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Dr Nicola Spagnolo

Dr Nicola Spagnolo
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Caporale, GM., Spagnolo, F. and Spagnolo, N. (2018) 'Exchange rates and macro news in emerging markets'. Research in International Business and Finance, 46. pp. 516 - 527. ISSN: 0275-5319 Open Access Link

Journal article

Caporale, GM., Spagnolo, F. and Spagnolo, N. (2018) 'Macro News and Bond Yield Spreads in the Euro Area'. European Journal of Finance, 24 (2). pp. 114 - 134. ISSN: 1351-847X Open Access Link

Journal article

Spagnolo, N., Barassi, M. and Zhao, Y. (2017) 'Fractional Integration Versus Structural Change: Testing the Convergence of CO2 Emissions'. Environmental and Resource Economics, 71 (4). pp. 923 - 968. ISSN: 0924-6460 Open Access Link

Journal article

Spagnolo, N., Bonasia, M. and Napolitano, O. (2017) 'Happy PIIGS?'. Journal of Happiness Studies, 19 (6). pp. 1763 - 1782. ISSN: 1389-4978 Open Access Link

Journal article

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

Caporale, GM., Spagnolo, F. and Spagnolo, N. (2017) 'Macro News and Exchange Rates in the BRICS'. Finance Research Letters, 21. pp. 140 - 143. ISSN: 1544-6123 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

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

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

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

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

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

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

Scholarly Edition

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

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

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

Arin, KP. and Spagnolo, N. (2011) 'Short-term growth effects of fiscal policy revisited: A Markov-switching approach'. Economics Letters, 110 (3). pp. 278 - 281. ISSN: 0165-1765

Journal article

Beirne, J., Caporale, GM., Schulze-Ghattas, M. and Spagnolo, N. (2011) 'Financial Spillovers and Contagion from Mature to Emerging Stock Markets', in Kolb, RW. (ed.) Financial Contagion: The Viral Threat to the Wealth of Nations. Wiley. pp. 163 - 169. ISBN 10: 0470922389. ISBN 13: 9780470922385.

Book chapter

Beirne, J., Caporale, GM., Schulze-Ghattas, M. and Spagnolo, N. (2011) 'Financial spillovers and contagion from mature to emerging stock markets', in Kolb, RW. (ed.) Financial Contagion. Wiley. ISBN 10: 0470922389. ISBN 13: 9780470922385.

Book chapter

Caporale, GM. and Spagnolo, N. (2011) 'Stock market integration between three CEECs, Russia, and the UK'. Review of International Economics, 19 (1). pp. 158 - 169. ISSN: 0965-7576

Journal article

Arin, KP., Lorz, O., Reich, OFM. and Spagnolo, N. (2011) 'Exploring the dynamics between terrorism and anti-terror spending: Theory and UK-evidence'. Journal of Economic Behavior and Organization, 77 (2). pp. 189 - 202. ISSN: 0167-2681

Journal article

Beirne, J., Caporale, GM., Schulze-Ghattas, M. and Spagnolo, N. (2010) 'Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis'. Emerging Markets Review, 11 (3). pp. 250 - 260. ISSN: 1566-0141

Journal article

Roman, D., Mitra, G. and Spagnolo, N. (2010) 'Hidden Markov models for financial optimization problems'. IMA Journal of Management Mathematics, 21 (2). pp. 111 - 129. ISSN: 1471-678X Open Access Link

Journal article

Caporale, GM. and Spagnolo, N. (2010) 'Stock Market Integration between three CEECs, Russia and the UK'.

Scholarly Edition

Beirne, J., Caporale, GM., Schulze-Ghattas, M. and Spagnolo, N. (2010) 'Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis'. Emerging Markets Review, 11 (3). pp. 250 - 260. ISSN: 1566-0141

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

Arin, KP., Ciferri, D. and Spagnolo, N. (2008) 'The price of terror: The effects of terrorism on stock market returns and volatility'. Economics Letters, 101 (3). pp. 164 - 167. ISSN: 0165-1765

Journal article

Cipollini, A., Mouratidis, K. and Spagnolo, N. (2008) 'Evaluating currency crises: the case of the European monetary system'. Empirical Economics, 35 (1). pp. 11 - 27. ISSN: 0377-7332

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. and Spagnolo, N. (2006) 'Joint determination of the state dimension and autoregressive order for models with Markov regime switching'. Journal of Time Series Analysis, 27 (5). pp. 753 - 766. ISSN: 0143-9782

Journal article

Caporale, GM., Pittis, N. and Spagnolo, N. (2006) 'Volatility transmission and financial crises'. Journal of Economics and Finance, 30 (3). pp. 376 - 390. ISSN: 1055-0925

Journal article

Caporale, GM., Cipollini, A. and Spagnolo, N. (2005) 'Testing for contagion: a conditional correlation analysis'. Journal of Empirical Finance, 12 (3). pp. 476 - 489. ISSN: 0927-5398

Journal article

Boinet, V., Napolitano, O. and Spagnolo, N. (2005) 'Was the currency crisis in Argentina self-fulfilling?'. Review of World Economics, 141 (2). pp. 357 - 368. ISSN: 1610-2878

Journal article

Arestis, P., Caporale, GM., Cipollini, A. and Spagnolo, N. (2005) 'Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis'. International Journal of Finance and Economics, 10 (4). pp. 359 - 367. ISSN: 1076-9307

Journal article

Psaradakis, Z. and Spagnolo, N. (2003) 'On the determination of number of regimes in Markov-switching autoregressive models'. Journal of Time Series Analysis, 24 (2). pp. 237 - 252. ISSN: 1467-9892

Journal article

Caporale, GM. and Spagnolo, N. (2003) 'Asset prices and output growth volatility: the effects of financial crises'. Economics Letters, 79 (1). pp. 69 - 74. ISSN: 0165-1765

Journal article

Caporale, GM., Pittis, N. and Spagnolo, N. (2002) 'Testing for causality-in-variance: an application to the East Asian markets'. International Journal of Finance and Economics, 7 (3). pp. 235 - 245. ISSN: 1076-9307

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

Psaradakis, Z. and Spagnolo, N. (2002) 'Power properties of nonlinearity tests for time series with Markov regimes'. Studies in Nonlinear Dynamics and Econometrics, 6 (3). pp. 1 - 16. ISSN: 1558-3708

Journal article

Caporale, GM., Pittis, N. and Spagnolo, N. (2000) '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.

Book chapter