Details about Nicola Spagnolo

Access statistics for papers by Nicola Spagnolo.

Last updated 2023-10-11. Update your information in the RePEc Author Service.

Short-id: psp160

Working Papers

2023

1. Aggregate Insider Trading and Stock Market Volatility in the UK
   CESifo Working Paper Series, CESifo
2. US Municipal Green Bonds and Financial Integration
   CESifo Working Paper Series, CESifo

2022

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

2021

6. The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20
   CESifo Working Paper Series, CESifo
   See also Journal Article in International Economics (2022)

2020

7. Cross-Border Portfolio Flows and News Media Coverage
   CESifo Working Paper Series, CESifo
   See also Journal Article in Journal of International Money and Finance (2022)
8. Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets
   CESifo Working Paper Series, CESifo View citations (2)
   See also Journal Article in Journal of International Financial Markets, Institutions and Money (2021)
9. Cyber-Attacks, Cryptocurrencies, and Cyber Security
   CESifo Working Paper Series, CESifo

2019

10. 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
11. Financial integration in the GCC region: market size versus national effects
    CESifo Working Paper Series, CESifo View citations (1)
    See also Journal Article in Open Economies Review (2020)
12. Non-Linearities, Cyber Attacks and Cryptocurrencies
    CESifo Working Paper Series, CESifo View citations (5)
    See also Journal Article in Finance Research Letters (2020)

2018

13. Political Tension and Stock Markets in the Arabian Peninsula
    CESifo Working Paper Series, CESifo View citations (2)
    See also Journal Article in International Journal of Finance & Economics (2021)
14. The Impact of Business and Political News on the GCC Stock Markets
    CESifo Working Paper Series, CESifo View citations (2)
    See also Journal Article in Research in International Business and Finance (2020)

2016

15. 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 in Empirical Economics (2021)
16. 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 in Research in International Business and Finance (2018)
17. Macro News and Exchange Rates in the BRICS
    CESifo Working Paper Series, CESifo View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2016) View citations (1)
    See also Journal Article in Finance Research Letters (2017)
18. Spillovers between food and energy prices and structural breaks
    NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (1)
    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 in International Economics (2017)

2015

19. 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)
20. Macro News and Commodity Returns
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (1)
    Also in CESifo Working Paper Series, CESifo (2015)
    See also Journal Article in International Journal of Finance & Economics (2017)

2014

21. 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 in The European Journal of Finance (2018)
22. 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 in International Review of Financial Analysis (2016)
23. 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 in China Economic Review (2015)

2013

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

2011

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

2010

27. 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 in Manchester School (2013)
28. Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities
    Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (7)
29. Stock Market Integration between three CEECs, Russia and the UK
    CESifo Working Paper Series, CESifo View citations (5)
    See also Journal Article in Review of International Economics (2011)
30. Understanding Homeland Security: Theory and UK Evidence
    EcoMod2010, EcoMod

2009

31. 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 in Emerging Markets Review (2010)
32. 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 IMF Working Papers, International Monetary Fund (2008) View citations (21)
    Working Paper Series, European Central Bank (2009) View citations (35)
    CESifo Working Paper Series, CESifo (2009) View citations (40)
    See also Journal Article in Review of International Economics (2013)

2006

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

2005

34. STOCK MARKET INTEGRATION AND EUROPEAN MONETARY UNION
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
35. 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 in International Journal of Finance & Economics (2005)

2004

36. 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 in Empirical Economics (2008)
37. MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH
    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 (2004)
38. TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS
    International Finance, University Library of Munich, Germany View citations (2)
    See also Journal Article in Journal of Empirical Finance (2005)

2002

39. 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 in Economics Letters (2002)
40. 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)
41. 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 in Journal of Time Series Analysis (2003)

Journal Articles

2023

1. Connectedness between fossil and renewable energy stock indices: The impact of the COP policies
   Economic Modelling, 2023, 123, (C)
2. Small and medium sized European firms and energy saving measures: The role of financing
   Energy Policy, 2023, 179, (C)
3. Sustainable developments, renewable energy, and economic growth in Canada
   Sustainable Development, 2023, 31, (4), 2950-2966
4. The impact of energy, renewable and CO2 emissions efficiency on countries’ productivity
   Energy Economics, 2023, 125, (C)

2022

5. Cross-border portfolio flows and news media coverage
   Journal of International Money and Finance, 2022, 126, (C)
   See also Working Paper (2020)
6. Effect of Media News on Radicalization of Attitudes to Immigration
   Journal of Economics, Race, and Policy, 2022, 5, (4), 318-340 View citations (1)
7. On the heterogeneous effects of tax policy on labor market outcomes
   Southern Economic Journal, 2022, 88, (3), 991-1036
8. Price of a Surprise: The Effects of Election Outcomes on Stock Market Returns and Volatility
   Review of Economics, 2022, 73, (3), 211-221
9. Renewable energy and economic growth: A Markov-switching approach
   Energy, 2022, 244, (PB) View citations (3)
10. The COVID-19 pandemic, policy responses and stock markets in the G20
    International Economics, 2022, 172, (C), 77-90 View citations (2)
    Also in International Economics, 2022, (172), 77-90 (2022) View citations (1)
    See also Working Paper (2021)
11. The economic and welfare state determinants of well-being in Europe
    International Economics, 2022, 171, (C), 49-57

2021

12. Cyber-attacks, spillovers and contagion in the cryptocurrency markets
    Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) View citations (17)
    See also Working Paper (2020)
13. 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 (1)
    See also Working Paper (2016)
14. Financial markets and fiscal discipline in the Eurozone
    Structural Change and Economic Dynamics, 2021, 58, (C), 490-499 View citations (1)
15. Political tension and stock markets in the Arabian Peninsula
    International Journal of Finance & Economics, 2021, 26, (1), 679-683 View citations (2)
    See also Working Paper (2018)

2020

16. Financial Integration in the GCC Region: Market Size Versus National Effects
    Open Economies Review, 2020, 31, (2), 309-316 View citations (1)
    See also Working Paper (2019)
17. Non-linearities, cyber attacks and cryptocurrencies
    Finance Research Letters, 2020, 32, (C) View citations (14)
    See also Working Paper (2019)
18. The effect of a new power cable on energy prices volatility spillovers
    Energy Policy, 2020, 144, (C) View citations (4)
19. The impact of business and political news on the GCC stock markets
    Research in International Business and Finance, 2020, 52, (C) View citations (6)
    See also Working Paper (2018)

2018

20. 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 (2016)
21. 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 (9)
22. Happy PIIGS?
    Journal of Happiness Studies, 2018, 19, (6), 1763-1782
23. 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 (2014)

2017

24. A note on the macroeconomic consequences of ethnic/racial tension
    Economics Letters, 2017, 155, (C), 100-103 View citations (1)
25. International portfolio flows and exchange rate volatility in emerging Asian markets
    Journal of International Money and Finance, 2017, 76, (C), 1-15 View citations (20)
26. Macro News and Commodity Returns
    International Journal of Finance & Economics, 2017, 22, (1), 68-80 View citations (19)
    See also Working Paper (2015)
27. Macro news and exchange rates in the BRICS
    Finance Research Letters, 2017, 21, (C), 140-143 View citations (15)
    See also Working Paper (2016)
28. Portfolio flows and the US dollar–yen exchange rate
    Empirical Economics, 2017, 52, (1), 179-189
29. 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 (51)
    See also Working Paper (2016)

2016

30. Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India
    Revue économique, 2016, 67, (6), 1141-1151
31. 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 (16)
    See also Working Paper (2014)
32. Price regimes in an energy island: Tacit collusion vs. cost and network explanations
    Energy Economics, 2016, 55, (C), 157-172 View citations (15)

2015

33. 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 (43)
34. Fiscal multipliers in good times and bad times
    Journal of Macroeconomics, 2015, 44, (C), 303-311 View citations (29)
    See also Working Paper (2013)
35. Happiness, taxes and social provision: A note
    Economics Letters, 2015, 135, (C), 100-103 View citations (1)
36. Oil price uncertainty and sectoral stock returns in China: A time-varying approach
    China Economic Review, 2015, 34, (C), 311-321 View citations (75)
    See also Working Paper (2014)

2013

37. 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 (2010)
38. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
    Review of International Economics, 2013, 21, (5), 1060-1075 View citations (62)
    See also Working Paper (2009)

2012

39. Linear and Non-linear Causality between CO2 Emissions and Economic Growth
    The Energy Journal, 2012, Volume 33, (Number 3) View citations (23)
40. Stock Market Integration Between Three CEECs
    Journal of Economic Integration, 2012, 27, 115-122 View citations (11)
41. 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

42. 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)
43. Short-term growth effects of fiscal policy revisited: A Markov-switching approach
    Economics Letters, 2011, 110, (3), 278-281 View citations (4)
44. 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 (2010)

2010

45. Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis
    Emerging Markets Review, 2010, 11, (3), 250-260 View citations (89)
    See also Working Paper (2009)

2009

46. Selecting nonlinear time series models using information criteria
    Journal of Time Series Analysis, 2009, 30, (4), 369-394 View citations (17)

2008

47. Evaluating currency crises: the case of the European monetary system
    Empirical Economics, 2008, 35, (1), 11-27 View citations (7)
    See also Working Paper (2004)
48. The price of terror: The effects of terrorism on stock market returns and volatility
    Economics Letters, 2008, 101, (3), 164-167 View citations (125)

2007

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

2006

50. 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 (48)
51. Volatility transmission and financial crises
    Journal of Economics and Finance, 2006, 30, (3), 376-390 View citations (64)

2005

52. Testing for contagion: a conditional correlation analysis
    Journal of Empirical Finance, 2005, 12, (3), 476-489 View citations (160)
    See also Working Paper (2004)
53. 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 (2005)
54. Was the Currency Crisis in Argentina Self-Fulfilling?
    Review of World Economics (Weltwirtschaftliches Archiv), 2005, 141, (2), 357-368 View citations (5)

2003

55. Asset prices and output growth volatility: the effects of financial crises
    Economics Letters, 2003, 79, (1), 69-74 View citations (19)
56. IGARCH models and structural breaks
    Applied Economics Letters, 2003, 10, (12), 765-768 View citations (17)
57. 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 (87)
    See also Working Paper (2002)

2002

58. A test for volatility spillovers
    Economics Letters, 2002, 76, (1), 77-84 View citations (33)
    See also Working Paper (2002)
59. Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (3), 1-16 View citations (20)
60. Testing for Causality-in-Variance: An Application to the East Asian Markets
    International Journal of Finance & Economics, 2002, 7, (3), 235-45 View citations (59)

Chapters

2014

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