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Dr Fabio Spagnolo

Marie Jahoda 264

Research area(s)

  • Financial econometrics
  • International finance
  • Nonlinear time series

Research Interests

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

Research grants and projects

Research Projects

Project details

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


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)