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
- Climate Physical Risk and Asian Stock Market Returns
CESifo Working Paper Series, CESifo
- The Effects of Physical and Transition Climate Risk on Stock Markets: Some Multi-Country Evidence
CESifo Working Paper Series, CESifo
- 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
2023
- Aggregate Insider Trading and Stock Market Volatility in the UK
CESifo Working Paper Series, CESifo
See also Journal Article Aggregate insider trading and stock market volatility in the UK, Journal of International Financial Markets, Institutions and Money, Elsevier (2023) (2023)
- European SMEs and Resource Efficiency Measures: Firm Characteristics and Contextual Factors
CESifo Working Paper Series, CESifo
- US Municipal Green Bonds and Financial Integration
CESifo Working Paper Series, CESifo
See also Chapter US municipal green bonds and financial integration, Chapters, Edward Elgar Publishing (2024) (2024)
2022
- Fossil and Renewable Energy Stock Indices: Connectedness and the COP Meetings
CESifo Working Paper Series, CESifo
- Small and Medium Sized European Firms and Energy Efficiency Measures: A Probit Analysis
CESifo Working Paper Series, CESifo
- Stock Market Responses to Monetary Policy Shocks: Universal Firm-Level Evidence
Asociación Argentina de Economía Política: Working Papers, Asociación Argentina de Economía Política
2021
- The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20
CESifo Working Paper Series, CESifo
See also Journal Article The COVID-19 pandemic, policy responses and stock markets in the G20, International Economics, CEPII research center (2022) View citations (2) (2022)
2020
- Cross-Border Portfolio Flows and News Media Coverage
CESifo Working Paper Series, CESifo
See also Journal Article Cross-border portfolio flows and news media coverage, Journal of International Money and Finance, Elsevier (2022) View citations (2) (2022)
- Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets
CESifo Working Paper Series, CESifo 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) View citations (27) (2021)
- Cyber-Attacks, Cryptocurrencies, and Cyber Security
CESifo Working Paper Series, CESifo
2019
- 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
- Financial integration in the GCC region: market size versus national effects
CESifo Working Paper Series, CESifo View citations (1)
See also Journal Article Financial Integration in the GCC Region: Market Size Versus National Effects, Open Economies Review, Springer (2020) View citations (3) (2020)
- Non-Linearities, Cyber Attacks and Cryptocurrencies
CESifo Working Paper Series, CESifo View citations (5)
See also Journal Article Non-linearities, cyber attacks and cryptocurrencies, Finance Research Letters, Elsevier (2020) View citations (18) (2020)
2018
- Political Tension and Stock Markets in the Arabian Peninsula
CESifo Working Paper Series, CESifo 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) View citations (4) (2021)
- The Impact of Business and Political News on the GCC Stock Markets
CESifo Working Paper Series, CESifo 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) View citations (8) (2020)
2016
- 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 View citations (1)
Also in CESifo Working Paper Series, CESifo (2016) 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) View citations (2) (2021)
- Exchange Rates and Macro News in Emerging Markets
CESifo Working Paper Series, CESifo View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (2)
See also Journal Article Exchange rates and macro news in emerging markets, Research in International Business and Finance, Elsevier (2018) View citations (11) (2018)
- Macro News and Exchange Rates in the BRICS
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in CESifo Working Paper Series, CESifo (2016) View citations (1)
See also Journal Article Macro news and exchange rates in the BRICS, Finance Research Letters, Elsevier (2017) View citations (15) (2017)
- Spillovers between food and energy prices and structural breaks
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1) CESifo Working Paper Series, CESifo (2015) View citations (1)
See also Journal Article Spillovers between food and energy prices and structural breaks, International Economics, Elsevier (2017) View citations (52) (2017)
2015
- International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
Also in CESifo Working Paper Series, CESifo (2015) View citations (2)
- Macro News and Commodity Returns
CESifo Working Paper Series, CESifo
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1)
See also Journal Article Macro News and Commodity Returns, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2017) View citations (21) (2017)
2014
- Macro News and Bond Yield Spreads in the Euro Area
CESifo Working Paper Series, CESifo View citations (5)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2014) 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) View citations (14) (2018)
- 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 View citations (4)
Also in CESifo Working Paper Series, CESifo (2014) 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) View citations (17) (2016)
- 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 View citations (7)
Also in CESifo Working Paper Series, CESifo (2014) 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) View citations (87) (2015)
2013
- Exchange Rate Uncertainty and International Portfolio Flows
CESifo Working Paper Series, CESifo View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2013) View citations (5)
- Fiscal Multipliers in Good Times and Bad Times
Departmental Working Papers, Department of Economics, Louisiana State University View citations (3)
See also Journal Article Fiscal multipliers in good times and bad times, Journal of Macroeconomics, Elsevier (2015) View citations (31) (2015)
2011
- Volatility spillovers and contagion from mature and emerging stock markets
NCID Working Papers, Navarra Center for International Development, University of Navarra
2010
- Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach
CESifo Working Paper Series, CESifo View citations (2)
Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) 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) View citations (1) (2013)
- Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities
Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (7)
- Stock Market Integration between three CEECs, Russia and the UK
CESifo Working Paper Series, CESifo 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)
- Understanding Homeland Security: Theory and UK Evidence
EcoMod2010, EcoMod
2009
- 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 View citations (2)
Also in CESifo Working Paper Series, CESifo (2009) 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) View citations (92) (2010)
- Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (51)
Also in Working Paper Series, European Central Bank (2009) View citations (35) CESifo Working Paper Series, CESifo (2009) View citations (40) IMF Working Papers, International Monetary Fund (2008) View citations (21)
See also Journal Article Volatility Spillovers and Contagion from Mature to Emerging Stock Markets, Review of International Economics, Wiley Blackwell (2013) View citations (64) (2013)
2006
- Stock Returns and Inflation: The Impact of Inflation Targeting
Working Papers, Business School - Economics, University of Glasgow View citations (2)
2005
- STOCK MARKET INTEGRATION AND EUROPEAN MONETARY UNION
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
- 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
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) View citations (5) (2005)
2004
- 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 View citations (1)
See also Journal Article Evaluating currency crises: the case of the European monetary system, Empirical Economics, Springer (2008) View citations (8) (2008)
- MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2004)
- TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS
International Finance, University Library of Munich, Germany View citations (2)
See also Journal Article Testing for contagion: a conditional correlation analysis, Journal of Empirical Finance, Elsevier (2005) View citations (163) (2005)
2002
- A Test for Volatility Spillovers
Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2002)
See also Journal Article A test for volatility spillovers, Economics Letters, Elsevier (2002) View citations (33) (2002)
- Are currency crises self-fulfilling? the case of Argentina
Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2002)
- 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) View citations (89) (2003)
Journal Articles
2024
- Do not shut up and do dribble: social media and TV consumption
Journal of Population Economics, 2024, 37, (2), 1-25
- Environmental awareness and firm creation
Journal of Economic Studies, 2024, 51, (9), 137-147
- The non-linear effect of income on the shadow economy
Socio-Economic Planning Sciences, 2024, 95, (C)
2023
- Aggregate insider trading and stock market volatility in the UK
Journal of International Financial Markets, Institutions and Money, 2023, 89, (C)
See also Working Paper Aggregate Insider Trading and Stock Market Volatility in the UK, CESifo Working Paper Series (2023) (2023)
- Connectedness between fossil and renewable energy stock indices: The impact of the COP policies
Economic Modelling, 2023, 123, (C) View citations (9)
- Small and medium sized European firms and energy saving measures: The role of financing
Energy Policy, 2023, 179, (C)
- Sustainable developments, renewable energy, and economic growth in Canada
Sustainable Development, 2023, 31, (4), 2950-2966
- The impact of energy, renewable and CO2 emissions efficiency on countries’ productivity
Energy Economics, 2023, 125, (C) View citations (1)
2022
- Cross-border portfolio flows and news media coverage
Journal of International Money and Finance, 2022, 126, (C) View citations (2)
See also Working Paper Cross-Border Portfolio Flows and News Media Coverage, CESifo Working Paper Series (2020) (2020)
- Effect of Media News on Radicalization of Attitudes to Immigration
Journal of Economics, Race, and Policy, 2022, 5, (4), 318-340 View citations (1)
- On the heterogeneous effects of tax policy on labor market outcomes
Southern Economic Journal, 2022, 88, (3), 991-1036
- Price of a Surprise: The Effects of Election Outcomes on Stock Market Returns and Volatility
Review of Economics, 2022, 73, (3), 211-221
- Renewable energy and economic growth: A Markov-switching approach
Energy, 2022, 244, (PB) View citations (7)
- The COVID-19 pandemic, policy responses and stock markets in the G20
International Economics, 2022, (172), 77-90 View citations (2)
Also in International Economics, 2022, 172, (C), 77-90 (2022) View citations (3)
See also Working Paper The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20, CESifo Working Paper Series (2021) (2021)
- The economic and welfare state determinants of well-being in Europe
International Economics, 2022, 171, (C), 49-57
2021
- Cyber-attacks, spillovers and contagion in the cryptocurrency markets
Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) View citations (27)
See also Working Paper Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets, CESifo Working Paper Series (2020) View citations (2) (2020)
- 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 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) View citations (1) (2016)
- Financial markets and fiscal discipline in the Eurozone
Structural Change and Economic Dynamics, 2021, 58, (C), 490-499 View citations (1)
- Political tension and stock markets in the Arabian Peninsula
International Journal of Finance & Economics, 2021, 26, (1), 679-683 View citations (4)
See also Working Paper Political Tension and Stock Markets in the Arabian Peninsula, CESifo Working Paper Series (2018) View citations (2) (2018)
2020
- Financial Integration in the GCC Region: Market Size Versus National Effects
Open Economies Review, 2020, 31, (2), 309-316 View citations (3)
See also Working Paper Financial integration in the GCC region: market size versus national effects, CESifo Working Paper Series (2019) View citations (1) (2019)
- Non-linearities, cyber attacks and cryptocurrencies
Finance Research Letters, 2020, 32, (C) View citations (18)
See also Working Paper Non-Linearities, Cyber Attacks and Cryptocurrencies, CESifo Working Paper Series (2019) View citations (5) (2019)
- The effect of a new power cable on energy prices volatility spillovers
Energy Policy, 2020, 144, (C) View citations (5)
- The impact of business and political news on the GCC stock markets
Research in International Business and Finance, 2020, 52, (C) View citations (8)
See also Working Paper The Impact of Business and Political News on the GCC Stock Markets, CESifo Working Paper Series (2018) View citations (2) (2018)
2018
- Exchange rates and macro news in emerging markets
Research in International Business and Finance, 2018, 46, (C), 516-527 View citations (11)
See also Working Paper Exchange Rates and Macro News in Emerging Markets, CESifo Working Paper Series (2016) View citations (2) (2016)
- Fractional Integration Versus Structural Change: Testing the Convergence of $$\hbox {CO}_{2}$$ CO 2 Emissions
Environmental & Resource Economics, 2018, 71, (4), 923-968 View citations (11)
- Happy PIIGS?
Journal of Happiness Studies, 2018, 19, (6), 1763-1782
- Macro news and bond yield spreads in the euro area
The European Journal of Finance, 2018, 24, (2), 114-134 View citations (14)
See also Working Paper Macro News and Bond Yield Spreads in the Euro Area, CESifo Working Paper Series (2014) View citations (5) (2014)
2017
- A note on the macroeconomic consequences of ethnic/racial tension
Economics Letters, 2017, 155, (C), 100-103 View citations (1)
- International portfolio flows and exchange rate volatility in emerging Asian markets
Journal of International Money and Finance, 2017, 76, (C), 1-15 View citations (24)
- Macro News and Commodity Returns
International Journal of Finance & Economics, 2017, 22, (1), 68-80 View citations (21)
See also Working Paper Macro News and Commodity Returns, CESifo Working Paper Series (2015) (2015)
- Macro news and exchange rates in the BRICS
Finance Research Letters, 2017, 21, (C), 140-143 View citations (15)
See also Working Paper Macro News and Exchange Rates in the BRICS, Discussion Papers of DIW Berlin (2016) View citations (1) (2016)
- Portfolio flows and the US dollar–yen exchange rate
Empirical Economics, 2017, 52, (1), 179-189
- Spillovers between food and energy prices and structural breaks
International Economics, 2017, 150, (C), 1-18 View citations (52)
Also in International Economics, 2017, (150), 1-18 (2017) View citations (55)
See also Working Paper Spillovers between food and energy prices and structural breaks, NCID Working Papers (2016) View citations (2) (2016)
2016
- Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India
Revue économique, 2016, 67, (6), 1141-1151
- 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 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) View citations (4) (2014)
- Price regimes in an energy island: Tacit collusion vs. cost and network explanations
Energy Economics, 2016, 55, (C), 157-172 View citations (17)
2015
- Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach
Journal of International Money and Finance, 2015, 54, (C), 70-92 View citations (44)
- Fiscal multipliers in good times and bad times
Journal of Macroeconomics, 2015, 44, (C), 303-311 View citations (31)
See also Working Paper Fiscal Multipliers in Good Times and Bad Times, Departmental Working Papers (2013) View citations (3) (2013)
- Happiness, taxes and social provision: A note
Economics Letters, 2015, 135, (C), 100-103 View citations (1)
- Oil price uncertainty and sectoral stock returns in China: A time-varying approach
China Economic Review, 2015, 34, (C), 311-321 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) View citations (7) (2014)
2013
- LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH
Manchester School, 2013, 81, (6), 925-940 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) View citations (2) (2010)
- Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
Review of International Economics, 2013, 21, (5), 1060-1075 View citations (64)
See also Working Paper Volatility Spillovers and Contagion from Mature to Emerging Stock Markets, Discussion Papers of DIW Berlin (2009) View citations (51) (2009)
2012
- Linear and Non-linear Causality between CO2 Emissions and Economic Growth
The Energy Journal, 2012, Volume 33, (Number 3) View citations (24)
Also in The Energy Journal, 2012, 33, (3), 23-38 (2012) View citations (1)
- Stock Market Integration Between Three CEECs
Journal of Economic Integration, 2012, 27, 115-122 View citations (11)
- Stock market, economic growth and EU accession: evidence from three CEECs
International Journal of Monetary Economics and Finance, 2012, 5, (2), 183-191 View citations (6)
2011
- Exploring the dynamics between terrorism and anti-terror spending: Theory and UK-evidence
Journal of Economic Behavior & Organization, 2011, 77, (2), 189-202 View citations (7)
- Short-term growth effects of fiscal policy revisited: A Markov-switching approach
Economics Letters, 2011, 110, (3), 278-281 View citations (4)
- 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) View citations (5) (2010)
2010
- Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis
Emerging Markets Review, 2010, 11, (3), 250-260 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) View citations (2) (2009)
2009
- Central bank intervention and foreign exchange markets
Applied Financial Economics, 2009, 19, (17), 1417-1432
- Selecting nonlinear time series models using information criteria
Journal of Time Series Analysis, 2009, 30, (4), 369-394 View citations (18)
2008
- Evaluating currency crises: the case of the European monetary system
Empirical Economics, 2008, 35, (1), 11-27 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) View citations (1) (2004)
- The price of terror: The effects of terrorism on stock market returns and volatility
Economics Letters, 2008, 101, (3), 164-167 View citations (137)
2007
- Predicting Markov volatility switches using monetary policy variables
Economics Letters, 2007, 95, (1), 110-116 View citations (7)
2006
- 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 View citations (50)
- Volatility transmission and financial crises
Journal of Economics and Finance, 2006, 30, (3), 376-390 View citations (65)
2005
- Testing for contagion: a conditional correlation analysis
Journal of Empirical Finance, 2005, 12, (3), 476-489 View citations (163)
See also Working Paper TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS, International Finance (2004) View citations (2) (2004)
- 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 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) (2005)
- Was the Currency Crisis in Argentina Self-Fulfilling?
Review of World Economics (Weltwirtschaftliches Archiv), 2005, 141, (2), 357-368 View citations (6)
2004
- Modelling East Asian exchange rates: a Markov-switching approach
Applied Financial Economics, 2004, 14, (4), 233-242 View citations (18)
2003
- Asset prices and output growth volatility: the effects of financial crises
Economics Letters, 2003, 79, (1), 69-74 View citations (19)
- IGARCH models and structural breaks
Applied Economics Letters, 2003, 10, (12), 765-768 View citations (19)
- ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS
Journal of Time Series Analysis, 2003, 24, (2), 237-252 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
- A test for volatility spillovers
Economics Letters, 2002, 76, (1), 77-84 View citations (33)
See also Working Paper A Test for Volatility Spillovers, Economics and Finance Discussion Papers (2002) (2002)
- Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (3), 16 View citations (20)
- Testing for Causality-in-Variance: An Application to the East Asian Markets
International Journal of Finance & Economics, 2002, 7, (3), 235-45 View citations (61)
Chapters
2024
- US municipal green bonds and financial integration
Chapter 8 in Handbook of Financial Integration, 2024, pp 192-205
See also Working Paper US Municipal Green Bonds and Financial Integration, CESifo (2023) (2023)
2014
- Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach
Springer View citations (3)
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