Fabio Spagnolo
Selected Publications Multivariate Contemporaneous-Threshold Autoregressive Models,
with M Dueker, Z Psaradakis and M Sola, 2011, Journal of Econometrics, forthcoming.
Contemporaneous-Threshold Smooth Transition GARCH Models,
with M Dueker, Z Psaradakis and M Sola, 2011, Studies of Nonlinear Dynamics and Econometrics, forthcoming.
Selecting Nonlinear Time Series Models using Information Criteria,
with Z Psaradakis, M Sola and N Spagnolo, 2009, Journal of Time Series Analysis, 30, 369-394.
The Effect of Prametrizations of Markov-Switching Models on Bond Pricing,
with J Driffill, T Kenc and M Sola, 2009, Studies of Nonlinear Dynamics and Econometrics, 313, 1-22.
Contemporaneous Threshold Autoregressive Models: Estimation, Forecasting and Rational Expectations Applications,
with M Dueker and M Sola, 2007, Journal of Econometrics, 141, 517-547.
Predicting Markov Volatility Switches Using Monetary Policy Variables,
with M Sola and N Spagnolo, 2007, Economics Letters, 95, 110-116.
An Empirical Investigation of the Unbiased Forward Exchange Rate Hypothesis in a Regime Switching Market,
with R Mamon and E Russo, 2007, Springer's International Series, in Hidden Markov Models in Finance.
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates,
with Z Psaradakis and M Sola, 2006, Studies of Nonlinear Dynamics and Econometrics, 10, 1-29.
Arrow Prize for Senior Economists
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables,
with Z Psaradakis and M Sola, 2005, Journal of Applied Econometrics, 20, 423-437.
Forecast Performance of Nonlinear Error-Correction Models with Multiple Regimes,
with Z Psaradakis, 2005, Journal of Forecasting, 24, 119-138.
Treasury Management Models with Currency Exposure,
with G Mitra, C Lucas and K Volosov, 2005, Computational Optimization and Applications, 32, 179-207.
On Markov Error-Correction Models with an Application to Stock Prices and Dividends,
with Z Psaradakis and M Sola, 2004, Journal of Applied Econometrics, 19, 69-88.
Red Signals: Current Account Deficits and Sustainability,
with M Raybaudi and M Sola, 2004, Economics Letters, 84, 217- 223.
Is the Feldstein-Horioka Puzzle History?,
with J Coakley and AM Fuertes, 2004, The Manchester School, 72, 569-590.
A Test for Volatility Spillovers,
with M Sola and N Spagnolo, 2002, Economics Letters, 76, 77-84.
A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles,
with Z Psaradakis and M Sola, 2001, Economics Letters, 72, 317-323.
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race,
with R Smith and M Sola, 2000, Journal of Peace Research, 37, 737-750.
Grants and Awards
Arrow Prize for Senior Economists 2006
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 (£8,000) and Universita’ La Sapienza (£12,000). | ||||||||||||||||||||||