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 0 1 159
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 1 65 0 0 2 288
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 0 22 0 1 2 200
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 1 1 2 228
Cross-Border Portfolio Flows and News Media Coverage 0 0 0 32 1 2 6 116
Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets 0 0 0 35 1 1 2 88
Cyber-Attacks, Cryptocurrencies, and Cyber Security 0 0 3 89 0 0 10 216
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 1 108 1 1 2 242
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 0 277 1 1 2 503
Exchange Rates and Macro News in Emerging Markets 0 0 0 10 0 1 2 58
Exchange Rates and Macro News in Emerging Markets 0 0 0 43 1 2 3 121
International Portfolio Flows and Exchange Rate Volatility for Emerging Markets 0 0 1 31 0 0 1 111
International Portfolio Flows and Exchange Rate Volatility for Emerging Markets 0 0 0 45 3 4 8 90
Macro News and Bond Yield Spreads in the Euro Area 0 0 1 24 0 2 5 100
Macro News and Bond Yield Spreads in the Euro Area 0 0 0 41 0 1 2 91
Macro News and Commodity Returns 0 1 1 26 0 5 6 75
Macro News and Commodity Returns 0 0 0 15 0 0 1 68
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 0 0 3 70
Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis 0 0 0 25 1 2 2 81
Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis 1 1 1 17 3 3 3 70
Multivariate Contemporaneous Threshold Autoregressive Models 0 0 0 62 0 0 0 177
Multivariate Contemporaneous-Threshold Autoregressive Models 0 0 0 74 1 1 2 193
Multivariate contemporaneous threshold autoregressive models 0 0 0 69 0 1 1 178
Non-Linearities, Cyber Attacks and Cryptocurrencies 0 0 0 38 0 1 2 96
On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 339 1 1 2 749
On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 49 2 2 3 177
Political Tension and Stock Markets in the Arabian Peninsula 0 0 0 15 2 2 3 50
Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities 0 1 2 122 1 2 6 269
Spillovers between Food and Energy Prices and Structural Breaks 0 0 0 14 0 1 5 64
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 1 226
The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20 0 0 0 23 0 1 3 43
The Feldstein-Horioka puzzle is not as bad as you think 0 0 0 401 0 0 5 1,025
The Impact of Business and Political News on the GCC Stock Markets 0 0 0 46 1 2 2 97
Total Working Papers 1 3 11 3,021 21 41 103 8,034

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 2 164
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 1 19 0 0 6 63
Contemporaneous threshold autoregressive models: Estimation, testing and forecasting 0 0 0 93 1 1 1 256
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 65 0 1 1 228
Cross-border portfolio flows and news media coverage 0 2 2 4 0 2 3 22
Cyber-attacks, spillovers and contagion in the cryptocurrency markets 0 0 2 7 0 1 8 43
Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model 0 0 0 27 0 0 0 96
Exchange rates and macro news in emerging markets 0 0 0 6 0 1 1 22
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 1 4 6
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 0 4 12 4 6 21 91
Is the Feldstein–Horioka Puzzle History? 0 0 1 205 1 3 9 539
Macro News and Commodity Returns 0 0 0 8 0 1 3 33
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 2 18 0 0 6 67
Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis 0 0 0 8 0 0 1 63
Multivariate contemporaneous-threshold autoregressive models 0 0 0 57 0 0 0 235
Non-linearities, cyber attacks and cryptocurrencies 0 0 1 10 0 1 2 67
ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS 0 0 2 271 1 2 7 583
On Markov error-correction models, with an application to stock prices and dividends 0 0 0 340 0 3 3 860
Political tension and stock markets in the Arabian Peninsula 0 0 1 3 0 0 2 20
Portfolio flows and the US dollar–yen exchange rate 0 0 0 12 0 1 4 66
Predicting Markov volatility switches using monetary policy variables 0 0 0 54 0 0 2 114
Red signals: current account deficits and sustainability 0 0 1 79 0 0 5 187
Renewable energy and economic growth: A Markov-switching approach 0 0 2 18 0 2 9 60
Selecting nonlinear time series models using information criteria 0 1 1 90 0 1 1 198
Spillovers between food and energy prices and structural breaks 0 0 0 11 0 0 2 41
Spillovers between food and energy prices and structural breaks 0 0 4 18 1 2 7 75
State-Dependent Threshold Smooth Transition Autoregressive Models 0 1 1 27 0 2 3 96
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 2 1 1 2 6
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 163 0 0 1 523
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing 0 0 0 40 0 1 2 176
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race 0 0 1 12 0 0 3 33
The economic and welfare state determinants of well-being in Europe 1 1 4 10 1 1 8 26
The impact of business and political news on the GCC stock markets 0 0 1 10 0 0 3 58
Total Journal Articles 1 5 34 2,117 10 35 135 6,027

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 0 0 3 18
Total Chapters 0 0 0 0 0 0 5 23

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Statistics updated 2025-09-05