EconPapers    
Economics at your fingertips  
 

Details about Nicola Spagnolo

Access statistics for papers by Nicola Spagnolo.

Last updated 2020-09-29. Update your information in the RePEc Author Service.

Short-id: psp160


Jump to Journal Articles

Working Papers

2020

  1. Cross-Border Portfolio Flows and News Media Coverage
    CESifo Working Paper Series, CESifo Downloads
  2. Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets
    CESifo Working Paper Series, CESifo Downloads
  3. Cyber-Attacks, Cryptocurrencies, and Investor Protection
    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
    See also Journal Article in Open Economies Review (2020)
  3. Non-Linearities, Cyber Attacks and Cryptocurrencies
    CESifo Working Paper Series, CESifo Downloads View citations (1)
    See also Journal Article in Finance Research Letters (2020)

2018

  1. Political Tension and Stock Markets in the Arabian Peninsula
    CESifo Working Paper Series, CESifo Downloads
  2. The Impact of Business and Political News on the GCC Stock Markets
    CESifo Working Paper Series, CESifo Downloads
    See also Journal Article in Research in International Business and Finance (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)
  2. Exchange Rates and Macro News in Emerging Markets
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    Also in CESifo Working Paper Series, CESifo (2016) Downloads

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

    See also Journal Article in International Economics (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
  2. Macro News and Commodity Returns
    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

    See also Journal Article in International Journal of Finance & Economics (2017)

2014

  1. Macro News and Bond Yield Spreads in the Euro Area
    CESifo Working Paper Series, CESifo Downloads View citations (3)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) Downloads View citations (8)

    See also Journal Article in The European Journal of Finance (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 in International Review of Financial Analysis (2016)
  3. Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
    CESifo Working Paper Series, CESifo Downloads View citations (4)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) Downloads View citations (4)

    See also Journal Article in China Economic Review (2015)

2013

  1. Exchange Rate Uncertainty and International Portfolio Flows
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (4)
    Also in CESifo Working Paper Series, CESifo (2013) Downloads View citations (2)
  2. Fiscal Multipliers in Good Times and Bad Times
    Departmental Working Papers, Department of Economics, Louisiana State University Downloads View citations (1)
    See also Journal Article in Journal of Macroeconomics (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
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo (2010) Downloads

    See also Journal Article in Manchester School (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 (3)
    See also Journal Article in Review of International Economics (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 (1)
    Also in CESifo Working Paper Series, CESifo (2009) Downloads View citations (3)

    See also Journal Article in Emerging Markets Review (2010)
  2. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
    CESifo Working Paper Series, CESifo Downloads View citations (26)
    Also in Working Paper Series, European Central Bank (2009) Downloads View citations (17)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2009) Downloads View citations (33)
    IMF Working Papers, International Monetary Fund (2008) Downloads View citations (16)

    See also Journal Article in Review of International Economics (2013)

2006

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

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 View citations (1)
    See also Journal Article in International Journal of Finance & Economics (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
    See also Journal Article in Empirical Economics (2008)
  2. MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH
    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 (2004) Downloads

    See also Journal Article in Applied Financial Economics Letters (2005)
  3. TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS
    International Finance, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Journal of Empirical Finance (2005)

2002

  1. A Test for Volatility Spillovers
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads View citations (7)
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2002) Downloads View citations (1)

    See also Journal Article in Economics Letters (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 View citations (1)
    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 (5)
    See also Journal Article in Journal of Time Series Analysis (2003)

Journal Articles

2020

  1. Financial Integration in the GCC Region: Market Size Versus National Effects
    Open Economies Review, 2020, 31, (2), 309-316 Downloads
    See also Working Paper (2019)
  2. Non-linearities, cyber attacks and cryptocurrencies
    Finance Research Letters, 2020, 32, (C) Downloads View citations (2)
    See also Working Paper (2019)
  3. The impact of business and political news on the GCC stock markets
    Research in International Business and Finance, 2020, 52, (C) Downloads
    See also Working Paper (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 (1)
    See also Working Paper (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 (2)
  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 (6)
    See also Working Paper (2014)

2017

  1. A note on the macroeconomic consequences of ethnic/racial tension
    Economics Letters, 2017, 155, (C), 100-103 Downloads
  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 (9)
  3. Macro News and Commodity Returns
    International Journal of Finance & Economics, 2017, 22, (1), 68-80 Downloads View citations (8)
    See also Working Paper (2015)
  4. Macro news and exchange rates in the BRICS
    Finance Research Letters, 2017, 21, (C), 140-143 Downloads View citations (7)
    See also Working Paper (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), 1-18 Downloads View citations (18)
    Also in International Economics, 2017, 150, (C), 1-18 (2017) Downloads View citations (20)

    See also Working Paper (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 (6)
    See also Working Paper (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 (9)

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 (19)
  2. Fiscal multipliers in good times and bad times
    Journal of Macroeconomics, 2015, 44, (C), 303-311 Downloads View citations (15)
    See also Working Paper (2013)
  3. Happiness, taxes and social provision: A note
    Economics Letters, 2015, 135, (C), 100-103 Downloads
  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 (42)
    See also Working Paper (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 (2010)
  2. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
    Review of International Economics, 2013, 21, (5), 1060-1075 Downloads View citations (41)
    See also Working Paper (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 (13)
  2. Stock Market Integration Between Three CEECs
    Journal of Economic Integration, 2012, 27, 115-122 Downloads View citations (9)

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 (6)
  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 (17)
    See also Working Paper (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 (61)
    See also Working Paper (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 (15)

2008

  1. Evaluating currency crises: the case of the European monetary system
    Empirical Economics, 2008, 35, (1), 11-27 Downloads View citations (6)
    See also Working Paper (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 (67)

2007

  1. Predicting Markov volatility switches using monetary policy variables
    Economics Letters, 2007, 95, (1), 110-116 Downloads View citations (6)

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 (40)
  2. Volatility transmission and financial crises
    Journal of Economics and Finance, 2006, 30, (3), 376-390 Downloads View citations (57)

2005

  1. Measuring half-lives: using a non-parametric bootstrap approach
    Applied Financial Economics Letters, 2005, 1, (1), 1-4 Downloads View citations (4)
    See also Working Paper (2004)
  2. Testing for contagion: a conditional correlation analysis
    Journal of Empirical Finance, 2005, 12, (3), 476-489 Downloads View citations (142)
    See also Working Paper (2004)
  3. 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 (2)
    See also Working Paper (2005)
  4. Was the Currency Crisis in Argentina Self-Fulfilling?
    Review of World Economics (Weltwirtschaftliches Archiv), 2005, 141, (2), 357-368 Downloads View citations (5)

2004

  1. Modelling East Asian exchange rates: a Markov-switching approach
    Applied Financial Economics, 2004, 14, (4), 233-242 Downloads View citations (11)

2003

  1. Asset prices and output growth volatility: the effects of financial crises
    Economics Letters, 2003, 79, (1), 69-74 Downloads View citations (15)
  2. IGARCH models and structural breaks
    Applied Economics Letters, 2003, 10, (12), 765-768 Downloads View citations (15)
  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 (73)
    See also Working Paper (2002)

2002

  1. A test for volatility spillovers
    Economics Letters, 2002, 76, (1), 77-84 Downloads View citations (31)
    See also Working Paper (2002)
  2. Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (3), 1-16 Downloads View citations (18)
  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 (49)
 
Page updated 2020-10-29