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 55 0 1 2 160
A Test for Volatility Spillovers 0 0 0 63 4 5 5 183
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 1 65 1 1 3 289
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 0 22 2 5 6 205
Contemporaneous threshold autoregressive models: estimation, testing and forecasting 0 0 0 467 1 2 3 1,294
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 96 1 3 5 231
Cross-Border Portfolio Flows and News Media Coverage 0 0 0 32 1 2 6 118
Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets 0 0 0 35 5 7 8 95
Cyber-Attacks, Cryptocurrencies, and Cyber Security 0 0 2 89 2 2 9 219
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 1 108 0 4 7 247
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 0 277 0 3 5 506
Exchange Rates and Macro News in Emerging Markets 0 1 1 44 2 5 9 127
Exchange Rates and Macro News in Emerging Markets 0 0 0 10 1 2 3 60
International Portfolio Flows and Exchange Rate Volatility for Emerging Markets 1 2 2 47 2 8 14 98
International Portfolio Flows and Exchange Rate Volatility for Emerging Markets 0 0 1 31 6 8 9 119
Macro News and Bond Yield Spreads in the Euro Area 0 0 0 41 0 4 6 95
Macro News and Bond Yield Spreads in the Euro Area 0 1 2 25 2 4 9 104
Macro News and Commodity Returns 0 0 0 15 4 6 7 74
Macro News and Commodity Returns 0 0 2 27 1 3 10 79
Macro News and Exchange Rates in the BRICS 0 0 0 26 1 2 2 98
Macro News and Exchange Rates in the BRICS 0 0 0 15 0 0 2 70
Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis 0 0 0 25 0 1 3 82
Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis 0 0 1 17 2 3 6 73
Multivariate Contemporaneous Threshold Autoregressive Models 0 0 0 62 2 3 3 180
Multivariate Contemporaneous-Threshold Autoregressive Models 0 0 0 74 1 5 7 198
Multivariate contemporaneous threshold autoregressive models 0 0 0 69 1 2 4 181
Non-Linearities, Cyber Attacks and Cryptocurrencies 0 0 0 38 2 5 7 101
On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 339 0 1 2 750
On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 49 0 2 5 180
Political Tension and Stock Markets in the Arabian Peninsula 0 0 0 15 1 4 7 54
Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities 0 0 1 122 0 2 7 271
Spillovers between Food and Energy Prices and Structural Breaks 0 0 0 14 1 3 7 67
Spillovers between Food and Energy Prices and Structural Breaks 0 0 0 12 1 4 4 67
Spillovers between food and energy prices and structural breaks 0 0 0 31 2 4 5 91
State-Dependent Threshold STAR Models 0 0 0 99 0 2 3 228
The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20 0 0 0 23 2 6 9 49
The Feldstein-Horioka puzzle is not as bad as you think 0 0 0 401 4 6 11 1,031
The Impact of Business and Political News on the GCC Stock Markets 0 0 0 46 2 4 6 101
Total Working Papers 1 4 14 3,026 57 134 226 8,175

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 1 2 165
A test for volatility spillovers 0 0 0 69 2 4 4 175
Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India 0 0 1 19 2 3 8 66
Contemporaneous threshold autoregressive models: Estimation, testing and forecasting 0 0 0 93 1 2 3 258
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 65 4 10 11 238
Cross-border portfolio flows and news media coverage 0 0 2 4 0 3 6 25
Cyber-attacks, spillovers and contagion in the cryptocurrency markets 0 0 2 7 0 1 7 44
Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model 0 0 0 27 2 9 11 107
Exchange rates and macro news in emerging markets 0 0 1 7 1 6 8 29
Forecast performance of nonlinear error-correction models with multiple regimes 0 0 0 90 0 4 4 231
Inflation Targeting, Exchange Rate Volatility and International Policy Coordination 0 0 0 2 1 1 3 7
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates 0 0 0 182 0 0 1 483
International portfolio flows and exchange rate volatility in emerging Asian markets 0 2 7 15 3 8 29 101
Is the Feldstein–Horioka Puzzle History? 0 0 1 205 2 4 12 544
Macro News and Commodity Returns 0 0 1 9 1 4 7 38
Macro news and bond yield spreads in the euro area 0 1 2 9 1 6 7 35
Macro news and exchange rates in the BRICS 0 0 1 18 1 2 6 69
Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis 0 0 0 8 1 4 4 67
Multivariate contemporaneous-threshold autoregressive models 0 1 1 58 1 4 4 239
Non-linearities, cyber attacks and cryptocurrencies 0 0 0 10 3 4 5 71
ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS 0 0 1 271 0 4 9 588
On Markov error-correction models, with an application to stock prices and dividends 0 0 0 340 5 11 14 871
Political tension and stock markets in the Arabian Peninsula 0 0 1 3 0 1 3 21
Portfolio flows and the US dollar–yen exchange rate 0 0 0 12 4 5 7 71
Predicting Markov volatility switches using monetary policy variables 0 0 0 54 1 1 2 115
Red signals: current account deficits and sustainability 0 0 1 79 2 4 7 191
Renewable energy and economic growth: A Markov-switching approach 0 1 3 19 2 6 14 67
Selecting nonlinear time series models using information criteria 0 1 2 91 0 2 3 200
Spillovers between food and energy prices and structural breaks 0 0 2 18 4 8 13 83
Spillovers between food and energy prices and structural breaks 0 0 0 11 2 3 4 44
State-Dependent Threshold Smooth Transition Autoregressive Models 0 0 1 27 1 3 6 99
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 2 1 3 4 9
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 163 1 8 8 531
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing 0 0 0 40 1 6 8 182
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race 0 0 1 12 0 1 4 34
The economic and welfare state determinants of well-being in Europe 0 0 2 10 2 8 12 34
The impact of business and political news on the GCC stock markets 0 0 1 10 2 2 5 60
Total Journal Articles 0 6 34 2,126 54 156 265 6,192

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 1 1 6
Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach 0 0 0 0 2 2 4 20
Total Chapters 0 0 0 0 2 3 5 26

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Statistics updated 2026-01-09