Fabio Spagnolo
Reader in Economics and Finance
Economics and Finance
Brunel University
Uxbridge, UB8 3PH
United Kingdom
Biography
Qualifications
- PhD (Birkbeck, University of London)
- MSc (Birkneck, University of London)
- Laurea (University of Naples)
Personal Biography
I obtained my PhD from Birkbeck, University of London in 2001, where I also undertook my Post Doctoral Fellowship, funded by the ESRC Programme. In 2002 I joined the Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University. In 2004 I was appointed Senior Lecturer in the Economics and Finance Department, where I am currently Reader in Economics and Finance.Research
Research Overview
My work combines contributions to econometric theory with applications that shed light on policy-relevant issues. My research focuses on a number of fields and includes: i) the study of properties of nonlinear time series models; ii) the development of a new class of probabilistic threshold models; iii) the development of methodologies for testing for financial contagion; iv) the analysis of the relationship between stock prices and bubbles; v) the analysis of the term structure of interest rates; vi) testing for the unbiased forward exchange rate hypothesis; vii) the analysis of debt sustainability/saving-investment; viii) forecasting nonlinear time series.
Research Leader, Centre for the Analysis of Risk and Optimisation Modelling
Steering Committee Member, Centre for Empirical Finance
Current Projects
Smooth transition autoregressive models with state-dependent threshold
Testing trading rules predictability
Contemporaneous threshold autoregressive models: estimation, forecasting and rational expectations applications
Some potentially misleading effects of the use of time varying transition
Probabilities in Markov switching models as leading indicators
Recently Completed Projects
Knowledge Transfer Partnerships Grant
Asset and Liability Management
£100,000
2009 - 2011
(PI)
Knowledge Transfer Partnerships Grant
Financial Risk Analysis
£145,000
2006 - 2009
(PI)
PhD Supervision
Tippawan Tanonklin: An empirical examination of stock prices, spot-forward exchange rates and interest rates in the Asian markets; 2009 - 2012
Teaching
Undergraduate Programmes
Module convenor
- Financial Theory and Corporate Policy (Yr 3)
Postgraduate Programmes
Module convenor
- Advanced Financial Theory
Module contributor
- Advanced Financial Theory and Corporate Policy
Administration
- Research Ethics Coordinator
- Health and Safety Officer
External Activity
- External Examiner Undergraduate Programmes (Birkbeck, University of London)
- ESRC Grant Reviewer
Publications
Publications
Journal Papers
(2012) Dueker, MJ., Psaradakis, Z., Sola, M. and Spagnolo, F., State-Dependent Threshold Smooth Transition Autoregressive Models, Oxford Bulletin of Economics and Statistics
(2011) Dueker, MJ., Psaradakis, Z., Sola, M. and Spagnolo, F., Contemporaneous-Threshold Smooth Transition GARCH Models, STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS 15 (2) : -
(2011) Dueker, MJ., Psaradakis, Z., Sola, M. and Spagnolo, F., Multivariate contemporaneous-threshold autoregressive models, Journal of Econometrics 160 (2) : 311- 325
(Accepted) Dueker, MJ., Psaradakis, Z., Sola, M. and Spagnolo, F., Multivariate contemporaneous threshold autoregressive models (Revised and resubmitted), Journal of Econometrics UFAE and IAE Working Papers from Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) and Federal Reserve Bank of St Louis
(2009) Psaradakis, Z., Sola, M., Spagnolo, F. and Spagnolo, N., Selecting nonlinear time series models using information criteria, Journal of Time Series Analysis 30 (4) : 369- 394
(2009) Driffill, J., Kenc, T., Sola, M. and Spagnolo, F., The effects of different parameterizations of Markov-switching in a CIR model of bond pricing, Studies in Nonlinear Dynamics and Econometrics 13 (1) : 1
(2007) Sola, M., Spagnolo, F. and Spagnolo, N., Predicting Markov volatility switches using monetary policy variables, Economics Letters 95 (1) : 110- 116
(2007) Dueker, MJ., Sola, M. and Spagnolo, F., Contemporaneous threshold autoregressive models: estimation, testing and forecasting, Journal of Econometrics 141 (2) : 517- 547
(2006) Psaradakis, Z., Sola, M. and Spagnolo, F., Instrumental-variables estimation in Markov switching models with endogenous explanatory variables: an application to the term structure of interest rates, Studies in Nonlinear Dynamics and Econometrics 10 (2) : 1
(2005) Psaradakis, Z. and Spagnolo, F., Forecast performance of nonlinear error-correction models with multiple regimes, Journal of Forecasting 24 (2) : 119- 138
(2005) Volosov, K., Mitra, G., Spagnolo, F. and Lucas, C., Treasury management model with foreign exchange exposure, Computational Optimization and Applications 32 (1-2) : 179- 207 Download publication
(2005) Spagnolo, F., Psaradakis, Z. and Sola, M., Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables, Journal of Applied Econometrics 20 (3) : 423- 437
(2004) Coakley, J., Fuertes, AM. and Spagnolo, F., Is the Feldstein-Horioka puzzle history?, The Manchester School 72 (5) : 569- 590
(2004) Raybaudi, M., Sola, M. and Spagnolo, F., Red signals: current account deficits and sustainability, Economics Letters 84 (2) : 217- 223
(2004) Psaradakis, Z., Sola, M. and Spagnolo, F., On Markov error-correction models, with an application to stock prices and dividends, Journal of Applied Econometrics 19 (1) : 69- 88
(2002) Sola, M., Spagnolo, F. and Spagnolo, N., A test for volatility spillovers, Economics Letters 76 (1) : 77- 84
