Fabio Spagnolo : Citation Profile


Are you Fabio Spagnolo?

Brunel University

10

H index

10

i10 index

376

Citations

RESEARCH PRODUCTION:

17

Articles

13

Papers

RESEARCH ACTIVITY:

   12 years (2001 - 2013). See details.
   Cites by year: 31
   Journals where Fabio Spagnolo has often published
   Relations with other researchers
   Recent citing documents: 47.    Total self citations: 15 (3.84 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psp45
   Updated: 2019-10-06    RAS profile: 2014-03-19    
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Relations with other researchers


Works with:

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

Is cited by:

Balcilar, Mehmet (17)

Caglayan, Mustafa (13)

GUPTA, RANGAN (12)

Mouratidis, Kostas (12)

Miller, Stephen (8)

Sola, Martin (8)

Gabriel, Vasco (7)

Otranto, Edoardo (7)

Tansuchat, Roengchai (6)

Serwa, Dobromił (6)

Shi, Shuping (6)

Cites to:

Sola, Martin (32)

Psaradakis, Zacharias (25)

Hansen, Bruce (16)

Dueker, Michael (9)

Granger, Clive (9)

Hall, Stephen (9)

Taylor, Alan (9)

White, Halbert (8)

Spagnolo, Nicola (8)

Clements, Michael (7)

Hamilton, James (7)

Main data


Where Fabio Spagnolo has published?


Journals with more than one article published# docs
Economics Letters4
Studies in Nonlinear Dynamics & Econometrics3
Manchester School2
Journal of Econometrics2
Journal of Applied Econometrics2
Journal of Time Series Analysis2

Working Papers Series with more than one paper published# docs
Department of Economics Working Papers / Universidad Torcuato Di Tella6
Working Papers / Federal Reserve Bank of St. Louis2

Recent works citing Fabio Spagnolo (2018 and 2017)


YearTitle of citing document
2018Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes. (2018). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1612.04932.

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2018Co2 Emissions and Economic Growth in Vietnam: An ARDL Bound Testing Approach. (2018). Kim, Nhung Thi ; Le, Minh Binh. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2018:p:47-55.

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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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2018Okun´s law in Colombia: a non-linear cointegration. (2018). Ramos-Veloza, Mario ; Florez, Luz ; Pulido-Mahecha, Karen L. In: Borradores de Economia. RePEc:bdr:borrec:1039.

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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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2017Vulnerabilities to housing bubbles: Evidence from linkages between housing prices and income fundamentals. (2017). Huang, Meichi. In: International Finance. RePEc:bla:intfin:v:20:y:2017:i:1:p:64-91.

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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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2017Financial Depth and the Asymmetric Impact of Monetary Policy. (2017). Caglayan, Mustafa ; Mouratidis, Kostas ; Kocaaslan, Ozge Kandemir . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:6:p:1195-1218.

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2018State-Dependent Transmission of Monetary Policy in the Euro Area. (2018). Neuenkirch, Matthias ; Nockel, Matthias ; Burgard, Jan Pablo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7074.

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2017Domestic Saving-Investment Correlation Puzzle Revisited: A Time Series Analysis for South Africa. (2017). Mitra, Rajarshi. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00186.

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2018The Electricity-growth Nexus in South Africa: Evidence from Asymmetric Cointegration and Co-feature Analysis. (2018). Phiri, Andrew ; Nyoni, Bothwell. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-06-11.

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2018FH Puzzle in the Eurozone: A time-varying analysis Preliminary Draft. (2018). Camarero, Mariam ; Tamarit, Cecilio ; Sapena, Juan. In: Working Papers. RePEc:eec:wpaper:1813.

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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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2017A dynamic Nelson-Siegel yield curve model with Markov switching. (2017). Levant, Jared ; Ma, Jun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:73-87.

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2018The impact of setting negative policy rates on banking flows and exchange rates. (2018). Khayat, Guillaume A. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:1-10.

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2017Testing the Marshall-Lerner condition between the U.S. and other G7 member countries. (2017). Dong, Fang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:30-40.

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2019The asymmetric role of shadow economy in the energy-growth nexus in Bolivia. (2019). Shahbaz, Muhammad ; Miloudi, Anthony ; Lahiani, Amine ; Benkraiem, Ramzi. In: Energy Policy. RePEc:eee:enepol:v:125:y:2019:i:c:p:405-417.

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2017Financial structure and economic development: Evidence on the view of ‘new structuralism’. (2017). Hall, Stephen ; Demir, Ayse U. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:252-259.

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2017Is the Feldstein-Horioka puzzle still with us? National saving-investment dynamics and international capital mobility: A panel data analysis across EU member countries. (2017). Kouretas, Georgios ; Zarangas, Leonidas ; Stavroyiannis, Stavros ; Drakos, Anastassios A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:76-88.

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2018Examining the Feldstein–Horioka puzzle using common factor panels and interval estimation. (2018). Ginama, Isamu ; Kanmei, Takahiro ; Hayakawa, Kazuhiko. In: Japan and the World Economy. RePEc:eee:japwor:v:48:y:2018:i:c:p:11-21.

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2018Debt and growth: Is there a constant tipping point?. (2018). Yang, Lixiong ; Su, Jen-Je. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:87:y:2018:i:c:p:133-143.

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2017Fiscal sustainability in an emerging market economy: When does public debt turn bad?. (2017). Soon, Siew-Voon ; Lau, Evan ; Baharumshah, Ahmad Zubaidi. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:1:p:99-113.

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2017Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets. (2017). Chen, Shyh-Wei ; Xie, Zixiong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:339-354.

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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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2018Kirilgan Beslide Cari Aciklarin Surdurulebilirligi: Dogrusal Olmayan Birim Kok Testleri Ile Kanitlar. (2018). CEYLAN, Resat . In: Ege Academic Review. RePEc:ege:journl:v:18:y:2018:i:1:p:121-134.

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2018Asymmetric Dynamics of Insurance Premium: The Impact of Monetary Policy Uncertainty on Insurance Premiums in Japan. (2018). Shahbaz, Muhammad ; Olasehinde-Williams, Godwin ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-39.pdf.

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2017A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US. (2017). Fernandes, Marcelo ; Chague, Fernando ; Araujo, Fausto Jose . In: Textos para discussão. RePEc:fgv:eesptd:445.

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2017Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model. (2017). Sugita, Katsuhiro. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:3:p:49-56.

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2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Working Papers. RePEc:igi:igierp:639.

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2018Is Mexicos Forward Exchange Rate Market Efficient?. (2018). Islas-Camargo, Alejandro ; Sanabria, Tania Pamela ; Cortez, Willy Walter. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:13:y:2018:i:2:p:273-289.

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2017Assessing the Sustainability of External Imbalances in the European Union. (2017). Stanek, Piotr ; Jalles, Joao ; Huart, Florence ; Afonso, Antonio. In: Working Papers Department of Economics. RePEc:ise:isegwp:wp102017.

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2017Assessing the Sustainability of External Imbalances in the European Union. (2017). Stanek, Piotr ; Jalles, Joao ; Huart, Florence ; Afonso, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp0012017.

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2018Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach. (2018). Han, Heejoon ; Kyeong, NA. In: Korean Economic Review. RePEc:kea:keappr:ker-20180701-34-2-05.

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2017Volatility Clustering, New Heavy-Tailed Distribution and the Stock Market Returns in South Korea. (2017). Hong, Yoon ; Ding, Guoping ; Lee, Ji-Chul . In: Journal of Applied Management and Investments. RePEc:ods:journl:v:6:y:2017:i:3:p:164-169.

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2018Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation. (2018). Yin, Ming . In: MPRA Paper. RePEc:pra:mprapa:88111.

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2019An analysis of the unbiased forward rate hypothesis in developed and emerging economies. (2019). Bonga-Bonga, Lumengo ; Phungo, Muka. In: MPRA Paper. RePEc:pra:mprapa:92222.

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2017Current Account Sustainability in G7 and BRICS: Evidence from a Long Memory Model with Structural Breaks. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Chang, Tsangyao ; André, Christophe ; Andre, Christophe. In: Working Papers. RePEc:pre:wpaper:201705.

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2017Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets. (2017). John (Fedorova), Elena ; Wallenius, Laura ; Collan, Mikael ; Ahmed, Sheraz . In: Prague Economic Papers. RePEc:prg:jnlpep:v:2017:y:2017:i:1:id:594:p:55-71.

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2019Modeling Stock Market Returns of BRICS with a Markov-Switching Dynamic Regression Model. (2019). Rapoo, Ishmael ; Moroke, Ntebogang Dinah ; Xaba, Diteboho . In: Journal of Economics and Behavioral Studies. RePEc:rnd:arjebs:v:11:y:2019:i:3:p:10-22.

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2017Are Current Account Deficits in the OECD Countries Sustainable? Robust Evidence from Time-Series Estimators. (2017). Singh, Tarlok. In: The International Trade Journal. RePEc:taf:uitjxx:v:31:y:2017:i:1:p:29-64.

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2018Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model. (2018). Nyberg, Henri. In: Journal of Forecasting. RePEc:wly:jforec:v:37:y:2018:i:1:p:1-15.

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2019The influence of Brazilian exports on price transmission processes in the coffee sector: A Markov-switching approach. (2019). von Cramon-Taubadel, Stephan ; Vollmer, Teresa. In: DARE Discussion Papers. RePEc:zbw:daredp:1904.

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2017The present value model of U.S. stock prices revisited: Long-run evidence with structural breaks, 1871-2012. (2017). Prats, María ; Navarro-Ibáñez, Manuel ; Ibaez, Manuel Navarro ; Garcia, Vicente Esteve. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201793.

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Works by Fabio Spagnolo:


YearTitleTypeCited
2010Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers.
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paper10
2011Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics.
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article
2009Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers.
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paper
2007Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 10
paper
2010State-Dependent Threshold STAR Models In: UFAE and IAE Working Papers.
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paper1
2003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis.
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article67
2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
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article11
2002Inflation Targeting, Exchange Rate Volatility and International Policy Coordination. In: Manchester School.
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article9
2004Is the Feldstein-Horioka Puzzle History? In: Manchester School.
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article62
2013State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
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article1
2006Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates In: Studies in Nonlinear Dynamics & Econometrics.
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article6
2009The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing In: Studies in Nonlinear Dynamics & Econometrics.
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article2
2011Contemporaneous-Threshold Smooth Transition GARCH Models In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2009Contemporaneous-Threshold Smooth Transition GARCH Models.(2009) In: Department of Economics Working Papers.
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This paper has another version. Agregated cites: 1
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2004On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts In: CEPR Discussion Papers.
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paper1
2008On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts.(2008) In: Department of Economics Working Papers.
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2001A simple procedure for detecting periodically collapsing rational bubbles In: Economics Letters.
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article15
2002A test for volatility spillovers In: Economics Letters.
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article30
2004Red signals: current account deficits and sustainability In: Economics Letters.
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article24
2007Predicting Markov volatility switches using monetary policy variables In: Economics Letters.
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article6
2007Contemporaneous threshold autoregressive models: Estimation, testing and forecasting In: Journal of Econometrics.
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article15
2006Contemporaneous threshold autoregressive models: estimation, testing and forecasting.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 15
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2007Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2007) In: Discussion Papers.
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This paper has another version. Agregated cites: 15
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2006Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2006) In: Department of Economics Working Papers.
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This paper has another version. Agregated cites: 15
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2004On Markov error-correction models, with an application to stock prices and dividends In: Journal of Applied Econometrics.
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article73
2005Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables In: Journal of Applied Econometrics.
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article23
2005Forecast performance of nonlinear error-correction models with multiple regimes In: Journal of Forecasting.
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article2
2004The Feldstein-Horioka puzzle is not as bad as you think In: Money Macro and Finance (MMF) Research Group Conference 2003.
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paper9
2010Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities In: Department of Economics Working Papers.
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2012Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model In: Department of Economics Working Papers.
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paper4

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