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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

Spagnolo, N., Arin, KP. and Koyuncu, M. (2017) 'A Note on the Macroeconomic Consequences of Ethnic/Racial Tension'. Economics Letters, 155. pp. 100 - 103. ISSN: 0165-1765 Open Access Link

Journal article

Spagnolo, N., Spagnolo, F. and Arin, P. (2016) 'Brutality or Frequency? An Empirical Investigation of the Effects of Terrorism on Economic Growth in India'. Revue Economique, 67 (6). pp. 1141 - 1151. ISSN: 1950-6694

Journal article

Caporale, GM., Spagnolo, F. and Spagnolo, N. (2016) 'Macro News and Commodity Returns'. International Journal of Finance and Economics, 22 (1). pp. 68 - 80. ISSN: 1099-1158 Open Access Link

Journal article

Amaldass, NI., Lucas, C. and Mladenovic, N. (2016) 'A heuristic hybrid framework for vector job scheduling'. Yugoslav Journal of Operations Research, 27 (1). pp. 31 - 45. ISSN: 0354-0243 Open Access Link

Journal article

Al-Maadid, A., Spagnolo, F. and Spagnolo, N. (2016) 'Stock Prices and Crude Oil Shocks: The Case of GCC Countries', inHandbook of Frontier Markets: Evidence from Middle East North Africa and International Comparative Studies. Elsevier. pp. 33 - 47. ISBN 13: 9780128092002.

Book chapter

Maasar, MA., Roman, D. and Date, P. (2016) 'Portfolio optimisation using risky assets with options as derivative insurance'. OpenAccess Series in Informatics. pp. 9.1 - 9.17. ISSN: 2190-6807 Open Access Link

Conference paper

Grishina, N., Lucas, CA. and Date, P. (2016) 'Prospect theory-based portfolio optimization: an empirical study and analysis using intelligent algorithms'. Quantitative Finance, 17 (3). pp. 353 - 367. ISSN: 1469-7688 Open Access Link

Journal article

Seerattan, D. and Spagnolo, N. (2016) 'Liquidity dynamics and Central Bank policy intervention in select Caribbean foreign exchange markets', inFinancial Deepening and Post-Crisis Development in Emerging Markets: Current Perils and Future Dawns. Palgrave Macmillan US. pp. 149 - 167. ISBN 13: 9781137522450.

Book chapter

Menla Ali, F., Spagnolo, F. and Spagnolo, N. (2016) 'Portfolio Flows and the US Dollar-Yen Exchange Rate'. Empirical Economics: a quarterly journal of the Institute for Advanced Studies, Vienna, 52 (1). pp. 179 - 189. ISSN: 1435-8921 Open Access Link

Journal article

Caporale, GM., Spagnolo, F. and Spagnolo, N. (2016) 'Macro news and stock returns in the euro area: a VAR-GARCH-in-mean analysis'. International Review of Financial Analysis, 45. pp. 180 - 188. ISSN: 1057-5219 Open Access Link

Journal article

Canepa, A. and Zanetti Chini, E. (2016) 'Dynamic Asymmetries in House Price Cycles: A Generalized Smooth Transition Model'. Journal of Empirical Finance, 37. pp. 91 - 103. ISSN: 0927-5398 Open Access Link

Journal article

Bonasia, M., Canale, RR., Liotti, G. and Spagnolo, N. (2016) 'Trust in institutions and economic indicators in the eurozone: The role of the crisis'. Engineering Economics, 27 (1). pp. 4 - 12. ISSN: 1392-2785 Open Access Link

Journal article

Spagnolo, N. and Di Sapio, A. (2016) 'Price regimes in an energy island: Tacit collusion vs. cost and network explanations'. Energy Economics, 55. pp. 157 - 172. ISSN: 1873-6181 Open Access Link

Journal article

Canepa, A. (2015) 'A Note on Bartlett Correction Factor for Tests on Cointegrating Relations'. Statistics and Probability Letters, 110. pp. 296 - 304. ISSN: 0167-7152 Open Access Link

Journal article

Spagnolo, N., Bonasia, M., Albanese, M. and Napolitano, O. (2015) 'Happiness, Taxes and Social Provision a Note'. Economics Letters, 135. pp. 100 - 103. ISSN: 1873-7374 Open Access Link

Journal article

Caporale, GM., Menla Ali, F. and Spagnolo, N. (2015) 'Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach'. Journal of International Money and Finance, 54. pp. 70 - 92. ISSN: 0261-5606 Open Access Link

Journal article

Hussin, SAS., Mitra, G. and Roman, D. (2015) 'An asset and liability management (ALM) model using integrated chance constraints'.INTERNATIONAL CONFERENCE ON QUANTITATIVE SCIENCES AND ITS APPLICATIONS (ICOQSIA 2014): Proceedings of the 3rd International Conference on Quantitative Sciences and Its Applications. Kedah, MALAYSIA. 17 - 14 August. AIP Publishing LLC. pp. 558 - 565. ISSN: 0094-243X Open Access Link

Conference paper

Caporale, GM., Menla Ali, F. and Spagnolo, N. (2015) 'Oil price uncertainty and sectoral stock returns in China: A time-varying approach'. China Economic Review, 34. pp. 311 - 321. ISSN: 1043-951X Open Access Link

Journal article

Spagnolo, N., Koray, F. and Arin, K. (2015) 'Fiscal Multipliers in Good Times and Bad Times'. Journal of Macroeconomics, 44. pp. 303 - 311. ISSN: 1873-152X Open Access Link

Journal article

Moscone, F., Tosetti, E. and Canepa, A. (2014) 'Real estate market and financial stability in US metropolitan areas: A dynamic model with spatial effects'. Regional Science and Urban Economics, 49. pp. 129 - 146. ISSN: 0166-0462 Open Access Link

Journal article

Date, P., Ponomareva, K. and Roman, D. (2014) 'An algorithm for moment-matching scenario generation with application to financial portfolio optimization'. European Journal of Operational Research, 240 (3). pp. 678 - 687. ISSN: 0377-2217 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

Menla Ali, F., Spagnolo, F. and Spagnolo, N. (2014) 'Exchange rates and net portfolio flows: A Markov-switching approach', in Mamon, RS. and Elliott, RJ. (eds.) Hidden Markov models in finance: Further developments and applications, volume II. Springer US. pp. 117 - 132. ISBN 13: 978-1-4899-7441-9.

Book chapter

Canepa, A. and Ibnrubbian, A. (2014) 'Does faith move stock markets? Evidence from Saudi Arabia'. The Quarterly Review of Economics and Finance, 54 (4). pp. 538 - 550. ISSN: 1062-9769 Open Access Link

Journal article

Ali, FM., Spagnolo, F. and Spagnolo, N. (2014) 'Exchange rates and net portfolio flows: A markov-switching approach', inInternational Series in Operations Research and Management Science. Springer US. , 209. pp. 117 - 132. ISBN 13: 9781489974419.

Book chapter

Caporale, GM., Beirne, J., Schulze-Ghattas, M. and Spagnolo, N. (2013) 'Volatility spillovers and contagion from mature to emerging stock markets'. Wiley.

Scholarly Edition

Roman, D., Mitra, G. and Zverovich, V. (2013) 'Enhanced indexation based on second-order stochastic dominance'. European Journal of Operational Research, 228 (1). pp. 273 - 281. ISSN: 0377-2217 Open Access Link

Journal article

Woodside-Oriakhi, M., Lucas, C. and Beasley, JE. (2013) 'Portfolio rebalancing with an investment horizon and transaction costs'. Omega (United Kingdom), 41 (2). pp. 406 - 420. ISSN: 0305-0483

Journal article

Beirne, J., Caporale, GM. and Spagnolo, N. (2013) 'Liquidity risk, credit risk and the overnight Interest rate spread: A stochastic volatility modelling approach'. Manchester School, 81 (6). pp. 925 - 940. ISSN: 1463-6786

Journal article

Beirne, J., Caporale, GM. and Spagnolo, N. (2013) 'LIquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach'. Wiley.

Scholarly Edition

Caporale, GM., Cerrato, M. and Spagnolo, N. (Accepted) 'MEASURING HALF-LIVES USING A NON-PARAMETRIC BOOTSTRAP APPROACH'.

Scholarly Edition

Dueker, M., Sola, M. and Spagnolo, F. (Accepted) 'Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting'.

Scholarly Edition

Dueker, M., Psaradakis, Z., Sola, M. and Spagnolo, F. (Accepted) 'Multivariate Contemporaneous Threshold Autoregressive Models'.

Scholarly Edition

Beirne, J., Caporale, GM., Schulze-Ghattas, M. and Spagnolo, N. (Accepted) 'Volatility spillovers and contagion from mature to emerging stock markets'.

Scholarly Edition

Psaradakis, Z. and Spagnolo, N. (Accepted) 'On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models'.

Scholarly Edition

Sola, M., Spagnolo, F. and Spagnolo, N. (Accepted) 'A Test for Volatility Spillovers'.

Scholarly Edition

Boinet, V., Napolitano, O. and Spagnolo, N. (Accepted) 'Are currency crises self-fulfilling? the case of Argentina'.

Scholarly Edition

Driffill, J., Kenc, T., Sola, M. and Spagnolo, F. (Accepted) 'On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts'.

Scholarly Edition

Coakley, J., Fuertes, A-M. and Spagnolo, F. (Accepted) 'The Feldstein-Horioka puzzle is not as bad as you think'.

Scholarly Edition

Caporale, GM. and Spagnolo, N. (2012) 'Stock market integration in Central and Eastern Europe'. Journal of Economic Integration, 27 (1). pp. 115 - 122. ISSN: 1225-651X

Journal article

Zverovich, V., Fábián, CI., Ellison, EFD. and Mitra, G. (2012) 'A computational study of a solver system for processing two-stage stochastic LPs with enhanced Benders decomposition'. Mathematical Programming Computation, 4 (3). pp. 211 - 238. ISSN: 1867-2949

Journal article

Caporale, GM. and Spagnolo, N. (2012) 'Stock market, economic growth, and EU accession: Evidence from three CEECs'. International Journal of Monetary Economics and Finance, 5 (2). pp. 183 - 191. ISSN: 1752-0479

Journal article

Canepa, A. (2012) 'Robust Bartlett adjustment for hypotheses testing on cointegrating vectors: A bootstrap approach'. Economics and Finance Working Paper, Brunel University.Open Access Link

Journal article

Erlwein, C., Mitra, G. and Roman, D. (2012) 'HMM based scenario generation for an investment optimisation problem'. Annals of Operations Research, 193 (1). pp. 173 - 192. ISSN: 0254-5330 Open Access Link

Journal article

Woodside-Oriakhi, M., Lucas, C. and Beasley, JE. (2012) 'Portfolio rebalancing with an investment horizon and transaction costs'. Omega, 41 (2). pp. 406 - 420. ISSN: 0305-0483

Journal article

Barassi, MR. and Spagnolo, N. (2012) 'Linear and non-linear causality between CO2 emissions and economic growth'. Energy Journal, 33 (3). pp. 23 - 38. ISSN: 0195-6574

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

Barassi, M. and Spagnolo, N. (2012) 'CO2 Emissions and Economic Growth'. The Energy Journal.

Journal article

Maria Caporale, G. and Spagnolo, N. (2012) 'Stock Market Integration Between Three CEECs'. Journal of Economic Integration, 27. pp. 115 - 122.

Journal article
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