Fabio Spagnolo
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Spagnolo |
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Research profile
author of:
- VOLatility Archive for Realized Estimates (VOLARE) (repec:arx:papers:2602.19732)
by Fabrizio Cipollini & Giulia Cruciani & Giampiero M. Gallo & Alessandra Insana & Edoardo Otranto & Fabio Spagnolo - Multivariate Contemporaneous-Threshold Autoregressive Models (repec:aub:autbar:817.10)
by Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo - State-Dependent Threshold STAR Models (repec:aub:autbar:818.10)
by Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo - Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model (repec:bbk:bbkcam:1403)
by Constantino Hevia & Martin Gonzalez-Rozada & Martin Sola & Fabio Spagnolo - On The Determination Of The Number Of Regimes In Markov‐Switching Autoregressive Models (repec:bla:jtsera:v:24:y:2003:i:2:p:237-252)
by Zacharias Psaradakis & Nicola Spagnolo - Selecting nonlinear time series models using information criteria (repec:bla:jtsera:v:30:y:2009:i:4:p:369-394)
by Zacharias Psaradakis & Martin Sola & Fabio Spagnolo & Nicola Spagnolo - Inflation Targeting, Exchange Rate Volatility and International Policy Coordination (repec:bla:manchs:v:70:y:2002:i:4:p:546-569)
by Fernando Alexandre & John Driffill & Fabio Spagnolo - Is the Feldstein–Horioka Puzzle History? (repec:bla:manchs:v:72:y:2004:i:5:p:569-590)
by Jerry Coakley & Ana‐Maria Fuertes & Fabio Spagnolo - State-Dependent Threshold Smooth Transition Autoregressive Models (repec:bla:obuest:v:75:y:2013:i:6:p:835-854)
by Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo - Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates (repec:bpj:sndecm:v:10:y:2006:i:2:n:1)
by Psaradakis Zacharias & Sola Martin & Spagnolo Fabio - The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing (repec:bpj:sndecm:v:13:y:2009:i:1:n:1)
by Driffill John & Kenc Turalay & Sola Martin & Spagnolo Fabio - Contemporaneous-Threshold Smooth Transition GARCH Models (repec:bpj:sndecm:v:15:y:2011:i:2:n:1)
by Dueker Michael J. & Psaradakis Zacharias & Sola Martin & Spagnolo Fabio - A Test for Volatility Spillovers (repec:bru:bruedp:02-04)
by Martin Sola & Fabio Spagnolo & Nicola Spagnolo - A Test for Volatility Spillovers (repec:bru:bruppp:02-04)
by Martin Sola & Fabio Spagnolo & Nicola Spagnolo - Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India (repec:cai:recosp:reco_pr2_0073)
by K. Peren Arin & Fabio Spagnolo & Nicola Spagnolo - Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis (repec:ces:ceswps:_4912)
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Macro News and Bond Yield Spreads in the Euro Area (repec:ces:ceswps:_5008)
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Spillovers between Food and Energy Prices and Structural Breaks (repec:ces:ceswps:_5282)
by Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Macro News and Commodity Returns (repec:ces:ceswps:_5551)
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - International Portfolio Flows and Exchange Rate Volatility for Emerging Markets (repec:ces:ceswps:_5615)
by Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo - Macro News and Exchange Rates in the BRICS (repec:ces:ceswps:_5748)
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Exchange Rates and Macro News in Emerging Markets (repec:ces:ceswps:_5816)
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Political Tension and Stock Markets in the Arabian Peninsula (repec:ces:ceswps:_7341)
by Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - The Impact of Business and Political News on the GCC Stock Markets (repec:ces:ceswps:_7353)
by Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Non-Linearities, Cyber Attacks and Cryptocurrencies (repec:ces:ceswps:_7692)
by Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo - Cross-Border Portfolio Flows and News Media Coverage (repec:ces:ceswps:_8112)
by Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo - Cyber-Attacks, Cryptocurrencies, and Cyber Security (repec:ces:ceswps:_8124)
by Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo - Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets (repec:ces:ceswps:_8324)
by Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo - The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20 (repec:ces:ceswps:_9299)
by Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo - Spillovers between food and energy prices and structural breaks (repec:cii:cepiie:2017-q2-150-1)
by Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - The economic and welfare state determinants of well-being in Europe (repec:cii:cepiie:2022-q3-171-4)
by Mariangela Bonasia & Oreste Napolitano & Fabio Spagnolo & Nicola Spagnolo - The COVID-19 pandemic, policy responses and stock markets in the G20 (repec:cii:cepiie:2022-q3-172-5)
by Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo - On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts (repec:cpr:ceprdp:4165)
by Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio - Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis (repec:diw:diwwpp:dp1399)
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Macro News and Bond Yield Spreads in the Euro Area (repec:diw:diwwpp:dp1413)
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Spillovers between Food and Energy Prices and Structural Breaks (repec:diw:diwwpp:dp1466)
by Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Macro News and Commodity Returns (repec:diw:diwwpp:dp1508)
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - International Portfolio Flows and Exchange Rate Volatility for Emerging Markets (repec:diw:diwwpp:dp1519)
by Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo - Macro News and Exchange Rates in the BRICS (repec:diw:diwwpp:dp1545)
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Exchange Rates and Macro News in Emerging Markets (repec:diw:diwwpp:dp1558)
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - A simple procedure for detecting periodically collapsing rational bubbles (repec:eee:ecolet:v:72:y:2001:i:3:p:317-323)
by Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio - A test for volatility spillovers (repec:eee:ecolet:v:76:y:2002:i:1:p:77-84)
by Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola - Red signals: current account deficits and sustainability (repec:eee:ecolet:v:84:y:2004:i:2:p:217-223)
by Raybaudi, Marzia & Sola, Martin & Spagnolo, Fabio - Predicting Markov volatility switches using monetary policy variables (repec:eee:ecolet:v:95:y:2007:i:1:p:110-116)
by Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola - Contemporaneous threshold autoregressive models: Estimation, testing and forecasting (repec:eee:econom:v:141:y:2007:i:2:p:517-547)
by Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio - Multivariate contemporaneous-threshold autoregressive models (repec:eee:econom:v:160:y:2011:i:2:p:311-325)
by Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio - Renewable energy and economic growth: A Markov-switching approach (repec:eee:energy:v:244:y:2022:i:pb:s0360544221033387)
by Chen, Yiyang & Mamon, Rogemar & Spagnolo, Fabio & Spagnolo, Nicola - Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis (repec:eee:finana:v:45:y:2016:i:c:p:180-188)
by Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola - Macro news and exchange rates in the BRICS (repec:eee:finlet:v:21:y:2017:i:c:p:140-143)
by Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola - Non-linearities, cyber attacks and cryptocurrencies (repec:eee:finlet:v:32:y:2020:i:c:s1544612319309377)
by Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola - Spillovers between food and energy prices and structural breaks (repec:eee:inteco:v:150:y:2017:i:c:p:1-18)
by Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola - The economic and welfare state determinants of well-being in Europe (repec:eee:inteco:v:171:y:2022:i:c:p:49-57)
by Bonasia, Mariangela & Napolitano, Oreste & Spagnolo, Fabio & Spagnolo, Nicola - The COVID-19 pandemic, policy responses and stock markets in the G20 (repec:eee:inteco:v:172:y:2022:i:c:p:77-90)
by Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola - Cyber-attacks, spillovers and contagion in the cryptocurrency markets (repec:eee:intfin:v:74:y:2021:i:c:s1042443121000172)
by Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola - Cross-border portfolio flows and news media coverage (repec:eee:jimfin:v:126:y:2022:i:c:s0261560622000419)
by Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola - International portfolio flows and exchange rate volatility in emerging Asian markets (repec:eee:jimfin:v:76:y:2017:i:c:p:1-15)
by Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola - Stock market returns and climate risk in the U.S (repec:eee:mulfin:v:77:y:2025:i:c:s1042444x24000525)
by Chen, Yiyang & Mamon, Rogemar & Spagnolo, Fabio & Spagnolo, Nicola - Exchange rates and macro news in emerging markets (repec:eee:riibaf:v:46:y:2018:i:c:p:516-527)
by Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola - The impact of business and political news on the GCC stock markets (repec:eee:riibaf:v:52:y:2020:i:c:s0275531918310778)
by Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola - Contemporaneous threshold autoregressive models: estimation, testing and forecasting (repec:fip:fedlwp:2003-024)
by Michael J. Dueker & Martin Sola & Fabio Spagnolo - Multivariate contemporaneous threshold autoregressive models (repec:fip:fedlwp:2007-019)
by Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo - On Markov error-correction models, with an application to stock prices and dividends (repec:jae:japmet:v:19:y:2004:i:1:p:69-88)
by Zacharias Psaradakis & Martin Sola & Fabio Spagnolo - Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables (repec:jae:japmet:v:20:y:2005:i:3:p:423-437)
by Martin Sola & Zacharias Psaradakis & Fabio Spagnolo - Forecast performance of nonlinear error-correction models with multiple regimes (repec:jof:jforec:v:24:y:2005:i:2:p:119-138)
by Zacharias Psaradakis & Fabio Spagnolo - The Feldstein-Horioka puzzle is not as bad as you think (repec:mmf:mmfc03:17)
by Jerry Coakley & Ana-Maria Fuertes & Fabio Spagnolo - Spillovers between food and energy prices and structural breaks (repec:nva:unnvaa:wp02-2016)
by Guglielmo Maria Caporale & Alanoud Al-Maadid & Fabio Spagnolo & Nicola Spagnolo - Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting (repec:prt:dpaper:5_2007)
by Michael Dueker & Martin Sola & Fabio Spagnolo - The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race (repec:sae:joupea:v:37:y:2000:i:6:p:737-750)
by Ron Smith & Martin Sola & Fabio Spagnolo - Portfolio flows and the US dollar–yen exchange rate (repec:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1075-7)
by Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo - An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market (repec:spr:isochp:978-0-387-71163-8_9)
by Emilio Russo & Fabio Spagnolo & Rogemar Mamon - Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach (repec:spr:isochp:978-1-4899-7442-6_5)
by Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo - Macro news and bond yield spreads in the euro area (repec:taf:eurjfi:v:24:y:2018:i:2:p:114-134)
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting (repec:udt:wpecon:2006-04)
by Michael Dueker & Martin Sola & Fabio Spagnolo - On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts (repec:udt:wpecon:2008-04)
by John Driffill & Turalay Kenc & Martin Sola & Fabio Spagnolo - Multivariate Contemporaneous Threshold Autoregressive Models (repec:udt:wpecon:2009-03)
by Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo - Contemporaneous-Threshold Smooth Transition GARCH Models (repec:udt:wpecon:2009-06)
by Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo - Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities (repec:udt:wpecon:2010-12)
by Martín Solá & Zacharias Psaradakis & Fabio Spagnolo & Nicola Spagnolo - Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model (repec:udt:wpecon:2012-07)
by Martin Gonzalez-Rozada & Martin sola & Constantino Hevia & Fabio Spagnolo - Big swings in the data and perceived changes in the risk premia (repec:udt:wpecon:2025_02)
by Martín Sola & Fabio Spagnolo & Francisco Terfi - Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison (repec:udt:wpecon:2025_03)
by Delfina Ricordi & Martín Sola & Fabio Spagnolo & Nicola Spagnolo - Macro News and Commodity Returns (repec:wly:ijfiec:v:22:y:2017:i:1:p:68-80)
by Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Political tension and stock markets in the Arabian Peninsula (repec:wly:ijfiec:v:26:y:2021:i:1:p:679-683)
by Alanoud Al‐Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo - Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables (repec:wly:japmet:v:20:y:2005:i:3:p:423-437)
by Fabio Spagnolo & Zacharias Psaradakis & Martin Sola - Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model (repec:wly:japmet:v:30:y:2015:i:6:p:987-1009)
by Constantino Hevia & Martin Gonzalez‐Rozada & Martin Sola & Fabio Spagnolo - Sustainable developments, renewable energy, and economic growth in Canada (repec:wly:sustdv:v:31:y:2023:i:4:p:2950-2966)
by Yiyang Chen & Rogemar Mamon & Fabio Spagnolo & Nicola Spagnolo