Access Statistics for Fabio Spagnolo

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Test for Volatility Spillovers 0 0 0 63 0 0 0 178
A Test for Volatility Spillovers 0 0 0 55 0 1 1 159
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 1 1 1 65 1 1 2 288
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 0 22 0 0 2 199
Contemporaneous threshold autoregressive models: estimation, testing and forecasting 0 0 0 467 0 0 1 1,291
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 96 0 0 2 226
Cross-Border Portfolio Flows and News Media Coverage 0 0 0 32 0 2 8 114
Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets 0 0 0 35 0 0 1 87
Cyber-Attacks, Cryptocurrencies, and Cyber Security 1 1 4 89 1 3 13 215
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 0 277 0 0 0 501
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 0 107 0 0 2 240
Exchange Rates and Macro News in Emerging Markets 0 0 0 10 0 0 1 57
Exchange Rates and Macro News in Emerging Markets 0 0 0 43 0 0 1 119
International Portfolio Flows and Exchange Rate Volatility for Emerging Markets 0 0 0 45 0 2 4 86
International Portfolio Flows and Exchange Rate Volatility for Emerging Markets 0 1 1 31 0 1 1 111
Macro News and Bond Yield Spreads in the Euro Area 0 0 0 41 0 1 2 90
Macro News and Bond Yield Spreads in the Euro Area 0 1 2 24 0 1 4 98
Macro News and Commodity Returns 0 0 0 15 0 0 1 68
Macro News and Commodity Returns 0 0 0 25 0 0 1 70
Macro News and Exchange Rates in the BRICS 0 0 0 26 0 0 0 96
Macro News and Exchange Rates in the BRICS 0 0 0 15 1 2 3 70
Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis 0 0 0 25 0 0 0 79
Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis 0 0 0 16 0 0 0 67
Multivariate Contemporaneous Threshold Autoregressive Models 0 0 0 62 0 0 0 177
Multivariate Contemporaneous-Threshold Autoregressive Models 0 0 0 74 0 1 2 192
Multivariate contemporaneous threshold autoregressive models 0 0 0 69 0 0 0 177
Non-Linearities, Cyber Attacks and Cryptocurrencies 0 0 0 38 0 1 3 95
On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 339 0 0 1 748
On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 49 0 0 1 175
Political Tension and Stock Markets in the Arabian Peninsula 0 0 0 15 0 0 0 47
Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities 0 0 2 121 2 2 4 266
Spillovers between Food and Energy Prices and Structural Breaks 0 0 0 14 0 2 5 63
Spillovers between Food and Energy Prices and Structural Breaks 0 0 0 12 0 0 0 63
Spillovers between food and energy prices and structural breaks 0 0 0 31 0 0 2 87
State-Dependent Threshold STAR Models 0 0 0 99 0 0 2 226
The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20 0 0 1 23 1 2 4 42
The Feldstein-Horioka puzzle is not as bad as you think 0 0 0 401 0 3 6 1,025
The Impact of Business and Political News on the GCC Stock Markets 0 0 0 46 0 0 1 95
Total Working Papers 2 4 11 3,017 6 25 81 7,987

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A simple procedure for detecting periodically collapsing rational bubbles 0 0 0 67 0 0 1 163
A test for volatility spillovers 0 0 0 69 0 0 1 171
Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India 0 0 0 18 3 3 5 61
Contemporaneous threshold autoregressive models: Estimation, testing and forecasting 0 0 0 93 0 0 0 255
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 65 0 0 0 227
Cross-border portfolio flows and news media coverage 0 0 0 2 1 1 3 20
Cyber-attacks, spillovers and contagion in the cryptocurrency markets 2 2 2 7 2 3 7 40
Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model 0 0 0 27 0 0 2 96
Exchange rates and macro news in emerging markets 0 0 1 6 0 0 2 21
Forecast performance of nonlinear error-correction models with multiple regimes 0 0 0 90 0 0 0 227
Inflation Targeting, Exchange Rate Volatility and International Policy Coordination 0 0 2 2 0 0 3 5
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates 0 0 1 182 0 1 2 483
International portfolio flows and exchange rate volatility in emerging Asian markets 2 3 3 11 5 11 13 83
Is the Feldstein–Horioka Puzzle History? 0 1 1 205 0 4 6 536
Macro News and Commodity Returns 0 0 0 8 0 1 2 32
Macro news and bond yield spreads in the euro area 0 0 1 8 0 0 1 29
Macro news and exchange rates in the BRICS 0 0 3 18 2 3 8 67
Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis 0 0 0 8 0 0 4 63
Multivariate contemporaneous-threshold autoregressive models 0 0 0 57 0 0 2 235
Non-linearities, cyber attacks and cryptocurrencies 0 0 1 10 0 0 2 66
ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS 0 0 3 271 0 0 5 580
On Markov error-correction models, with an application to stock prices and dividends 0 0 0 340 0 0 2 857
Political tension and stock markets in the Arabian Peninsula 0 1 1 3 0 2 2 20
Portfolio flows and the US dollar–yen exchange rate 0 0 0 12 1 1 4 65
Predicting Markov volatility switches using monetary policy variables 0 0 0 54 0 0 2 114
Red signals: current account deficits and sustainability 1 1 2 79 1 3 7 187
Renewable energy and economic growth: A Markov-switching approach 0 1 1 17 2 4 7 57
Selecting nonlinear time series models using information criteria 0 0 0 89 0 0 0 197
Spillovers between food and energy prices and structural breaks 1 1 4 18 2 2 9 73
Spillovers between food and energy prices and structural breaks 0 0 0 11 0 0 4 41
State-Dependent Threshold Smooth Transition Autoregressive Models 0 0 0 26 0 0 0 93
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 163 0 0 1 523
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 2 0 0 1 5
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing 0 0 0 40 0 1 1 175
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race 0 1 1 12 0 3 3 33
The economic and welfare state determinants of well-being in Europe 0 1 4 9 0 2 10 25
The impact of business and political news on the GCC stock markets 0 0 0 9 0 0 2 56
Total Journal Articles 6 12 31 2,108 19 45 124 5,981

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market 0 0 0 0 0 0 2 5
Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach 0 0 0 0 1 2 4 18
Total Chapters 0 0 0 0 1 2 6 23

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Statistics updated 2025-05-12