Fabio Spagnolo : Citation Profile


Are you Fabio Spagnolo?

15

H index

20

i10 index

700

Citations

RESEARCH PRODUCTION:

37

Articles

36

Papers

2

Chapters

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 31
   Journals where Fabio Spagnolo has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 31 (4.24 %)

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   Permalink: http://citec.repec.org/psp45
   Updated: 2024-01-16    RAS profile: 2022-11-23    
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Relations with other researchers


Works with:

Spagnolo, Nicola (12)

Caporale, Guglielmo Maria (10)

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

Is cited by:

GUPTA, RANGAN (18)

Balcilar, Mehmet (18)

Mouratidis, Kostas (14)

Caglayan, Mustafa (13)

Sola, Martin (11)

Psaradakis, Zacharias (10)

Otranto, Edoardo (10)

Miller, Stephen (8)

Shahbaz, Muhammad (8)

Tansuchat, Roengchai (7)

Salisu, Afees (7)

Cites to:

Spagnolo, Nicola (33)

Sola, Martin (33)

Psaradakis, Zacharias (29)

Caporale, Guglielmo Maria (27)

Hansen, Bruce (24)

Diebold, Francis (21)

Obstfeld, Maurice (15)

Heckman, James (14)

Hamilton, James (13)

Andersen, Torben (12)

Engle, Robert (12)

Main data


Where Fabio Spagnolo has published?


Journals with more than one article published# docs
Economics Letters4
Studies in Nonlinear Dynamics & Econometrics3
Journal of Econometrics2
Journal of Time Series Analysis2
Journal of International Money and Finance2
International Economics2
Finance Research Letters2
Manchester School2
Journal of Applied Econometrics2
Research in International Business and Finance2
Journal of Applied Econometrics2
International Journal of Finance & Economics2

Working Papers Series with more than one paper published# docs
CESifo Working Paper Series / CESifo14
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research7
Department of Economics Working Papers / Universidad Torcuato Di Tella6
Working Papers / Federal Reserve Bank of St. Louis2

Recent works citing Fabio Spagnolo (2024 and 2023)


YearTitle of citing document
2023Cybercrime on the Ethereum Blockchain. (2023). Yuan, YE ; Nam, Rachel J ; Momtaz, Paul P ; Hornuf, Lars. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10598.

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2023On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence. (2023). Otranto, E ; Domianello, Scaffidi L. In: Working Paper CRENoS. RePEc:cns:cnscwp:202304.

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2023The impact of natural disaster risk on the return of agricultural futures. (2023). Yu, Qin ; Tse, Yiuman ; Liu, Qingfu ; Hua, Renhai. In: Journal of Asian Economics. RePEc:eee:asieco:v:87:y:2023:i:c:s1049007823000520.

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2023Do foreign investors have a positive impact on the domestic government bonds market? A panel pooled mean group approach. (2023). Roca, Eduardo ; Su, Jen-Je ; Akimov, Alexandr ; Conterius, Simeon. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:863-875.

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2023Climate policy uncertainty, oil price and agricultural commodity: From quantile and time perspective. (2023). Xu, Shulin ; Qiu, Lianhong ; Kan, Jia-Min ; Wang, Kai-Hua. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:256-272.

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2023Tail-event driven NETwork dependence in emerging markets. (2023). Yousaf, Imran ; Ali, Shoaib ; Yarovaya, Larisa ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000887.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2023The US-China trade war and the volatility linkages between energy and agricultural commodities. (2023). Poon, Wai-Ching ; Bouri, Elie ; Hasanov, Akram Shavkatovich ; Ling, Natalie Fang. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001032.

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2023Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities. (2023). Aun, Syed ; Islam, Muhammad Umar ; Ali, Mohsin ; Azmi, Wajahat ; Shahid, Muhammad Naeem. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001329.

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2023Bilevel programming approach for the quantitative analysis of renewable portfolio standards considering the electricity market. (2023). Yun, Sangmin ; Oh, Hyobin ; Shin, Han Sol ; Kwag, Kyuhyeong ; Kim, Wook ; Hwang, Pyeong-Ik. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pd:s0360544222028997.

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2023The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach. (2023). Sharif, Arshian ; Shah, Nida ; Raza, Syed Ali ; Gao, Pengpeng ; Sun, Yunpeng. In: Energy. RePEc:eee:energy:v:270:y:2023:i:c:s0360544223002062.

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2023Potential utilization of hydrogen in the UAEs industrial sector. (2023). Mezher, Toufic ; El-Fadel, Mutasem ; Bouabid, Ali ; Ramadan, Mohamad ; Zaiter, Issa. In: Energy. RePEc:eee:energy:v:280:y:2023:i:c:s0360544223015025.

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2023Exploring the moderating role of foreign direct investment in the renewable energy and economic growth nexus: Evidence from West Africa. (2023). Ampah, Jeffrey Dankwa ; Chen, Xudong ; Appiah-Otoo, Isaac. In: Energy. RePEc:eee:energy:v:281:y:2023:i:c:s0360544223017401.

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2023Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach. (2023). Brooks, Robert ; Hasanov, Akram Shavkatovich ; Vellachami, Sanggetha. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002314.

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2023Cybersecurity risks and central banks’ sentiment on central bank digital currency: Evidence from global cyberattacks. (2023). Olivares, Resi Ong ; Zhao, BO ; Tian, Shu. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007851.

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2023COVID-19 Government restriction policy, COVID-19 vaccination and stock markets: Evidence from a global perspective. (2023). Xiao, Kaitian ; Yu, Xiaoling. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000430.

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2023Reputational contagion and the fall of FTX: Examining the response of tokens to the delegitimization of FTT. (2023). Goodell, John W ; Yousaf, Imran. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000788.

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2023Linkages between CBDC and cryptocurrency uncertainties, and digital payment stocks. (2023). Goodell, John W ; Yousaf, Imran. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001381.

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2023The reaction of the financial market to the January 6 United States Capitol attack: An intraday study. (2023). Stoica, Ovidiu ; Gherghina, Ştefan ; Mehdian, Seyed ; Stephens, John. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004208.

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2023Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S.. (2023). Jiang, Cheng ; Chauvet, Marcelle. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000989.

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2023Return and volatility spillovers among global assets: Comparing health crisis with geopolitical crisis. (2023). Vigne, Samuel A ; Karim, Sitara ; Hamouda, Foued ; Naeem, Muhammad Abubakr. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:557-575.

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2023Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors?. (2023). Tzeremes, Panayiotis ; Corbet, Shaen ; Papadamou, Stephanos ; Kyriazis, Nikolaos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002185.

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2023Store of value or speculative investment? market reaction to corporate announcements of cryptocurrency acquisition. (2023). Colombo, Jéfferson ; Yousaf, Imran ; Gimenes, Andre Dias. In: Textos para discussão. RePEc:fgv:eesptd:563.

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2023.

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2023.

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2023.

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2023.

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2023Heterogeneous Impacts of Policy Sentiment with Different Themes on Real Estate Market: Evidence from China. (2023). Liu, Shuqin ; Lv, Benfu ; Ma, Diandian. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:2:p:1690-:d:1037103.

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2023The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126.

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2023Financial integration in Asia: new Empirical evidence using dynamic panel data estimations. (2023). Sharma, Gagan Deep ; Erkut, Burak. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:20:y:2023:i:1:d:10.1007_s10368-023-00553-0.

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2023Financial Development, Political Instability, Trade Openness and Growth in Brazil: Evidence from a New Dataset, 1890-2003. (2023). Glebkina, Ekaterina ; Campos, Nauro ; Koutroumpis, Panagiotis ; Karanasos, Menelaos. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:4:d:10.1007_s11079-022-09684-4.

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2023Solvency determinants: evidence from the Takaful insurance industry. (2023). Tzouvanas, Panagiotis ; Pagas, Paraskevas ; Daynes, Arief ; Alokla, Jassem. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:48:y:2023:i:4:d:10.1057_s41288-021-00263-1.

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2023The words have power: the impact of news on exchange rates. (2023). Shugliashvili, Teona. In: FFA Working Papers. RePEc:prg:jnlwps:v:5:y:2023:id:5.006.

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2023What Explains the Volatility in Pakistan’s Sovereign Bond Yields?. (2023). Hyder, Zulfiqar ; Waheed, Mohsin. In: SBP Working Paper Series. RePEc:sbp:wpaper:112.

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2023A new quadratic asymmetric error correction model: does size matter?. (2023). Alsamara, Mouyad ; Mrabet, Zouhair ; Mnasri, Ayman. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02323-4.

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2023Variable selection in threshold model with a covariate-dependent threshold. (2023). Yang, Lixiong. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02340-3.

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2023The Predictive Power of Financial Stress on the Financial Markets Dynamics: Hidden Markov Model. (2023). Abbes, Mouna Boujelbene ; Soltani, Hayet. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:1:d:10.1007_s12197-022-09600-z.

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2023Sustainability of current account deficits in Nigeria: evidence from the asymmetric NARDL approach. (2023). Onatunji, Olufemi G. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:10:d:10.1007_s43546-023-00566-6.

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2023Linear approximation of the Threshold AutoRegressive model: an application to order estimation. (2023). Vitale, Cosimo Damiano ; Niglio, Marcella ; Giordano, Francesco. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:32:y:2023:i:1:d:10.1007_s10260-022-00638-1.

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2023.

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2023General Bayesian time?varying parameter vector autoregressions for modeling government bond yields. (2023). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:1:p:69-87.

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2023El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach. (2023). Pierdzioch, Christian ; Gupta, Rangan ; Epni, Ouzhan ; Bonato, Matteo. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:785-801.

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Works by Fabio Spagnolo:


YearTitleTypeCited
2010Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers.
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paper15
2011Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 15
article
2007Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 15
paper
2009Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers.
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This paper has nother version. Agregated cites: 15
paper
2010State-Dependent Threshold STAR Models In: UFAE and IAE Working Papers.
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paper1
2014Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model In: BCAM Working Papers.
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paper15
2012Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model.(2012) In: Department of Economics Working Papers.
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This paper has nother version. Agregated cites: 15
paper
2015Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model.(2015) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 15
article
2003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV?SWITCHING AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis.
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article85
2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
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article14
2002Inflation Targeting, Exchange Rate Volatility and International Policy Coordination In: Manchester School.
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article3
2004Is the Feldstein–Horioka Puzzle History? In: Manchester School.
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article78
2013State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
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article7
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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article9
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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article1
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 nother version. Agregated cites: 1
paper
2016Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India In: Revue économique.
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article0
2014Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis In: CESifo Working Paper Series.
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paper13
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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This paper has nother version. Agregated cites: 13
paper
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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This paper has nother version. Agregated cites: 13
article
2014Macro News and Bond Yield Spreads in the Euro Area In: CESifo Working Paper Series.
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paper16
2014Macro News and Bond Yield Spreads in the Euro Area.(2014) In: Discussion Papers of DIW Berlin.
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This paper has nother version. Agregated cites: 16
paper
2018Macro news and bond yield spreads in the euro area.(2018) In: The European Journal of Finance.
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This paper has nother version. Agregated cites: 16
article
2015Spillovers between Food and Energy Prices and Structural Breaks In: CESifo Working Paper Series.
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paper55
2017Spillovers between food and energy prices and structural breaks.(2017) In: International Economics.
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This paper has nother version. Agregated cites: 55
article
2015Spillovers between Food and Energy Prices and Structural Breaks.(2015) In: Discussion Papers of DIW Berlin.
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This paper has nother version. Agregated cites: 55
paper
2017Spillovers between food and energy prices and structural breaks.(2017) In: International Economics.
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This paper has nother version. Agregated cites: 55
article
2016Spillovers between food and energy prices and structural breaks.(2016) In: NCID Working Papers.
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This paper has nother version. Agregated cites: 55
paper
2015Macro News and Commodity Returns In: CESifo Working Paper Series.
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2015Macro News and Commodity Returns.(2015) In: Discussion Papers of DIW Berlin.
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This paper has nother version. Agregated cites: 20
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2017Macro News and Commodity Returns.(2017) In: International Journal of Finance & Economics.
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This paper has nother version. Agregated cites: 20
article
2015International Portfolio Flows and Exchange Rate Volatility for Emerging Markets In: CESifo Working Paper Series.
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paper3
2015International Portfolio Flows and Exchange Rate Volatility for Emerging Markets.(2015) In: Discussion Papers of DIW Berlin.
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This paper has nother version. Agregated cites: 3
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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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This paper has nother version. Agregated cites: 14
paper
2017Macro news and exchange rates in the BRICS.(2017) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 14
article
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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This paper has nother version. Agregated cites: 9
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2018Exchange rates and macro news in emerging markets.(2018) In: Research in International Business and Finance.
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This paper has nother version. Agregated cites: 9
article
2018Political Tension and Stock Markets in the Arabian Peninsula In: CESifo Working Paper Series.
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paper3
2021Political tension and stock markets in the Arabian Peninsula.(2021) In: International Journal of Finance & Economics.
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This paper has nother version. Agregated cites: 3
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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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paper7
2020The impact of business and political news on the GCC stock markets.(2020) In: Research in International Business and Finance.
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This paper has nother version. Agregated cites: 7
article
2019Non-Linearities, Cyber Attacks and Cryptocurrencies In: CESifo Working Paper Series.
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paper14
2020Non-linearities, cyber attacks and cryptocurrencies.(2020) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 14
article
2020Cross-Border Portfolio Flows and News Media Coverage In: CESifo Working Paper Series.
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paper0
2022Cross-border portfolio flows and news media coverage.(2022) In: Journal of International Money and Finance.
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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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2021Cyber-attacks, spillovers and contagion in the cryptocurrency markets.(2021) In: Journal of International Financial Markets, Institutions and Money.
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This paper has nother version. Agregated cites: 19
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2021The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20 In: CESifo Working Paper Series.
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paper2
2004On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts In: CEPR Discussion Papers.
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paper2
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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This paper has nother version. Agregated cites: 2
paper
2001A simple procedure for detecting periodically collapsing rational bubbles In: Economics Letters.
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article16
2002A test for volatility spillovers In: Economics Letters.
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article32
2004Red signals: current account deficits and sustainability In: Economics Letters.
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article30
2007Predicting Markov volatility switches using monetary policy variables In: Economics Letters.
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article7
2007Contemporaneous threshold autoregressive models: Estimation, testing and forecasting In: Journal of Econometrics.
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article19
2006Contemporaneous threshold autoregressive models: estimation, testing and forecasting.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 19
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2007Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2007) In: Discussion Papers.
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This paper has nother version. Agregated cites: 19
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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 nother version. Agregated cites: 19
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2022Renewable energy and economic growth: A Markov-switching approach In: Energy.
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article5
2022The economic and welfare state determinants of well-being in Europe In: International Economics.
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article0
2017International portfolio flows and exchange rate volatility in emerging Asian markets In: Journal of International Money and Finance.
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article20
2004On Markov error-correction models, with an application to stock prices and dividends In: Journal of Applied Econometrics.
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article102
2005Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables In: Journal of Applied Econometrics.
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article26
2005Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables.(2005) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 26
article
2005Forecast performance of nonlinear error-correction models with multiple regimes In: Journal of Forecasting.
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article3
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
2000The Prisoners Dilemma and Regime-Switching in the Greek-Turkish Arms Race In: Journal of Peace Research.
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article17
2017Portfolio flows and the US dollar–yen exchange rate In: Empirical Economics.
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article0
2007An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market In: International Series in Operations Research & Management Science.
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chapter1
2014Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach In: International Series in Operations Research & Management Science.
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chapter0
2010Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities In: Department of Economics Working Papers.
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paper7

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