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 1 1 1 179
A Test for Volatility Spillovers 0 0 0 55 1 1 2 160
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 2 3 5 203
Contemporaneous threshold autoregressive models: estimation, testing and forecasting 0 0 0 467 0 2 2 1,293
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 96 2 2 4 230
Cross-Border Portfolio Flows and News Media Coverage 0 0 0 32 1 1 6 117
Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets 0 0 0 35 2 2 3 90
Cyber-Attacks, Cryptocurrencies, and Cyber Security 0 0 2 89 0 1 7 217
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 0 277 2 3 5 506
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 1 108 2 5 7 247
Exchange Rates and Macro News in Emerging Markets 0 0 0 10 0 1 2 59
Exchange Rates and Macro News in Emerging Markets 1 1 1 44 2 4 7 125
International Portfolio Flows and Exchange Rate Volatility for Emerging Markets 0 1 1 46 1 6 12 96
International Portfolio Flows and Exchange Rate Volatility for Emerging Markets 0 0 1 31 2 2 3 113
Macro News and Bond Yield Spreads in the Euro Area 0 0 0 41 2 4 6 95
Macro News and Bond Yield Spreads in the Euro Area 1 1 2 25 2 2 7 102
Macro News and Commodity Returns 0 1 2 27 1 3 9 78
Macro News and Commodity Returns 0 0 0 15 0 2 3 70
Macro News and Exchange Rates in the BRICS 0 0 0 26 1 1 1 97
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 1 1 3 82
Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis 0 0 1 17 0 1 4 71
Multivariate Contemporaneous Threshold Autoregressive Models 0 0 0 62 0 1 1 178
Multivariate Contemporaneous-Threshold Autoregressive Models 0 0 0 74 2 4 6 197
Multivariate contemporaneous threshold autoregressive models 0 0 0 69 1 2 3 180
Non-Linearities, Cyber Attacks and Cryptocurrencies 0 0 0 38 1 3 5 99
On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 339 1 1 2 750
On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 49 2 3 5 180
Political Tension and Stock Markets in the Arabian Peninsula 0 0 0 15 2 3 6 53
Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities 0 0 1 122 2 2 7 271
Spillovers between Food and Energy Prices and Structural Breaks 0 0 0 12 2 3 3 66
Spillovers between Food and Energy Prices and Structural Breaks 0 0 0 14 1 2 6 66
Spillovers between food and energy prices and structural breaks 0 0 0 31 2 2 3 89
State-Dependent Threshold STAR Models 0 0 0 99 2 2 3 228
The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20 0 0 0 23 2 4 7 47
The Feldstein-Horioka puzzle is not as bad as you think 0 0 0 401 1 2 7 1,027
The Impact of Business and Political News on the GCC Stock Markets 0 0 0 46 1 2 4 99
Total Working Papers 2 4 13 3,025 47 84 171 8,118

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 1 1 2 165
A test for volatility spillovers 0 0 0 69 2 2 3 173
Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India 0 0 1 19 1 1 6 64
Contemporaneous threshold autoregressive models: Estimation, testing and forecasting 0 0 0 93 1 1 2 257
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 65 4 6 7 234
Cross-border portfolio flows and news media coverage 0 0 2 4 1 3 6 25
Cyber-attacks, spillovers and contagion in the cryptocurrency markets 0 0 2 7 1 1 7 44
Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model 0 0 0 27 6 9 9 105
Exchange rates and macro news in emerging markets 0 1 1 7 3 6 7 28
Forecast performance of nonlinear error-correction models with multiple regimes 0 0 0 90 1 4 4 231
Inflation Targeting, Exchange Rate Volatility and International Policy Coordination 0 0 2 2 0 0 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 1 3 7 15 2 7 27 98
Is the Feldstein–Horioka Puzzle History? 0 0 1 205 1 3 11 542
Macro News and Commodity Returns 0 1 1 9 2 4 6 37
Macro news and bond yield spreads in the euro area 0 1 2 9 2 5 6 34
Macro news and exchange rates in the BRICS 0 0 1 18 0 1 6 68
Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis 0 0 0 8 1 3 3 66
Multivariate contemporaneous-threshold autoregressive models 1 1 1 58 2 3 3 238
Non-linearities, cyber attacks and cryptocurrencies 0 0 0 10 1 1 2 68
ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS 0 0 2 271 1 5 11 588
On Markov error-correction models, with an application to stock prices and dividends 0 0 0 340 3 6 9 866
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 0 1 3 67
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 1 2 5 189
Renewable energy and economic growth: A Markov-switching approach 0 1 3 19 0 5 13 65
Selecting nonlinear time series models using information criteria 1 1 2 91 1 2 3 200
Spillovers between food and energy prices and structural breaks 0 0 3 18 4 4 10 79
Spillovers between food and energy prices and structural breaks 0 0 0 11 1 1 2 42
State-Dependent Threshold Smooth Transition Autoregressive Models 0 0 1 27 2 2 5 98
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 163 6 7 7 530
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 2 1 2 3 8
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing 0 0 0 40 3 5 7 181
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race 0 0 1 12 1 1 4 34
The economic and welfare state determinants of well-being in Europe 0 0 2 10 3 6 10 32
The impact of business and political news on the GCC stock markets 0 0 1 10 0 0 3 58
Total Journal Articles 3 9 38 2,126 59 111 222 6,138

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 2 6
Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach 0 0 0 0 0 0 2 18
Total Chapters 0 0 0 0 0 1 4 24

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Statistics updated 2025-12-06