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Dr Fabio Spagnolo

Dr Fabio Spagnolo
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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

Psaradakis, Z., Sola, M., Spagnolo, F. and Spagnolo, N. (2009) 'Selecting nonlinear time series models using information criteria'. Journal of Time Series Analysis, 30 (4). pp. 369 - 394. ISSN: 0143-9782

Journal article

Driffill, J., Kenc, T., Sola, M. and Spagnolo, F. (2009) 'The effects of different parameterizations of Markov-switching in a CIR model of bond pricing'. Studies in Nonlinear Dynamics and Econometrics, 13 (1). pp. 1 - 24. ISSN: 1558-3708

Journal article

Dueker, MJ., Sola, M. and Spagnolo, F. (2007) 'Contemporaneous threshold autoregressive models: estimation, testing and forecasting'. Journal of Econometrics, 141 (2). pp. 517 - 547. ISSN: 0304-4076

Journal article

Sola, M., Spagnolo, F. and Spagnolo, N. (2007) 'Predicting Markov volatility switches using monetary policy variables'. Economics Letters, 95 (1). pp. 110 - 116. ISSN: 0165-1765

Journal article

Psaradakis, Z., Sola, M. and Spagnolo, F. (2006) '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). pp. 1 - 31. ISSN: 1558-3708

Journal article

Spagnolo, F., Psaradakis, Z. and Sola, M. (2005) 'Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables'. Journal of Applied Econometrics, 20 (3). pp. 423 - 437. ISSN: 0883-7252

Journal article

Psaradakis, Z. and Spagnolo, F. (2005) 'Forecast performance of nonlinear error-correction models with multiple regimes'. Journal of Forecasting, 24 (2). pp. 119 - 138. ISSN: 0277-6693

Journal article

Volosov, K., Mitra, G., Spagnolo, F. and Lucas, C. (2005) 'Treasury management model with foreign exchange exposure'. Computational Optimization and Applications, 32 (1-2). pp. 179 - 207. ISSN: 0926-6003 Open Access Link

Journal article

Psaradakis, Z., Sola, M. and Spagnolo, F. (2004) 'On Markov error-correction models, with an application to stock prices and dividends'. Journal of Applied Econometrics, 19 (1). pp. 69 - 88. ISSN: 0883-7252

Journal article

Raybaudi, M., Sola, M. and Spagnolo, F. (2004) 'Red signals: current account deficits and sustainability'. Economics Letters, 84 (2). pp. 217 - 223. ISSN: 0165-1765

Journal article

Sola, M., Spagnolo, F. and Spagnolo, N. (2002) 'A test for volatility spillovers'. Economics Letters, 76 (1). pp. 77 - 84. ISSN: 0165-1765

Journal article