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Fabio Spagnolo

Name: Dr Fabio Spagnolo
Job Title: Reader
Email: fabio.spagnolo@brunel.ac.uk
Office: MJ 264
Phone: 65637
Direct Line: +44 1895 265637
Fax: 01895 269770


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).


 

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