Nicola Spagnolo
Reader
Economics and Finance
Brunel University
Uxbridge, UB8 3PH
United Kingdom
Biography
Qualifications
- PhD Economics and Finance (Birkbeck College, University of London)
- MSc Economics (Birkbeck College, University of London)
- BSc Economics and Finance (University of Naples)
Personal Biography
Dr Nicola Spagnolo, after receiving his Ph.D. from the University of London in 2001, joined Brunel University where he is currently Reader in Economics and Finance. He is also a Research Associate at the Centre for Applied Macroeconomic Analysis, The Australian National University; Research Fellow at the Centre for Empirical Finance, and at the Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University, London.Research
Research Overview
Research interests include: contagion in financial markets; small sample properties of non linear models; the relationship between credit default swaps and stock markets; the effect of terrorism on macroeconomics and financial markets.
Steering Committee Member, Centre for Empirical Finance (CEF)
Research Fellow, Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA)
Current Projects
Financial crisis and firm performance: A microfoundation of the aggregate implications of financial crisis
The effect of terrorism on macroeconomics and financial markets
Credit default swaps and stock markets
Recently Completed Projects
Knowledge Transfer Partnership
Asset and Liability Management
£100,000
2009 - 2011
Nicola Spagnolo (PI)
Knowledge Transfer Partnership
Financial Risk Analysis
£145,000
2005 - 2009
Nicola Spagnolo (PI)
PhD Supervision
Dave Seerettan: Modelling exchange rates: a non-linear approach; 2007 - 2012
Nurmadia Hassan: Financial markets in Malaysia; 2009 - 2013
Alanoud Ali S A Al-Maadid: Modelling and forecasting financial indicators in Qatar; 2012 - 2016
Teaching
Undergraduate Programmes
Module convenor
- Advanced Topics in Finance (Yr 3)
- Empirical Finance (Yr 3)
Postgraduate Programmes
Module convenor
- Risk Management
Administration
- Research Ethics Coordinator
- Health and Safety Officer
External Activity
- Editorial Board, Review of Economics and Institutions
- Research Associate, Centre for Applied Macroeconomic Analysis (CAMA), The Australian National University
- ESRC Grant Reviewer
- PhD Programme Panel Member, University Parthenope, Italy
- External Examiner: Birkbeck College, University of London, 2011 - ; University of West Indies, Barbados, 2010 - ; Queen Mary and Westfield College, University of London, 2004 - 2008; PhD Programme, University of Birmingham, Massey University, New Zealand, 2005 -
Publications
Publications
Journal Papers
(2013) Beirne, J., Caporale, GM. and Spagnolo, N., Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach, Manchester School
(2012) Barassi, MR. and Spagnolo, N., Linear and Non-linear Causality between CO2 Emissions and Economic Growth, ENERGY JOURNAL 33 (3) : 23- 38
(2012) Caporale, GM. and Spagnolo, N., Stock Market, Economic Growth, and EU Accession: Evidence from three CEECs, International Journal of Monetary Economics and Finance
(2011) Arin, K., Lorz, O., Reich, OFM. and Spagnolo, N., Exploring the dynamics between terrorism and anti-terror spending: Theory and UK-evidence, Journal of Economic Behavior and Organization 77 (2) : 189- 202
(2011) Arin, KP. and Spagnolo, N., Short-term growth effects of fiscal policy revisited: A Markov-switching approach, Economics Letters 110 (3) : 278- 281
(2011) Caporale, GM. and Spagnolo, N., Stock market integration between three CEECs, Russia, and the UK, Review of International Economics 19 (1) : 158- 169
(2010) Roman, D., Mitra, G. and Spagnolo, N., Hidden Markov models for financial optimization problems, IMA Journal of Management Mathematics 21 (2) : 111- 129 Download publication
(2010) Beirne, J., Caporale, GM., Schulze-Ghattas, M. and Spagnolo, N., Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis, Emerging Markets Review 11 (3) : 250- 260
(2009) Seeratten, D. and Spagnolo, N., Central bank intervention and foreign exchange markets, Applied Financial Economics 19 (17) : 1417- 1432
(2009) Beirne, J., Caporale, GM. and Spagnolo, N., Market, interest rate and exchange rate risk effects on financial stock returns: a GARCH-M approach, Quantitative and Qualitative Analysis in Social Sciences 3 (2) : 44- 68
(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
(2008) Cipollini, A., Mouratidis, K. and Spagnolo, N., Evaluating currency crises: the case of the European monetary system, Empirical Economics 35 (1) : 11- 27
(2008) Arin, KP., Ciferri, D. and Spagnolo, N., The price of terror: The effects of terrorism on stock market returns and volatility, Economics Letters 101 (3) : 164- 167
(2007) Sola, M., Spagnolo, F. and Spagnolo, N., Predicting Markov volatility switches using monetary policy variables, Economics Letters 95 (1) : 110- 116
(2006) Psaradakis, Z. and Spagnolo, N., Joint determination of the state dimension and autoregressive order for models with Markov regime switching, Journal of Time Series Analysis 27 (5) : 753- 766
(2006) Caporale, GM., Pittis, N. and Spagnolo, N., Volatility transmission and financial crises, Journal of Economics and Finance 30 (3) : 376- 390
(2005) Caporale, GM., Cerrato, M. and Spagnolo, N., Measuring half-lives: using a non-parametric bootstrap approach, Applied Financial Economics Letters 1 (1) : 1- 4
(2005) Caporale, GM., Cipollini, A. and Spagnolo, N., Testing for contagion: a conditional correlation analysis, Journal of Empirical Finance 12 (3) : 476- 489
(2005) Arestis, P., Caporale, GM., Cipollini, A. and Spagnolo, N., Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis, International Journal of Finance and Economics 10 (4) : 359- 367
(2005) Boinet, V., Napolitano, O. and Spagnolo, N., Was the currency crisis in Argentina self-fulfilling?, Review of World Economics 141 (2) : 357- 368
(2004) Caporale, GM. and Spagnolo, N., Modelling East Asian exchange rates: A Markov-switching approach, Applied Financial Economics 14 (4) : 233- 242
(2003) Caporale, GM. and Spagnolo, N., Asset prices and output growth volatility: the effects of financial crises, Economics Letters 79 (1) : 69- 74
(2003) Caporale, GM., Pittis, N. and Spagnolo, N., IGARCH models and structural breaks, Applied Economics Letters 10 (12) : 765- 768
(2003) Psaradakis, Z. and Spagnolo, N., On the determination of number of regimes in Markov-switching autoregressive models, Journal of Time Series Analysis 24 (2) : 237- 252
(2002) Sola, M., Spagnolo, F. and Spagnolo, N., A test for volatility spillovers, Economics Letters 76 (1) : 77- 84
(2002) Psaradakis, Z. and Spagnolo, N., Power properties of nonlinearity tests for time series with Markov regimes, Studies in Nonlinear Dynamics and Econometrics 6 (3) : 2
(2002) Caporale, GM., Pittis, N. and Spagnolo, N., Testing for causality-in-variance: an application to the East Asian markets, International Journal of Finance and Economics 7 (3) : 235- 245
(Accepted) Barassi, M. and Spagnolo, N., CO2 Emissions and Economic Growth, The Energy Journal
(Accepted) Caporale, GM. and Spagnolo, N., Stock Market Integration in Central and Eastern Europe, Journal of Economic Integration
Book Chapters
(2011) Beirne, J., Caporale, GM., Schulze-Ghattas, M. and Spagnolo, N., Financial Spillovers and Contagion from Mature to Emerging Stock Markets. In: Kolb, RW. ed. Financial Contagion. Wiley
(2000) Caporale, GM., Pittis, N. and Spagnolo, N., Feedbacks between stock prices and exchange rates in the East Asian markets. In: Caporale, GM., Pittis, N. and Spagnolo, N. eds. Advances in International Economics and Finance. Kluwer Academic Publishers -
