) Downloads View citations (2) (2018)

2018

  1. Exchange rates and macro news in emerging markets
    Research in International Business and Finance, 2018, 46, (C), 516-527 Downloads View citations (11)
    See also Working Paper Exchange Rates and Macro News in Emerging Markets, CESifo Working Paper Series (2016) Downloads View citations (2) (2016)
  2. Fractional Integration Versus Structural Change: Testing the Convergence of $$\hbox {CO}_{2}$$ CO 2 Emissions
    Environmental & Resource Economics, 2018, 71, (4), 923-968 Downloads View citations (11)
  3. Happy PIIGS?
    Journal of Happiness Studies, 2018, 19, (6), 1763-1782 Downloads
  4. Macro news and bond yield spreads in the euro area
    The European Journal of Finance, 2018, 24, (2), 114-134 Downloads View citations (14)
    See also Working Paper Macro News and Bond Yield Spreads in the Euro Area, CESifo Working Paper Series (2014) Downloads View citations (5) (2014)

2017

  1. A note on the macroeconomic consequences of ethnic/racial tension
    Economics Letters, 2017, 155, (C), 100-103 Downloads View citations (1)
  2. International portfolio flows and exchange rate volatility in emerging Asian markets
    Journal of International Money and Finance, 2017, 76, (C), 1-15 Downloads View citations (24)
  3. Macro News and Commodity Returns
    International Journal of Finance & Economics, 2017, 22, (1), 68-80 Downloads View citations (21)
    See also Working Paper Macro News and Commodity Returns, CESifo Working Paper Series (2015) Downloads (2015)
  4. Macro news and exchange rates in the BRICS
    Finance Research Letters, 2017, 21, (C), 140-143 Downloads View citations (15)
    See also Working Paper Macro News and Exchange Rates in the BRICS, Discussion Papers of DIW Berlin (2016) Downloads View citations (1) (2016)
  5. Portfolio flows and the US dollar–yen exchange rate
    Empirical Economics, 2017, 52, (1), 179-189 Downloads
  6. Spillovers between food and energy prices and structural breaks
    International Economics, 2017, 150, (C), 1-18 Downloads View citations (52)
    Also in International Economics, 2017, (150), 1-18 (2017) Downloads View citations (55)

    See also Working Paper Spillovers between food and energy prices and structural breaks, NCID Working Papers (2016) Downloads View citations (2) (2016)

2016

  1. Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India
    Revue économique, 2016, 67, (6), 1141-1151 Downloads
  2. Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis
    International Review of Financial Analysis, 2016, 45, (C), 180-188 Downloads View citations (17)
    See also Working Paper Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis, Discussion Papers of DIW Berlin (2014) Downloads View citations (4) (2014)
  3. Price regimes in an energy island: Tacit collusion vs. cost and network explanations
    Energy Economics, 2016, 55, (C), 157-172 Downloads View citations (17)

2015

  1. Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach
    Journal of International Money and Finance, 2015, 54, (C), 70-92 Downloads View citations (44)
  2. Fiscal multipliers in good times and bad times
    Journal of Macroeconomics, 2015, 44, (C), 303-311 Downloads View citations (31)
    See also Working Paper Fiscal Multipliers in Good Times and Bad Times, Departmental Working Papers (2013) Downloads View citations (3) (2013)
  3. Happiness, taxes and social provision: A note
    Economics Letters, 2015, 135, (C), 100-103 Downloads View citations (1)
  4. Oil price uncertainty and sectoral stock returns in China: A time-varying approach
    China Economic Review, 2015, 34, (C), 311-321 Downloads View citations (87)
    See also Working Paper Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach, Discussion Papers of DIW Berlin (2014) Downloads View citations (7) (2014)

2013

  1. LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH
    Manchester School, 2013, 81, (6), 925-940 Downloads View citations (1)
    See also Working Paper Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach, CESifo Working Paper Series (2010) Downloads View citations (2) (2010)
  2. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
    Review of International Economics, 2013, 21, (5), 1060-1075 Downloads View citations (64)
    See also Working Paper Volatility Spillovers and Contagion from Mature to Emerging Stock Markets, Discussion Papers of DIW Berlin (2009) Downloads View citations (51) (2009)

2012

  1. Linear and Non-linear Causality between CO2 Emissions and Economic Growth
    The Energy Journal, 2012, Volume 33, (Number 3) Downloads View citations (24)
    Also in The Energy Journal, 2012, 33, (3), 23-38 (2012) Downloads View citations (1)
  2. Stock Market Integration Between Three CEECs
    Journal of Economic Integration, 2012, 27, 115-122 Downloads View citations (11)
  3. Stock market, economic growth and EU accession: evidence from three CEECs
    International Journal of Monetary Economics and Finance, 2012, 5, (2), 183-191 Downloads View citations (6)

2011

  1. Exploring the dynamics between terrorism and anti-terror spending: Theory and UK-evidence
    Journal of Economic Behavior & Organization, 2011, 77, (2), 189-202 Downloads View citations (7)
  2. Short-term growth effects of fiscal policy revisited: A Markov-switching approach
    Economics Letters, 2011, 110, (3), 278-281 Downloads View citations (4)
  3. Stock Market Integration between Three CEECs, Russia, and the UK
    Review of International Economics, 2011, 19, (1), 158-169 View citations (27)
    See also Working Paper Stock Market Integration between three CEECs, Russia and the UK, CESifo Working Paper Series (2010) Downloads View citations (5) (2010)

2010

  1. Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis
    Emerging Markets Review, 2010, 11, (3), 250-260 Downloads View citations (92)
    See also Working Paper Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-Mean Analysis, Discussion Papers of DIW Berlin (2009) Downloads View citations (2) (2009)

2009

  1. Central bank intervention and foreign exchange markets
    Applied Financial Economics, 2009, 19, (17), 1417-1432 Downloads
  2. Selecting nonlinear time series models using information criteria
    Journal of Time Series Analysis, 2009, 30, (4), 369-394 Downloads View citations (18)

2008

  1. Evaluating currency crises: the case of the European monetary system
    Empirical Economics, 2008, 35, (1), 11-27 Downloads View citations (8)
    See also Working Paper Evaluating currency crises: the case of the European Monetary System, Money Macro and Finance (MMF) Research Group Conference 2003 (2004) Downloads View citations (1) (2004)
  2. The price of terror: The effects of terrorism on stock market returns and volatility
    Economics Letters, 2008, 101, (3), 164-167 Downloads View citations (137)

2007

  1. Predicting Markov volatility switches using monetary policy variables
    Economics Letters, 2007, 95, (1), 110-116 Downloads View citations (7)

2006

  1. Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
    Journal of Time Series Analysis, 2006, 27, (5), 753-766 Downloads View citations (50)
  2. Volatility transmission and financial crises
    Journal of Economics and Finance, 2006, 30, (3), 376-390 Downloads View citations (65)

2005

  1. Testing for contagion: a conditional correlation analysis
    Journal of Empirical Finance, 2005, 12, (3), 476-489 Downloads View citations (163)
    See also Working Paper TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS, International Finance (2004) Downloads View citations (2) (2004)
  2. Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
    International Journal of Finance & Economics, 2005, 10, (4), 359-367 Downloads View citations (5)
    See also Working Paper TESTING FOR FINANCIAL CONTAGION BETWEEN DEVELOPED AND EMERGING MARKETS DURING THE 1997 EAST ASIAN CRISIS, Economics and Finance Discussion Papers (2005) Downloads (2005)
  3. Was the Currency Crisis in Argentina Self-Fulfilling?
    Review of World Economics (Weltwirtschaftliches Archiv), 2005, 141, (2), 357-368 Downloads View citations (6)

2004

  1. Modelling East Asian exchange rates: a Markov-switching approach
    Applied Financial Economics, 2004, 14, (4), 233-242 Downloads View citations (18)

2003

  1. Asset prices and output growth volatility: the effects of financial crises
    Economics Letters, 2003, 79, (1), 69-74 Downloads View citations (19)
  2. IGARCH models and structural breaks
    Applied Economics Letters, 2003, 10, (12), 765-768 Downloads View citations (19)
  3. ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS
    Journal of Time Series Analysis, 2003, 24, (2), 237-252 Downloads View citations (89)
    See also Working Paper On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models, Computing in Economics and Finance 2002 (2002) View citations (6) (2002)

2002

  1. A test for volatility spillovers
    Economics Letters, 2002, 76, (1), 77-84 Downloads View citations (33)
    See also Working Paper A Test for Volatility Spillovers, Economics and Finance Discussion Papers (2002) Downloads (2002)
  2. Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (3), 16 Downloads View citations (20)
  3. Testing for Causality-in-Variance: An Application to the East Asian Markets
    International Journal of Finance & Economics, 2002, 7, (3), 235-45 Downloads View citations (61)

Chapters

2024

  1. US municipal green bonds and financial integration
    Chapter 8 in Handbook of Financial Integration, 2024, pp 192-205 Downloads
    See also Working Paper US Municipal Green Bonds and Financial Integration, CESifo (2023) Downloads (2023)

2014

  1. Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach
    Springer View citations (3)
 
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