Nicola Spagnolo : Citation Profile


Are you Nicola Spagnolo?

14

H index

20

i10 index

853

Citations

RESEARCH PRODUCTION:

47

Articles

46

Papers

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 47
   Journals where Nicola Spagnolo has often published
   Relations with other researchers
   Recent citing documents: 132.    Total self citations: 26 (2.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psp160
   Updated: 2020-08-01    RAS profile: 2020-07-23    
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Relations with other researchers


Works with:

Caporale, Guglielmo Maria (38)

Menla Ali, Faek (7)

Arin, Kerim (6)

Napolitano, Oreste (2)

Beirne, John (2)

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 (25)

Balcilar, Mehmet (19)

Sola, Martin (18)

Spagnolo, Fabio (17)

Lütkepohl, Helmut (12)

McAleer, Michael (12)

Dungey, Mardi (10)

Kočenda, Evžen (10)

Wohar, Mark (10)

Balli, Faruk (8)

Nguyen, Duc Khuong (8)

Cites to:

Caporale, Guglielmo Maria (36)

Engle, Robert (35)

Bekaert, Geert (22)

Harvey, Campbell (20)

Fratzscher, Marcel (18)

Diebold, Francis (18)

Bollerslev, Tim (17)

Kaminsky, Graciela (17)

Hamilton, James (15)

Andersen, Torben (14)

Kočenda, Evžen (14)

Main data


Where Nicola Spagnolo has published?


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

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 (2020 and 2019)


YearTitle of citing document
2017VOLATILITY SPILLOVER BETWEEN OIL PRICES, US DOLLAR EXCHANGE RATES AND INTERNATIONAL AGRICULTURAL COMMODITIES PRICES. (2017). Siami-Namini, Sima ; Hudson, Darren. In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252845.

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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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2019On the Co-movement of Crude, Gold Prices and Stock Index in Indian Market. (2019). Dutta, Prof Karabi ; Sen, Abhibasu. In: Papers. RePEc:arx:papers:1904.05317.

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

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2019A Comparison of the Economic Volatility Spillover Effect of Hong Kong with China and USA. (2019). , Eric. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:824-835.

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2019Migration Policy Uncertainty and Terrorist Attacks: Evidence from the US. (2019). An, Zhen. In: International Journal of Social and Administrative Sciences. RePEc:asi:ijosaa:2019:p:44-56.

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2017Measuring the Cost of Financial Integration in the GCC: Lessons from the Global Crisis. (2017). Haddad, Mahmoud ; Hakim, Sam . In: Review of Economics & Finance. RePEc:bap:journl:170301.

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2017The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis. (2017). GUPTA, RANGAN ; Balcilar, Mehmet ; Uwilingiye, Josine ; van Eyden, Renee. In: African Development Review. RePEc:bla:afrdev:v:29:y:2017:i:2:p:319-336.

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2017Identification of Small Open Economy SVARs via Markov-Switching Heteroskedasticity. (2017). Turnip, Guido. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:302:p:465-483.

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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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2018Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics. (2018). Sandberg, Rickard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:942-952.

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2019The Impact of Fiscal Policy on Economic Activity over the Business Cycle: An Empirical Investigation in the Case of Algeria. (2019). Mohamed, Benbouziane ; Abderrahim, Chibi. In: Review of Middle East Economics and Finance. RePEc:bpj:rmeecf:v:15:y:2019:i:3:p:23:n:1.

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2019CO2 Emissions and GDP: Evidence from China. (2019). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Claudio-Quiroga, Gloria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7881.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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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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2018Nonlinear Intermediary Pricing in the Oil Futures Market. (2018). Rieth, Malte ; Velinov, Anton ; Bierbaumer, Daniel. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1722.

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2017Financial Markets Integration: Appraising the Developed and Emerging Markets Nexus. (2017). Onakoya, Adegbemi Babatunde ; Seyingbo, Adedotun Victor . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-82.

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2019Stock Market Reaction to Terrorist Attacks and Political Uncertainty: Empirical Evidence from the Tunisian Stock Exchange. (2019). Talbi, Mariem ; ben Moussa, Fatma. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-4.

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2019Energy Prices and the Nigerian Stock Market. (2019). Ezeaku, Hillary Chijindu ; Egbo, Obiamaka P ; Okolo, Victor O ; Alio, Felix Chukwubuzo. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-06-4.

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2019The quantitative effects of tax foresight: Not all states are equal. (2019). Herrera, Ana María ; Rangaraju, Sandeep Kumar. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:6.

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2017Testing the dependency theory on small island economies: The case of Cyprus. (2017). YAYA, MEHMET ; Kutan, Ali ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:1-11.

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2017Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect. (2017). Ahmed, Abdullahi ; Huo, Rui. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:260-272.

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2018International stock market contagion: A CEEMDAN wavelet analysis. (2018). Zhou, Zhongbao ; Li, Shuxian ; Lin, Ling. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:333-352.

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2019Return spillovers around the globe: A network approach. (2019). Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:133-146.

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2019Impacts of Chinas crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement. (2019). Huo, Rui ; Ahmed, Abdullahi D. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:28-46.

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2019The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). Salimi Namin, Fatemeh ; girardin, eric. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:422-439.

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2019Correlation dynamics of crude oil with agricultural commodities: A comparison between energy and food crops. (2019). Mitra, Subrata K ; Pal, Debdatta. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:453-466.

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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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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2019Has the Grexit news affected euro area financial markets?. (2019). Gregori, Wildmer Daniel ; Sacchi, Agnese. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:71-84.

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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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2019Connectedness and risk spillovers in China’s stock market: A sectoral analysis. (2019). Zhang, Dayong ; Wu, Fei. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302590.

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2019Green electricity investments: Environmental target and the optimal subsidy. (2019). Kort, Peter ; Bigerna, Simona ; Hagspiel, Verena ; Wen, Xingang. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:2:p:635-644.

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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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2018Local currency systemic risk. (2018). Borri, Nicola. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:111-123.

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2018Volatility and shock interactions and risk management implications: Evidence from the U.S. and frontier markets. (2018). Ngene, Geoffrey ; Mungai, Ann N ; Post, Jordin A. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:181-198.

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2017The CO2–growth nexus revisited: A nonparametric analysis for the G7 economies over nearly two centuries. (2017). Shahbaz, Muhammad ; Papavassiliou, Vassilios ; Hammoudeh, Shawkat ; Shafiullah, Muhammad. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:183-193.

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2017The long-term relationship between CO2 emissions and economic activity in a small open economy: Uruguay 1882–2010. (2017). Piaggio, Matías ; Padilla, Emilio ; Roman, Carolina . In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:271-282.

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2018The Environmental Kuznets Curve in the OECD: 1870–2014. (2018). Smyth, Russell ; Inekwe, John ; Ivanovski, Kris ; Churchill, Sefa Awaworyi. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:389-399.

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2019The importance of oil assets for portfolio optimization: The analysis of firm level stocks. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Anwar, Awais ; Sarwar, Suleman. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:217-234.

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2019Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis. (2019). Tiwari, Aviral ; Hamdi, Besma ; Alqahtani, Faisal ; Aloui, Mouna. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:536-552.

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2019Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective. (2019). Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:995-1009.

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2019On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework. (2019). Cao, Yan ; Cheng, Sheng. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:422-432.

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2019Ask CARL: Forecasting tail probabilities for energy commodities. (2019). Algieri, Bernardina ; Leccadito, Arturo. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302786.

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2019What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?. (2019). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark E ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303184.

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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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2019Greener, more integrated, and less volatile? A quantile regression analysis of Italian wholesale electricity prices. (2019). Sapio, Alessandro. In: Energy Policy. RePEc:eee:enepol:v:126:y:2019:i:c:p:452-469.

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2019Energy and Food Security: Linkages through Price Volatility. (2019). Yoshino, Naoyuki ; Rasoulinezhad, Ehsan ; Taghizadeh-Hesary, Farhad. In: Energy Policy. RePEc:eee:enepol:v:128:y:2019:i:c:p:796-806.

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2018Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities. (2018). Roubaud, David ; Ji, Qiang ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:1-12.

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2019News implied volatility and long-term foreign exchange market volatility. (2019). Yin, Libo ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:126-142.

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2019A systematic review of sovereign connectedness on emerging economies. (2019). Gonzalez-Urteaga, Ana ; Diaz-Mendoza, Ana Carmen ; Ballester, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:157-163.

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2019Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets. (2019). Corbet, Shaen ; Akyildirim, Erdinc ; Ekinci, Cumhur . In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:155-164.

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2019Stock market integration between the UK and the US: Evidence over eight decades. (2019). Casalin, Fabrizio ; Aladesanmi, Olalekan ; Metcalf, Hugh . In: Global Finance Journal. RePEc:eee:glofin:v:41:y:2019:i:c:p:32-43.

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2018Financial market spillovers during the quantitative easing programmes of the global financial crisis (2007–2009) and the European debt crisis. (2018). Corbet, Shaen ; Larkin, Charles ; Meegan, Andrew. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:128-148.

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2019The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets. (2019). lucey, brian ; Smales, L A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:60:y:2019:i:c:p:19-38.

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2019The impact of terrorist attacks in G7 countries on international stock markets and the role of investor sentiment. (2019). Taoushianis, Zenon ; Sakkas, Athanasios ; Papakyriakou, Panayiotis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:143-160.

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2019Financial stress dynamics in the MENA region: Evidence from the Arab Spring. (2019). Yarovaya, Larisa ; Elsayed, Ahmed H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:20-34.

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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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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017Which market integration measure?. (2017). Paradiso, Antonio ; Donadelli, Michael ; Billio, Monica ; Riedel, M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:150-174.

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2019Terrorism and country-level global business failure. (2019). Zalata, Alaa Mansour ; Tauringana, Venancio ; Okafor, Godwin ; Tingbani, Ishmael. In: Journal of Business Research. RePEc:eee:jbrese:v:98:y:2019:i:c:p:430-440.

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2018The impact of institutional volatility on financial volatility in transition economies. (2018). Hartwell, Christopher. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:46:y:2018:i:2:p:598-615.

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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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2019Effects of capital controls on foreign exchange liquidity. (2019). Cantu, Carlos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:201-222.

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2019Analyzing the impacts of foreign exchange and oil price on biofuel commodity futures. (2019). Chen, Chun-Da ; Chiang, Shu-Mei ; Huang, Chien-Ming. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:96:y:2019:i:c:p:37-48.

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2017A Markov regime-switching model of crude oil market integration. (2017). Kuck, Konstantin ; Schweikert, Karsten. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:6:y:2017:i:c:p:16-31.

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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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2017The efficiency of government spending on health: A comparison of different administrations in Nigeria. (2017). Olanubi, Sijuola Orioye ; Osode, Oluwanbepelumi Esther . In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:1:p:79-98.

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2018China–Africa financial markets linkages: Volatility and interdependence. (2018). Ahmed, Abdullahi D ; Huo, Rui. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:40:y:2018:i:6:p:1140-1164.

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2019Dynamic impact of Chinas stock market on the international commodity market. (2019). An, Haizhong ; Wen, Shaobo ; Liu, Xueyong ; Huang, Shupei. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:564-571.

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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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2017The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based GARCH–BEKK model. (2017). Huang, Shupei ; Liu, Xueyong ; Wen, Shaobo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:374-383.

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2017Features of spillover networks in international financial markets: Evidence from the G20 countries. (2017). Liu, Xueyong ; Wen, Shaobo ; Feng, Sida ; Chen, Zhihua ; An, Haizhong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:265-278.

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2018A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets. (2018). Das, Debojyoti ; Jana, R K ; Bhowmik, Puja. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:379-393.

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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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2019The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. (2019). Park, Jin Suk ; Newaz, Mohammad Khaleq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:79-94.

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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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2017Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis. (2017). Kumar, Dilip. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:149-167.

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2017Further evidence on bear market predictability: The role of the external finance premium. (2017). Chen, Shiu-Sheng ; Chou, Yu-Hsi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:106-121.

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2017Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries. (2017). Wohar, Mark ; Soon, Siew-Voon ; Baharumshah, Ahmad Zubaidi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:245-257.

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2019The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets. (2019). Gross, Christian ; Souza, Waldemar ; Bohl, Martin T. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:203-215.

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2019Market structure, performance, and efficiency: Evidence from the MENA banking sector. (2019). Sestayo, Ruben Lado ; Bua, Milagros Vivel ; Razia, Alaa ; Gonzalez, Luis Otero. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:84-101.

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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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2017The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises. (2017). Berke, Burcu ; Bajo-Rubio, Oscar ; McMillan, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:577-589.

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2019Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets. (2019). Chiang, Thomas C. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:264-278.

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2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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2019Quantitative easing announcements and high-frequency stock market volatility: Evidence from the United States. (2019). Larkin, Charles ; Dunne, John James ; Corbet, Shaen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:321-334.

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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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2019Robust forecasting of electricity prices: Simulations, models and the impact of renewable sources. (2019). Nan, Fany ; Grossi, Luigi. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:141:y:2019:i:c:p:305-318.

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2019The relationship between fuel and food prices: Methods, outcomes, and lessons for commodity price risk management. (2019). Krištoufek, Ladislav ; Janda, Karel ; Kristoufek, Ladislav. In: CAMA Working Papers. RePEc:een:camaaa:2019-20.

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2017Return and volatility spillovers between oil and stock markets in South Africa and Nigeria. (2017). Fowowe, Babajide . In: African Journal of Economic and Management Studies. RePEc:eme:ajempp:ajems-03-2017-0047.

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2019Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model. (2019). Jienwatcharamongkhol, Viroj ; Uddin, Reaz ; A. M. M. Shahiduzzaman Quoreshi, . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:94-:d:237782.

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2020Is Investors’ Psychology Affected Due to a Potential Unexpected Environmental Disaster?. (2020). HALKOS, GEORGE ; Zisiadou, Argyro. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:151-:d:383470.

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2020Can Stock Investor Sentiment Be Contagious in China?. (2020). Cai, Xu-Yu ; Tao, Ran ; Su, Chi-Wei. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:4:p:1571-:d:322696.

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2019The Financial Costs of Terror: Evidence from Berlin and Munich Attacks. (2019). bouoiyour, jamal ; Selmi, Refk. In: Post-Print. RePEc:hal:journl:hal-02108636.

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2019The link between financial capital movements and the exchange rate in Turkey. (2019). olak, Olcay ; KARAHAN, Ozcan. In: Eastern Journal of European Studies. RePEc:jes:journl:y:2019:v:10:p:263-281.

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2017Has the Grexit news affected euro area financial markets?. (2017). Sacchi, Agnese ; Gregori, Wildmer Daniel. In: Working Papers. RePEc:jrs:wpaper:201713.

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2020Mean Reversion in CO2 Emissions: the Need for Structural Change. (2020). Sephton, Peter. In: Environmental & Resource Economics. RePEc:kap:enreec:v:75:y:2020:i:4:d:10.1007_s10640-020-00413-4.

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2019Extreme spillovers of VIX fear index to international equity markets. (2019). Tongurai, Jittima ; Boonchoo, Pattana ; Padungsaksawasdi, Chaiyuth ; Cheuathonghua, Massaporn. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:1:d:10.1007_s11408-018-0323-6.

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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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article4
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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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: 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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2008Volatility Spillovers and Contagion from Mature to Emerging Stock Markets.(2008) In: IMF Working Papers.
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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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article17
2016Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India In: Revue économique.
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2009Volatility Spillovers and Contagion from Mature to Emerging Stock Markets In: CESifo Working Paper Series.
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paper12
2009Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis In: CESifo Working Paper Series.
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paper3
2010Stock Market Integration between three CEECs, Russia and the UK In: CESifo Working Paper Series.
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paper2
2010Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach In: CESifo Working Paper Series.
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paper0
2013Exchange Rate Uncertainty and International Portfolio Flows In: CESifo Working Paper Series.
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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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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 Bond Yield Spreads in the Euro Area In: CESifo Working Paper Series.
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2015Spillovers between Food and Energy Prices and Structural Breaks In: CESifo Working Paper Series.
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2015Macro News and Commodity Returns In: CESifo Working Paper Series.
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2015International Portfolio Flows and Exchange Rate Volatility for Emerging Markets In: CESifo Working Paper Series.
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2016Macro News and Exchange Rates in the BRICS In: CESifo Working Paper Series.
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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 and Cryptocurrencies 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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2017Spillovers between food and energy prices and structural breaks 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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2013Exchange Rate Uncertainty and International Portfolio Flows In: Discussion Papers of DIW Berlin.
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2014Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach 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-Mean Analysis 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: 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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2015Macro News and Commodity Returns 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: Discussion Papers of DIW Berlin.
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2016Macro News and Exchange Rates in the BRICS 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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2009Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-Mean Analysis 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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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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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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2017International portfolio flows and exchange rate volatility in emerging Asian markets In: Journal of International Money and Finance.
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2015Fiscal multipliers in good times and bad times In: Journal of Macroeconomics.
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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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2002Understanding 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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article46
2018Fractional Integration Versus Structural Change: Testing the Convergence of $$\hbox {CO}_{2}$$ CO 2 Emissions In: Environmental & Resource Economics.
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article1
2004Evaluating currency crises: the case of the European Monetary System In: Money Macro and Finance (MMF) Research Group Conference 2003.
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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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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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article45
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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2003IGARCH models and structural breaks In: Applied Economics Letters.
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2005Measuring half-lives: using a non-parametric bootstrap approach In: Applied Financial Economics Letters.
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2004Modelling East Asian exchange rates: a Markov-switching approach In: Applied Financial Economics.
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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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