Nicola Spagnolo : Citation Profile


Are you Nicola Spagnolo?

16

H index

26

i10 index

1041

Citations

RESEARCH PRODUCTION:

47

Articles

45

Papers

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 57
   Journals where Nicola Spagnolo has often published
   Relations with other researchers
   Recent citing documents: 150.    Total self citations: 26 (2.44 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psp160
   Updated: 2021-10-16    RAS profile: 2021-10-09    
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Relations with other researchers


Works with:

Caporale, Guglielmo Maria (25)

Arin, Kerim (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Nicola Spagnolo.

Is cited by:

GUPTA, RANGAN (29)

Sola, Martin (22)

Balcilar, Mehmet (19)

Spagnolo, Fabio (17)

McAleer, Michael (13)

Psaradakis, Zacharias (12)

Kočenda, Evžen (12)

Lütkepohl, Helmut (12)

Wohar, Mark (10)

Caporale, Guglielmo Maria (10)

Panopoulou, Ekaterini (9)

Cites to:

Caporale, Guglielmo Maria (33)

Engle, Robert (24)

Bekaert, Geert (15)

Diebold, Francis (14)

Fratzscher, Marcel (14)

Harvey, Campbell (13)

Hamilton, James (13)

Hansen, Bruce (13)

Kaminsky, Graciela (12)

Rey, Helene (12)

Bollerslev, Tim (12)

Main data


Where Nicola Spagnolo has published?


Journals with more than one article published# docs
Economics Letters7
Journal of Time Series Analysis3
Applied Financial Economics2
Research in International Business and Finance2
Journal of International Money and Finance2
Review of International Economics2
Empirical Economics2
International Journal of Finance & Economics2
Finance Research Letters2

Working Papers Series with more than one paper published# docs
CESifo Working Paper Series / CESifo21
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research13

Recent works citing Nicola Spagnolo (2021 and 2020)


YearTitle of citing document
2020The analysis of COVID-19 impact on the internet and telecommunications service sector through modelling the dependence of shares of Russian companies on the American stock market. (2020). Groznykh, R I ; Voytenkov, V A ; Urazbaeva, A R. In: R-Economy. RePEc:aiy:journl:v:6:y:2020:i:3:p:162-170.

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2020Determining the Interaction of the International Portfolio Flows with Exchange Rate Volatility in Developing Countries. (2020). Altunoz, Utku. In: World Journal of Applied Economics. RePEc:ana:journl:v:6:y:2020:i:1:p:41-54.

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2021The Impacts of Oil Prices, Exchange Rate and COVID-19 Pandemic on BIST Petrochemical Market. (2021). Camoglu, Seval Mutlu. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:1:p:17-33.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17). (2020). de Melo, Andre ; Noronha, George Augusto ; de Carvalho, Osmani Teixeira ; DA SILVA, TARCISO GOUVEIA . In: Working Papers Series. RePEc:bcb:wpaper:536.

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2021Efecto del riesgo de tipo de cambio en la rentabilidad de los bonos soberanos en Colombia. (2021). Ardila-Dueas, Carlos David ; Vargas-Paez, Andrea Carolina. In: Borradores de Economia. RePEc:bdr:borrec:1165.

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2021Green bonds, sustainable development and environmental policy in the European Union carbon market. (2021). Leitão, João ; Santibanezgonzalez, Ernesto ; Ferreira, Joaquim ; Leitao, Joao . In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:4:p:2077-2090.

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2020Competitive Storage, Biofuels and the Corn Price. (2020). Mugera, Harriet Kasidi ; Gilbert, Christopher L. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:71:y:2020:i:2:p:384-411.

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2020Prospect Theory and sentiment-driven fluctuations. (2020). Marchetti, Enrico ; giuli, francesco ; Francesco, Giuli ; Giuseppe, Ciccarone. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:20:y:2020:i:1:p:25:n:10.

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2021Stock Market Volatility and Terrorism: New Evidence from the Markov Switching Model. (2021). Shahzad, Mughal Khurrum ; Hyoung-Goo, Kang ; Tariq, Mohmand Yasir ; Mumtaz, Awan Tahir ; Faheem, Aslam. In: Peace Economics, Peace Science, and Public Policy. RePEc:bpj:pepspp:v:27:y:2021:i:2:p:263-284:n:5.

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2020Uncertainty and Effectiveness of Monetary Policy: A Bayesian Markov Switching-VAR Analysis. (2020). Kamaiah, Bandi ; Nain, Zulquar. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:si:p:237-265.

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2021Selective Attention in Exchange Rate Forecasting. (2021). Kočenda, Evžen ; Kucerova, Zuzana ; Kapounek, Svatopluk. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8901.

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2020Countries of BRICS group on Forex market. (2020). Pasionek, Jolanta. In: Ekonomia i Prawo. RePEc:cpn:umkeip:v:19:y:2020:i:1:p:99-117.

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2020Government Spending Multipliers in (Un)certain Times. (2020). Rieth, Malte ; Klein, Mathias ; Fritsche, Jan Philipp. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1901.

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2020Tax multipliers across the business cycle. (2020). Konietschke, Paul ; Bonam, Dennis. In: DNB Working Papers. RePEc:dnb:dnbwpp:699.

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2020Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries. (2020). Dritsakis, Nikolaos ; Kartsonakis-Mademlis, Dimitrios. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-21.

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2020Oil and Food Prices for a Net Oil Importing-country: How Are Related in Indonesia?. (2020). Rudatin, Ari ; Ruchba, Sarastri M ; Susantun, Indah ; Widarjono, Agus. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-30.

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2021Commodity Prices and the Stock Market in Thailand. (2021). Aumeboonsuke, Vesarach. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-6.

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2021Modelling the Impact of Oil Price on Food Imports: Case of Oman. (2021). Asrul, Abdullah M ; Devesh, Sonal. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-04-15.

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2020Terror attacks and individual investor behavior: Evidence from the 2015–2017 European terror attacks. (2020). Breitmayer, Bastian ; Pelster, Matthias ; Hasso, Tim. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303245.

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2021Volatility connectedness of major cryptocurrencies: The role of investor happiness. (2021). GUPTA, RANGAN ; Gabauer, David ; Tiwari, Aviral Kumar ; Bouri, Elie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000071.

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2020An analysis of Brazilian agricultural commodities using permutation – information theory quantifiers: The influence of food crisis. (2020). Stosic, Tatijana ; Bejan, Lucian ; Antunes, Fernando Henrique. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:139:y:2020:i:c:s0960077920304781.

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2020The fiscal state-dependent effects of capital income tax cuts. (2020). Yang, Shu-Chun S ; Shen, Wenyi ; Fotiou, Alexandra. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920300300.

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2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

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2021An assessment of how COVID-19 changed the global equity market. (2021). Ky, Van ; Ming, Tee Chwee ; Bach, Dinh Hoang ; Nguyen, Dat Thanh. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:480-491.

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2021Convergence in OPEC carbon dioxide emissions: Evidence from new panel stationarity tests with factors and breaks. (2021). Payne, James E ; Nazlioglu, Saban ; Karul, Cagin ; Rayos-Velazquez, Marco ; Lee, Jun Soo. In: Economic Modelling. RePEc:eee:ecmode:v:100:y:2021:i:c:s0264999321000870.

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2020Diversification and optimal hedges for socially responsible investment in Brazil. (2020). Penabad, Maria-Celia ; Lopez-Andion, Carmen ; Iglesias, Ana ; Maside-Sanfiz, Jose Manuel ; Lopez-Penabad, Maria-Celia ; Iglesias-Casal, Ana. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:106-118.

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2021Can home-biased investors diversify interregionally in the long run?. (2021). Ur, Mobeen ; Narayan, Seema. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:167-181.

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2020Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data. (2020). Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal ; Liu, Bing-Yue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830319x.

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2020Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304085.

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2020Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301157.

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2020Incorporating the RMB internationalization effect into its exchange rate volatility forecasting. (2020). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302840.

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2021Regime switches and commonalities of the cryptocurrencies asset class. (2021). Figà-Talamanca, Gianna ; Patacca, Marco ; Focardi, Sergio ; Figa-Talamanca, Gianna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000577.

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2021Guilt through association: Reputational contagion and the Boeing 737-MAX disasters. (2021). Corbet, Shaen ; Larkin, Charles ; Cioroianu, Iulia. In: Economics Letters. RePEc:eee:ecolet:v:198:y:2021:i:c:s0165176520304171.

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2020Environmental convergence and environmental Kuznets curve: A unified empirical framework. (2020). Martino, Roberto ; Nguyen-Van, Phu ; Lawson, Late A. In: Ecological Modelling. RePEc:eee:ecomod:v:437:y:2020:i:c:s0304380020303598.

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2020On the learning patterns and adaptive behavior of terrorist organizations. (2020). Jaspersen, Johannes G ; Montibeller, Gilberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:221-234.

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2021The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns. (2021). Uddin, Gazi ; Cardia, Michel Ferreira ; Rahman, Md Lutfur ; Vallstrom, Daniel ; Makkonen, Adam. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002802.

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2021Eatery, energy, environment and economic system, 1970–2017: Understanding volatility spillover patterns in a global sample. (2021). LE, Thai-Ha ; Vo, Long Hai. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002905.

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2020Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals. (2020). Tiwari, Aviral ; Shahbaz, Muhammad ; Nasreen, Samia ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930324x.

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2020Oil price uncertainty and cash holdings: Evidence from China. (2020). Zhou, Han ; Zhang, Zongyi. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300712.

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2020How do Chinas petrochemical markets react to oil price jumps? A comparative analysis of stocks and commodities. (2020). Zhang, Chuanguo ; Shao, Shuai ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303194.

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2021Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China. (2021). Huo, Rui ; Ahmed, Abdullahi D. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988320300803.

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2021The role of oil price uncertainty shocks on oil-exporting countries. (2021). Rubaszek, Michał ; Śmiech, Sławomir ; Papie, Monika ; Snarska, Magorzata. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988320303686.

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2021The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications. (2021). Kang, Sang Hoon ; Guhathakurta, Kousik ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304011.

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2021The roles of political risk and crude oil in stock market based on quantile cointegration approach: A comparative study in China and US. (2021). Fatemian, Farhad ; You, Wanhai ; Li, Yehua ; Guo, Yawei. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321001031.

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2021Does oil price uncertainty affect corporate leverage? Evidence from China. (2021). Zhao, Yanfei ; Zhang, Zongyi ; Fan, Zhenjun. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001572.

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2021Green capacity investment under subsidy withdrawal risk. (2021). Kort, Peter ; Hagspiel, Verena. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s014098832100164x.

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2021Canadian industry level production and energy prices. (2021). Elder, John. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001857.

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2020The effect of a new power cable on energy prices volatility spillovers. (2020). Spagnolo, Nicola ; Sapio, Alessandro. In: Energy Policy. RePEc:eee:enepol:v:144:y:2020:i:c:s0301421520302354.

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2020Windowed volatility spillover effects among crude oil prices. (2020). Liu, Siyao ; Sun, Qingru ; An, Feng ; Gao, Xiangyun. In: Energy. RePEc:eee:energy:v:200:y:2020:i:c:s0360544220306289.

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2020Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets. (2020). Maqbool, Rashid ; Tang, Yong ; Ashfaq, Saleha. In: Energy. RePEc:eee:energy:v:207:y:2020:i:c:s0360544220311841.

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2020Global financial crisis and rising connectedness in the international commodity markets. (2020). Zhang, Dayong ; Broadstock, David C. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918304587.

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2020Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642.

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2020News sentiment in the cryptocurrency market: An empirical comparison with Forex. (2020). Zhang, S. Sarah ; Hyde, Stuart ; Rognone, Lavinia. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s105752192030106x.

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2021Which time-frequency domain dominates spillover in the Chinese energy stock market?. (2021). Guo, Sui ; An, Haizhong ; Gao, Xiangyun ; Sun, Qingru ; Wang, ZE ; Liu, Xueyong. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302842.

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2021Terrorist attacks and oil prices: Hypothesis and empirical evidence. (2021). Gong, Qiang ; Narayan, Paresh Kumar ; Bach, Dinh Hoang. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000120.

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2021A three-tiered nested analytical approach to financial integration: The case of emerging and frontier equity markets. (2021). Guidi, Francesco ; Cagliesi, Gabriella. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000417.

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2021The impact of geopolitical uncertainty on energy volatility. (2021). Xu, Yang ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000855.

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2021Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?. (2021). Gao, Xinxin ; Hao, Jianyang ; Ma, Feng ; Wang, LU. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921000983.

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2020COVID-19 and finance: Agendas for future research. (2020). Goodell, John W. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320303974.

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2020The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. (2020). lucey, brian ; Corbet, Shaen ; Larkin, Charles. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320304098.

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2020Can the intermediary capital risk predict foreign exchange rates?. (2020). Yin, Libo. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319305367.

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2021Do economic news releases affect tail risk? Evidence from an emerging market. (2021). Siriopoulos, Costas ; Tsagkanos, Athanasios ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s154461232030297x.

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2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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2020Volatility and dynamic currency hedging. (2020). McDonald, Judith Ann ; Min, Hong-Ghi ; Cho, Jae-Beom. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s104244311930321x.

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2020The more the Merrier? The reaction of euro area stock markets to new members. (2020). Hartwell, Christopher ; Celov, Dmitrij ; Grigaliuniene, Zana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:66:y:2020:i:c:s1042443120300792.

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2020Economic uncertainty and bank risk: Evidence from emerging economies. (2020). Jeon, Bang ; Chen, Minghua ; Yao, Yao ; Wu, JI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:68:y:2020:i:c:s1042443120301268.

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2021Perceptions of the threat to national security and the stock market. (2021). Wisniewski, Tomasz Piotr ; Lambe, Brendan J. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:186:y:2021:i:c:p:504-522.

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2020An ill wind? Terrorist attacks and CEO compensation. (2020). Rau, Raghavendra ; Tan, Weiqiang ; Stouraitis, Aris ; Dai, Yunhao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:379-398.

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2021Eye in the sky: Private satellites and government macro data. (2021). Shon, Janghoon ; Panayotov, George ; Mukherjee, Abhiroop. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:1:p:234-254.

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2021Portfolio rebalancing in times of stress. (2021). Kaufmann, Sylvia ; Grisse, Christian ; Fischer, Andreas ; Greminger, Rafael P. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560621000097.

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2020Dynamics of volatility spillover in commodity markets: Linking crude oil to agriculture. (2020). Yahya, Muhammad ; Oglend, Atle ; Dahl, Roy Endre. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:20:y:2020:i:c:s2405851319300765.

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2020Employment and energy uncertainty. (2020). Elder, John. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300062.

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2020The impact of oil price shocks on Tehran Stock Exchange returns: Application of the Markov switching vector autoregressive models. (2020). Rafei, Meysam ; Shahrestani, Parnia. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719302843.

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2020Does foreign portfolio investment strengthen stock-commodity markets connection?. (2020). Soytas, Ugur ; Ordu-Akkaya, Beyza Mina. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719303617.

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2020Analyzing volatility spillovers between oil market and Asian stock markets. (2020). Tiwari, Aviral ; Tingqiu, Cao ; Sarwar, Suleman. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719304957.

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2020Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects. (2020). Ding, Zhihua ; Wu, Jy S ; Tseng, Hui-Kuan ; Liu, Zhenhua. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719308153.

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2020Dynamic volatility spillovers among bulk mineral commodities: A network method. (2020). Jia, Nanfei ; Sun, Qingru ; Liu, Siyao ; An, Haizhong ; Gao, Xiangyun. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719309419.

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2020The effects of geopolitical risks on the stock dynamics of Chinas rare metals: A TVP-VAR analysis. (2020). Chen, Jin-Yu ; Huang, Jian-Bai ; Zhou, Mei-Jing. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420719309183.

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2020Predicting stock returns using crude oil prices: A firm level analysis of Nigerias oil and gas sector. (2020). Adekunle, Wasiu ; Inuolaji, Suraj B ; Odumosu, Monsuru ; Bagudo, Abubakar M. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720301057.

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2021Hedging oil price risk with gold during COVID-19 pandemic. (2021). Vo, Xuan Vinh ; Salisu, Afees ; Lawal, Adedoyin. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309284.

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2021Exploring shock and volatility transmission between oil and Chinese industrial raw materials. (2021). Safarzadeh, Omid ; Kirkulak-Uludag, Berna. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720310023.

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2021How do energy productivity and water resources affect air pollution in Iran? New evidence from a Markov Switching perspective. (2021). Rafei, Meysam ; Ashouri, Mohammad Javad. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420721000039.

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2021On the long-term common movement of resource and commodity prices.A methodological proposal. (2021). Esposti, Roberto. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000271.

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2021The linkage between clean energy stocks and the fluctuations in oil price and financial stress in the US and Europe? Evidence from QARDL approach. (2021). Shahbaz, Muhammad ; Mishra, Shekhar ; Sharif, Arshian ; Razzaq, Asif ; Aman, Ameenullah ; He, Xiaojuan. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000386.

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2021The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?. (2021). Mishra, Ritesh Kumar ; Saini, Seema ; Hernandez, Jose Arreola ; Arreolahernandez, Jose ; Ahmad, Wasim. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721001161.

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2021Connectedness between oil and agricultural commodity prices during tranquil and volatile period. Is crude oil a victim indeed?. (2021). Mirza, Nawazish ; Hsueh, Hsin-Pei ; Qadeer, Abdul ; Sun, Yanpeng. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721001458.

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2021Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. (2021). Umar, Zaghum ; Gabauer, David ; Balcilar, Mehmet. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002300.

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2021The short-term effects of tax changes: The role of state dependence. (2021). Demirel, Ufuk. In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:918-934.

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2020The impacts of terrorism on Turkish equity market: An investigation using intraday data. (2020). Gok, Ibrahim Yasar ; Topuz, Sefa ; Demirdogen, Yavuz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119319454.

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2020Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies. (2020). Chaiechi, Taha ; Nguyen, Trang ; Low, David ; Eagle, Lynne. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:308-324.

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2021Tail dependence risk and spillovers between oil and food prices. (2021). Yoon, Seong-Min ; Hussain, Syed Jawad ; Hernandez, Jose Areola ; Hanif, Waqas. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:195-209.

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2021Geopolitical risk and volatility spillovers in oil and stock markets. (2021). Smales, Lee. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:358-366.

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2020Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect. (2020). He, Zhifang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:131-153.

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2020Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain. (2020). Warshaw, Evan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:1-14.

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2020The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach. (2020). Das, Debojyoti ; Kannadhasan, M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:563-581.

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2021The realized volatility of commodity futures: Interconnectedness and determinants#. (2021). Vo, Xuan Vinh ; Saeed, Tareq ; Lucey, Brian ; Bouri, Elie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:139-151.

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2021Volatility spillovers and hedging effectiveness between health and tourism stocks: Empirical evidence from the US. (2021). Vo, Xuan Vinh ; Salisu, Afees ; Akanni, Lateef O. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:150-159.

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2020Investors’ risk perceptions in the US and global stock market integration. (2020). Marfatia, Hardik A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301266.

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2020Inter- and intra-regional stock market relations for the GCC bloc. (2020). Herbst, Patrick ; Ziadat, Salem Adel ; McMillan, David G. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310013.

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2021Emerging market exchange rates during quantitative tapering: The effect of US and domestic news. (2021). Tamgac, Unay. In: Research in International Business and Finance. RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000143.

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More than 100 citations found, this list is not complete...

Works by Nicola Spagnolo:


YearTitleTypeCited
2012Linear and Non-linear Causality between CO2 Emissions and Economic Growth In: The Energy Journal.
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2003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV?SWITCHING AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis.
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2002On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models.(2002) In: Computing in Economics and Finance 2002.
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2006Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching In: Journal of Time Series Analysis.
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2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
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2013LIQUIDITY RISK, CREDIT RISK AND THE OVERNIGHT INTEREST RATE SPREAD: A STOCHASTIC VOLATILITY MODELLING APPROACH In: Manchester School.
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2010Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach.(2010) In: CESifo Working Paper Series.
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2010Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach.(2010) In: Discussion Papers of DIW Berlin.
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2011Stock Market Integration between Three CEECs, Russia, and the UK In: Review of International Economics.
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2010Stock Market Integration between three CEECs, Russia and the UK.(2010) In: CESifo Working Paper Series.
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2013Volatility Spillovers and Contagion from Mature to Emerging Stock Markets In: Review of International Economics.
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2009Volatility Spillovers and Contagion from Mature to Emerging Stock Markets.(2009) In: CESifo Working Paper Series.
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2009Volatility Spillovers and Contagion from Mature to Emerging Stock Markets.(2009) In: Discussion Papers of DIW Berlin.
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2009Volatility spillovers and contagion from mature to emerging stock markets.(2009) In: Working Paper Series.
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2002Power Properties of Nonlinearity Tests for Time Series with Markov Regimes In: Studies in Nonlinear Dynamics & Econometrics.
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article20
2016Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India In: Revue économique.
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2009Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis In: CESifo Working Paper Series.
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2009Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-Mean Analysis.(2009) In: Discussion Papers of DIW Berlin.
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2010Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis.(2010) In: Emerging Markets Review.
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2013Exchange Rate Uncertainty and International Portfolio Flows In: CESifo Working Paper Series.
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paper4
2013Exchange Rate Uncertainty and International Portfolio Flows.(2013) In: Discussion Papers of DIW Berlin.
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2014Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach In: CESifo Working Paper Series.
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2014Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach.(2014) In: Discussion Papers of DIW Berlin.
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2015Oil price uncertainty and sectoral stock returns in China: A time-varying approach.(2015) In: China Economic Review.
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2014Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis In: CESifo Working Paper Series.
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2014Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis.(2014) In: Discussion Papers of DIW Berlin.
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2016Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis.(2016) In: International Review of Financial Analysis.
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2014Macro News and Bond Yield Spreads in the Euro Area In: CESifo Working Paper Series.
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2014Macro News and Bond Yield Spreads in the Euro Area.(2014) In: Discussion Papers of DIW Berlin.
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2018Macro news and bond yield spreads in the euro area.(2018) In: The European Journal of Finance.
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2015Spillovers between Food and Energy Prices and Structural Breaks In: CESifo Working Paper Series.
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2017Spillovers between food and energy prices and structural breaks.(2017) In: International Economics.
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2015Spillovers between Food and Energy Prices and Structural Breaks.(2015) In: Discussion Papers of DIW Berlin.
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2017Spillovers between food and energy prices and structural breaks.(2017) In: International Economics.
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2016Spillovers between food and energy prices and structural breaks.(2016) In: NCID Working Papers.
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2015Macro News and Commodity Returns In: CESifo Working Paper Series.
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paper15
2015Macro News and Commodity Returns.(2015) In: Discussion Papers of DIW Berlin.
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2017Macro News and Commodity Returns.(2017) In: International Journal of Finance & Economics.
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2015International Portfolio Flows and Exchange Rate Volatility for Emerging Markets In: CESifo Working Paper Series.
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2015International Portfolio Flows and Exchange Rate Volatility for Emerging Markets.(2015) In: Discussion Papers of DIW Berlin.
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2016Macro News and Exchange Rates in the BRICS In: CESifo Working Paper Series.
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2016Macro News and Exchange Rates in the BRICS.(2016) In: Discussion Papers of DIW Berlin.
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2017Macro news and exchange rates in the BRICS.(2017) In: Finance Research Letters.
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2016Exchange Rates and Macro News in Emerging Markets In: CESifo Working Paper Series.
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2016Exchange Rates and Macro News in Emerging Markets.(2016) In: Discussion Papers of DIW Berlin.
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2018Exchange rates and macro news in emerging markets.(2018) In: Research in International Business and Finance.
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2016Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis In: CESifo Working Paper Series.
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2016Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-In-Mean Analysis.(2016) In: Discussion Papers of DIW Berlin.
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2018Political Tension and Stock Markets in the Arabian Peninsula In: CESifo Working Paper Series.
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2018The Impact of Business and Political News on the GCC Stock Markets In: CESifo Working Paper Series.
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2020The impact of business and political news on the GCC stock markets.(2020) In: Research in International Business and Finance.
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2019Financial integration in the GCC region: market size versus national effects In: CESifo Working Paper Series.
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2020Financial Integration in the GCC Region: Market Size Versus National Effects.(2020) In: Open Economies Review.
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2019Non-Linearities, Cyber Attacks and Cryptocurrencies In: CESifo Working Paper Series.
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2020Non-linearities, cyber attacks and cryptocurrencies.(2020) In: Finance Research Letters.
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2020Cross-Border Portfolio Flows and News Media Coverage In: CESifo Working Paper Series.
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2020Cyber-Attacks, Cryptocurrencies, and Cyber Security In: CESifo Working Paper Series.
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2020Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets In: CESifo Working Paper Series.
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2008The price of terror: The effects of terrorism on stock market returns and volatility In: Economics Letters.
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2011Short-term growth effects of fiscal policy revisited: A Markov-switching approach In: Economics Letters.
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2015Happiness, taxes and social provision: A note In: Economics Letters.
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2017A note on the macroeconomic consequences of ethnic/racial tension In: Economics Letters.
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2002A test for volatility spillovers In: Economics Letters.
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article29
2003Asset prices and output growth volatility: the effects of financial crises In: Economics Letters.
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2007Predicting Markov volatility switches using monetary policy variables In: Economics Letters.
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2005Testing for contagion: a conditional correlation analysis In: Journal of Empirical Finance.
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2004TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS.(2004) In: International Finance.
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2016Price regimes in an energy island: Tacit collusion vs. cost and network explanations In: Energy Economics.
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2011Exploring the dynamics between terrorism and anti-terror spending: Theory and UK-evidence In: Journal of Economic Behavior & Organization.
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2015Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach In: Journal of International Money and Finance.
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article21
2017International portfolio flows and exchange rate volatility in emerging Asian markets In: Journal of International Money and Finance.
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article11
2015Fiscal multipliers in good times and bad times In: Journal of Macroeconomics.
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article20
2013Fiscal Multipliers in Good Times and Bad Times.(2013) In: Departmental Working Papers.
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2019A closer look at the employment effects of fiscal policy shocks: What have minorities got to do with it? In: CAMA Working Papers.
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2010Understanding Homeland Security: Theory and UK Evidence In: EcoMod2010.
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2006Stock Returns and Inflation: The Impact of Inflation Targeting In: Working Papers.
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2005Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis In: International Journal of Finance & Economics.
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2002Testing for Causality-in-Variance: An Application to the East Asian Markets. In: International Journal of Finance & Economics.
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article50
2018Fractional Integration Versus Structural Change: Testing the Convergence of $$\hbox {CO}_{2}$$ CO 2 Emissions In: Environmental & Resource Economics.
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article6
2004Evaluating currency crises: the case of the European Monetary System In: Money Macro and Finance (MMF) Research Group Conference 2003.
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paper7
2008Evaluating currency crises: the case of the European monetary system.(2008) In: Empirical Economics.
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2011Volatility spillovers and contagion from mature and emerging stock markets. In: NCID Working Papers.
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2012Stock Market Integration Between Three CEECs In: Journal of Economic Integration.
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article10
2017Portfolio flows and the US dollar–yen exchange rate In: Empirical Economics.
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2006Volatility transmission and financial crises In: Journal of Economics and Finance.
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article56
2018Happy PIIGS? In: Journal of Happiness Studies.
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2005Was the Currency Crisis in Argentina Self-Fulfilling? In: Review of World Economics (Weltwirtschaftliches Archiv).
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article5
2003IGARCH models and structural breaks In: Applied Economics Letters.
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article17
2005Measuring half-lives: using a non-parametric bootstrap approach In: Applied Financial Economics Letters.
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article4
2004Modelling East Asian exchange rates: a Markov-switching approach In: Applied Financial Economics.
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article12
2009Central bank intervention and foreign exchange markets In: Applied Financial Economics.
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2010Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities In: Department of Economics Working Papers.
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