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Dr Fabio Spagnolo

Dr Fabio Spagnolo
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Summary

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.

Qualifications:

  • PhD (Birkbeck, University of London)
  • MSc (Birkneck, University of London)
  • Laurea (University of Naples)

Newest selected publications

Caporale, GM., Menla Ali, F., Spagnolo, F. and Spagnolo, N. (2017) 'International portfolio flows and exchange rate volatility in emerging Asian markets'. Journal of International Money and Finance, 76. pp. 1 - 15. ISSN: 0261-5606 Open Access Link

Journal article

Hevia, C., Gonzalez-Rozada, M., Sola, M. and Spagnolo, F. (2014) 'Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model'. Journal of Applied Econometrics, 30 (6). pp. 987 - 1009. ISSN: 0883-7252

Journal article

Dueker, MJ., Psaradakis, Z., Sola, M. and Spagnolo, F. (2012) 'State-dependent threshold smooth transition autoregressive models'. Oxford Bulletin of Economics and Statistics, Early View (6). pp. 835 - 854. ISSN: 0305-9049

Journal article

Dueker, MJ., Psaradakis, Z., Sola, M. and Spagnolo, F. (2011) 'Multivariate contemporaneous-threshold autoregressive models'. Journal of Econometrics, 160 (2). pp. 311 - 325. ISSN: 0304-4076

Journal article

Dueker, MJ., Psaradakis, Z., Sola, M. and Spagnolo, F. (2011) 'Contemporaneous-threshold smooth transition GARCH models'. Studies in Nonlinear Dynamics and Econometrics, 15 (2). pp. 1 - 25. ISSN: 1081-1826 Open Access Link

Journal article
More publications(16)