Nicola Spagnolo
Education PhD, Birkbeck College, University of London Teaching EC3604 International Money and Finance (Spring Term) Applied Macroeconomics, Empirical Finance, Time Series Econometrics
Affiliation Centre for Empirical Finance, CEF, Brunel University Editorial Board Review of Economics and Institutions, REI Fiscal Multipliers in Good Times and Bad Times,
with K. P. Arin and F. Koray, 2015, Journal of Macroeconomics, forthcoming.
Exchange Rate Uncertainty and International Portfolio Flows,
with G. M. Caporale and F. Menla Ali, 2015, Journal of International Money and Finance, forthcoming.
Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach,
with G. M. Caporale and F. Menla Ali, 2015, China Economic Review, forthcoming.
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets,
with J. Beirne, G. M. Caporale and M. Schulze-Ghattas, 2013, Review of International Economics, 21, 5, 1060–1075.
Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Model,
with J. Beirne and G.M. Caporale, 2013, The Manchester School, 81, 6, 925-940.
CO2 Emissions and Economic Growth,
with M.R. Barassi, 2012, The Energy Journal, 33, 3, 23-38.
Stock Market Integration in Central and Eastern Europe,
with G.M. Caporale, 2012, Journal of Economic Integration, 27, 1, 115-122.
Stock Market, Economic Growth, and EU Accession: Evidence from three CEECs,
with G.M. Caporale, 2012, International Journal of Monetary Economics and Finance, 5, 2, 183-191.
The Short-Term Growth Effects of Fiscal Policy Revisited: a Markov Switching Approach,
with K. P. Arin, 2011, Economics Letters, 110, 3, 278-281.
Exploring the Dynamics Between Terrorism and Anti-Terror Spending: Theory and UK-Evidence,
with K. P. Arin, O. Lorz and O. M. Reich, 2011, Journal of Economic Behavior & Organization, 77, 189-202.
Stock Market Integration between three CEECs, Russia and the UK,
with G.M. Caporale, 2011, Review of International Economics, 19, 1, 158-169.
Hidden Markov Models for Financial Optimisation Problems,
with G. Mitra and D. Roman, 2010, IMA Journal of Management Maths, 21, 111-129.
Global and Regional Spillovers in Emerging Equity Markets,
with J. Beirne, G.M. Caporale and M. Schulze-Ghattas, 2010, Emerging Markets Review, 11, 250-260.
Central Bank Intervention and Exchange Rates,
with D. Seerattan, 2009, Applied Financial Economics, 19, 17, 1417-1432.
Stock Market, Interest Rate and Exchange Rate Risk Effects on Financial Stock Returns:
A GARCH-M Modelling Approach, with J. Beirne and G.M. Caporale, 2009,
Quantitative and Qualitative Analysis in Social Sciences, 3, 2, 44-68.
Selecting Nonlinear Time Series Models Using Information Criteria,
with Z. Psaradakis, M. Sola and F. Spagnolo, 2009,
Journal of Time Series Analysis, 30, 4, 369-394.
Volatility Spillovers and Contagion from Mature to Emerging Stock Markets,
with J. Beirne, G.M. Caporale and M. Schulze-Ghattas, 2009, IMF WP08-286
and ECB WP1113.
The Price of Terror: Terrorism and the Effect on Stock Market Returns and Volatility,
with K. P. Arin and D. Ciferri, 2008, Economics Letters, 101, 3, 164-167.
Predicting Markov Switches Volatility with Monetary Variables,
with M. Sola, and F. Spagnolo, 2007, Economics Letters, 95, 1, 110-116.
Evaluating Currency Crises: the Case of the European Monetary System,
with A. Cipollini and K. Mouratidis, 2007, Empirical Economics, 41, 2, 15-22.
Volatility Transmission and Financial Crises,
with G.M. Caporale and N. Pittis, 2006, Journal of Economics and Finance, Fall Issue, 30, 3, 376-390.
Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Switching, 2006,
with Z. Psaradakis, Journal of Time Series Analysis, 24, 2, 237-252.
Testing for Financial Contagion between Developed and Emerging Markets,
with P. Arestis, G.M Caporale and A. Cipollini, 2005, International Journal of Finance and Economics, 10, 4, 359-367.
Testing for Contagion: a Conditional Correlation Analysis,
with G.M. Caporale and A. Cipollini, 2005, Journal of Empirical Finance, 12, 476-489.
Purchasing Power Parity and Half-lives: a Bootstrapping Analysis. A comment,
with G.M. Caporale and M. Cerrato, 2005, Applied Financial Economics Letters , 1, 1-14.
Are Currency Crises Self-fulfilling? The Case of Argentina, with V. Boinet and O. Napolitano, 2005,
Review of World Economics, 141 2, 357-368.
On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models,
with Z. Psaradakis, Journal of Time Series Analysis, 2003, 24, 2, 237-252.
Asset Prices and Output Growth Volatility: the Effects of Financial Crises,
with G.M. Caporale, 2003, Economics Letters, 79, 1, 69-74.
Modeling East Asian Exchange Rates: a Markov-switching Approach,
with G.M. Caporale, 2004, Applied Financial Economics, 14, 233-242.
IGARCH Models and Structural Breaks, with G. M. Caporale and N. Pittis, 2003,
Applied Economic Letters, 10-12, 765-768.
A Test for Volatility Spillovers, with M. Sola and F. Spagnolo, 2002,
Economics Letters, 76, 77-84.
Power Properties of Non-linearity Tests for Time Series with Markov Regime, with Z. Psaradakis,
2002, Studies of Nonlinear Dynamics and Econometrics, 6, 3.
Testing for Causality-in-variance: an Application to the East Asian Markets,
with G.M. Caporale and N. Pittis, 2002, International Journal of Finance and Economics, 7, 3, 235-245.
Contributions to Volumes Exchange rates and net portfolio flows: a Markov switching Approach,
with F. M. Ali and F. Spagnolo, 2014, in "Hidden Markov Models in Finance: Volume II (Further Developments and Applications)", forthcoming,
Springer's International Series in Operations Research and Management Science.
Financial Spillovers and Contagion from Mature to Emerging Stock Markets,
with J. Beirne, G.M. Caporale and M. Schulze-Ghattas, 2011, in "Financial Contagion: The Viral Threat to the Wealth of Nations", 163–169,
John Wiley & Sons.
Testing for Global and Regional Spillovers in Emerging Stock Markets: A GARCH-in-mean approach,
with J. Beirne, G.M. Caporale and M. Schulze-Ghattas, 2011, FIDUCIE
, Journal of the Financial Study Association, Amsterdam.
Feedbacks between Stock Prices and Exchange Rates in the East Asian Markets,
with Caporale, G.M. and Pittis, N., 2003, in "Advances in International Economics and Finance", Kluwer Academic Publishers
Working Papers/Under Review/Revise and Resubmit Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis,
with G.M. Caporale and F. Spagnolo, 2015.
Media and Immigration,
with M. Agovino and M.R. Carillo, 2015.
Macro News and Bond Yield Spreads in the Euro Area,
with G.M. Caporale and F. Spagnolo, 2014.
Some Potentially Misleading Effects of the Use of Time Varying Transition Probabilities in Markov Switching Models as Leading Indicators,
with Z. Psaradakis, M. Sola and F. Spagnolo, 2013.
Brutality or Frequency? An Empirical Investigation of the Effects of Terrorism on Economic Growth in India,
with K. P. Arin and F. Spagnolo, 2014.
Happiness, Taxes and Public Spending in the Euro Area,
with M. Albanese, M. Bonasia and O. Napolitano, 2014.
Portfolio Flows and the US dollar-yen Exchange Rate Puzzle: a Note,
with F. Menla Ali and F. Spagnolo, 2014.
Happy PIIGS?,
with M. Bonasia and O. Napolitano, 2014.
Credit Default Swap and Stock Markets,
with M. Constantini, 2013.
Inflation and Financial Volatility Trade-off,
with A. Kontonikas and A. Montagnoli, 2010.
Recent Funding Knowledge Transfer Partnerships Grant, On Asset and Liability Management, 2009-2011, £ 100,000. Knowledge Transfer Partnerships Grant, Financial Risk Analysis, 2005-2009, £ 143,000. Brunel University, Stock Market Volatility: the Effect of Financial Crises, 2002-2004, £ 8,000. PhD Supervision Financial Crises, Contagion, Non Linear Time Series
External Examiner Graduate Diploma in Finance/Graduate Diploma in Financial Engineering Programmes, Birkbeck College, University of London, 2009 -MSc Financial and Business Economics, University of the West Indies, Barbados, 2010 - BSc and MSc in Economics, Queen Mary and Westfield College, University of London, 2004 - 08 PhD in Economics, University of Glasgow, UK, 2015 PhD in Economics, University of Birmingham, UK, 2006, 2009 PhD in Economics, Massey University, NZ, 2008 PhD in Finance, Metropolitan University, London, UK, 2013 PhD in Finance, City University, London, UK, 2013
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