Details about Fabio Spagnolo

Access statistics for papers by Fabio Spagnolo.

Last updated 2022-11-23. Update your information in the RePEc Author Service.

Short-id: psp45

Working Papers

2021

1. The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20
   CESifo Working Paper Series, CESifo

2020

2. 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 (4) (2022)
3. 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)
4. Cyber-Attacks, Cryptocurrencies, and Cyber Security
   CESifo Working Paper Series, CESifo

2019

5. 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 (19) (2020)

2018

6. 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 (5) (2021)
7. 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 (9) (2020)

2016

8. Exchange Rates and Macro News in Emerging Markets
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (2)
   Also in CESifo Working Paper Series, CESifo (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)
9. 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)
10. 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 CESifo Working Paper Series, CESifo (2015) View citations (1)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2015) View citations (1)
    See also Journal Article Spillovers between food and energy prices and structural breaks, International Economics, CEPII research center (2017) View citations (57) (2017)

2015

11. 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)
12. 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

13. Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model
    BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics View citations (1)
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2012) View citations (1)
    See also Journal Article Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (15) (2015)
14. Macro News and Bond Yield Spreads in the Euro Area
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (8)
    Also in CESifo Working Paper Series, CESifo (2014) View citations (5)
    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 (16) (2018)
15. 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)

2010

16. Multivariate Contemporaneous-Threshold Autoregressive Models
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (7)
    Department of Economics Working Papers, Universidad Torcuato Di Tella (2009)
    See also Journal Article Multivariate contemporaneous-threshold autoregressive models, Journal of Econometrics, Elsevier (2011) View citations (14) (2011)
17. Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities
    Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (7)
18. State-Dependent Threshold STAR Models
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) View citations (1)

2009

19. Contemporaneous-Threshold Smooth Transition GARCH Models
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    See also Journal Article Contemporaneous-Threshold Smooth Transition GARCH Models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2011) View citations (1) (2011)

2008

20. On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (2)

2007

21. Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting
    Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy View citations (26)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2006) View citations (4)
    Department of Economics Working Papers, Universidad Torcuato Di Tella (2006)
    See also Journal Article Contemporaneous threshold autoregressive models: Estimation, testing and forecasting, Journal of Econometrics, Elsevier (2007) View citations (29) (2007)

2004

22. The Feldstein-Horioka puzzle is not as bad as you think
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group View citations (9)

2002

23. A Test for Volatility Spillovers
    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)
    See also Journal Article A test for volatility spillovers, Economics Letters, Elsevier (2002) View citations (34) (2002)

Journal Articles

2022

1. Cross-border portfolio flows and news media coverage
   Journal of International Money and Finance, 2022, 126, (C) View citations (4)
   See also Working Paper Cross-Border Portfolio Flows and News Media Coverage, CESifo Working Paper Series (2020) (2020)
2. Renewable energy and economic growth: A Markov-switching approach
   Energy, 2022, 244, (PB) View citations (8)
3. The economic and welfare state determinants of well-being in Europe
   International Economics, 2022, 171, (C), 49-57

2021

4. 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)
5. Political tension and stock markets in the Arabian Peninsula
   International Journal of Finance & Economics, 2021, 26, (1), 679-683 View citations (5)
   See also Working Paper Political Tension and Stock Markets in the Arabian Peninsula, CESifo Working Paper Series (2018) View citations (2) (2018)

2020

6. Non-linearities, cyber attacks and cryptocurrencies
   Finance Research Letters, 2020, 32, (C) View citations (19)
   See also Working Paper Non-Linearities, Cyber Attacks and Cryptocurrencies, CESifo Working Paper Series (2019) View citations (5) (2019)
7. The impact of business and political news on the GCC stock markets
   Research in International Business and Finance, 2020, 52, (C) View citations (9)
   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

8. 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, Discussion Papers of DIW Berlin (2016) View citations (2) (2016)
9. Macro news and bond yield spreads in the euro area
   The European Journal of Finance, 2018, 24, (2), 114-134 View citations (16)
   See also Working Paper Macro News and Bond Yield Spreads in the Euro Area, Discussion Papers of DIW Berlin (2014) View citations (8) (2014)

2017

10. International portfolio flows and exchange rate volatility in emerging Asian markets
    Journal of International Money and Finance, 2017, 76, (C), 1-15 View citations (25)
11. 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)
12. 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)
13. Portfolio flows and the US dollar–yen exchange rate
    Empirical Economics, 2017, 52, (1), 179-189
14. Spillovers between food and energy prices and structural breaks
    International Economics, 2017, (150), 1-18 View citations (57)
    Also in International Economics, 2017, 150, (C), 1-18 (2017) View citations (53)
    See also Working Paper Spillovers between food and energy prices and structural breaks, NCID Working Papers (2016) View citations (2) (2016)

2016

15. Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India
    Revue économique, 2016, 67, (6), 1141-1151
16. 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)

2015

17. Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model
    Journal of Applied Econometrics, 2015, 30, (6), 987-1009 View citations (15)
    See also Working Paper Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model, BCAM Working Papers (2014) View citations (1) (2014)

2013

18. State-Dependent Threshold Smooth Transition Autoregressive Models
    Oxford Bulletin of Economics and Statistics, 2013, 75, (6), 835-854 View citations (8)

2011

19. Contemporaneous-Threshold Smooth Transition GARCH Models
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (2), 25 View citations (1)
    See also Working Paper Contemporaneous-Threshold Smooth Transition GARCH Models, Department of Economics Working Papers (2009) (2009)
20. Multivariate contemporaneous-threshold autoregressive models
    Journal of Econometrics, 2011, 160, (2), 311-325 View citations (14)
    See also Working Paper Multivariate Contemporaneous-Threshold Autoregressive Models, UFAE and IAE Working Papers (2010) (2010)

2009

21. Selecting nonlinear time series models using information criteria
    Journal of Time Series Analysis, 2009, 30, (4), 369-394 View citations (18)
22. The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (1), 24 View citations (3)

2007

23. Contemporaneous threshold autoregressive models: Estimation, testing and forecasting
    Journal of Econometrics, 2007, 141, (2), 517-547 View citations (29)
    See also Working Paper Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting, Discussion Papers (2007) View citations (26) (2007)
24. Predicting Markov volatility switches using monetary policy variables
    Economics Letters, 2007, 95, (1), 110-116 View citations (7)

2006

25. Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (2), 31 View citations (9)

2005

26. Forecast performance of nonlinear error-correction models with multiple regimes
    Journal of Forecasting, 2005, 24, (2), 119-138 View citations (4)
27. Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
    Journal of Applied Econometrics, 2005, 20, (3), 423-437 View citations (28)
    Also in Journal of Applied Econometrics, 2005, 20, (3), 423-437 (2005) View citations (3)

2004

28. Is the Feldstein–Horioka Puzzle History?
    Manchester School, 2004, 72, (5), 569-590 View citations (80)
29. On Markov error-correction models, with an application to stock prices and dividends
    Journal of Applied Econometrics, 2004, 19, (1), 69-88 View citations (105)
30. Red signals: current account deficits and sustainability
    Economics Letters, 2004, 84, (2), 217-223 View citations (33)

2003

31. 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)

2002

32. A test for volatility spillovers
    Economics Letters, 2002, 76, (1), 77-84 View citations (34)
    See also Working Paper A Test for Volatility Spillovers, Public Policy Discussion Papers (2002) (2002)
33. Inflation Targeting, Exchange Rate Volatility and International Policy Coordination
    Manchester School, 2002, 70, (4), 546-569 View citations (3)

2001

34. A simple procedure for detecting periodically collapsing rational bubbles
    Economics Letters, 2001, 72, (3), 317-323 View citations (16)

2000

35. The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race
    Journal of Peace Research, 2000, 37, (6), 737-750 View citations (17)

Chapters

2014

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

2007

2. An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market
   Springer View citations (1)