Fabio Spagnolo : Citation Profile

16

H index

24

i10 index

825

Citations

RESEARCH PRODUCTION:

42

Articles

39

Papers

2

Chapters

RESEARCH ACTIVITY:

   25 years (2000 - 2025). See details.
   Cites by year: 33
   Journals where Fabio Spagnolo has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 32 (3.73 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psp45
   Updated: 2026-03-28    RAS profile: 2026-03-09    
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Relations with other researchers

Works with:

Spagnolo, Nicola (11)

Caporale, Guglielmo Maria (6)

Sola, Martin (2)

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 (19)

GUPTA, RANGAN (18)

Mouratidis, Kostas (14)

Sola, Martin (14)

Caglayan, Mustafa (13)

Otranto, Edoardo (12)

Spagnolo, Nicola (11)

Psaradakis, Zacharias (10)

Yousaf, Imran (9)

Shahbaz, Muhammad (8)

Miller, Stephen (8)

Cites to:

Sola, Martin (38)

Spagnolo, Nicola (35)

Psaradakis, Zacharias (32)

Caporale, Guglielmo Maria (28)

Hansen, Bruce (22)

Diebold, Francis (21)

Hamilton, James (15)

Obstfeld, Maurice (15)

Andersen, Torben (12)

Engle, Robert (12)

Bollerslev, Tim (11)

Main data

Where Fabio Spagnolo has published?

Journals with more than one article published# docs
Economics Letters4
Studies in Nonlinear Dynamics & Econometrics3
International Economics3
International Economics3
Manchester School2
Finance Research Letters2
Research in International Business and Finance2
Journal of Econometrics2
Journal of Time Series Analysis2
Journal of Applied Econometrics2
International Journal of Finance & Economics2
Journal of Applied Econometrics2
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
CESifo Working Paper Series / CESifo14
Department of Economics Working Papers / Universidad Torcuato Di Tella8
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research7
Working Papers / Federal Reserve Bank of St. Louis2

Recent works citing Fabio Spagnolo (2026 and 2025)

YearTitle of citing document
2025Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching. (2024). Diebold, Francis ; Bie, Siyu ; Li, Junye ; He, Jingyu. In: Papers. RePEc:arx:papers:2408.12863.

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2025Export proceeds repatriation policies: A shield against exchange rate volatility in emerging markets?. (2025). Uli, Sondang Marsinta ; Djuranovik, Leslie ; Gitaharie, Beta Yulianita ; Ekananda, Mahjus. In: Papers. RePEc:arx:papers:2506.09168.

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2025Ultimate Forward Rate Prediction and its Application to Bond Yield Forecasting: A Machine Learning Perspective. (2025). Hong, YI ; Du, Jiawei. In: Papers. RePEc:arx:papers:2601.00011.

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2025Nonlinear Dynamics in Monetary Policy-Fueled Stock Market Bubbles. (2025). Magnani, Monia ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp25252.

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2025Heterogeneity, Jumps and Co-Movements in Transmission of Volatility Spillovers Among Cryptocurrencies. (2025). Maria, Tantoula ; Manolis, Tzagarakis ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:621-649:n:1002.

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2025Fiscal and External Sustainability: A Two-Step Time-Varying Granger Causality Assessment. (2025). Saadaoui, Jamel ; Coelho, José ; Afonso, Antonio ; Alves, Jos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11694.

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2025Climate Policies, Energy Shocks and Spillovers Between Green and Brown Stock Price Indices. (2025). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Colella, Ida ; Albanese, Marina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11747.

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2025The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2025_2502.

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2025Powering progress: The interplay of energy security and institutional quality in driving economic growth. (2025). Maraseni, Tek ; Rahman, Mohammad Mafizur ; Azimi, Mohammad Naim. In: Applied Energy. RePEc:eee:appene:v:378:y:2025:i:pa:s0306261924022189.

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2025Advanced models for hourly marginal CO2 emission factor estimation: A synergy between fundamental and statistical approaches. (2025). Muesgens, Felix ; Batzlineiro, Taimyra ; Sgarciu, Smaranda ; ben Amor, Souhir. In: Applied Energy. RePEc:eee:appene:v:397:y:2025:i:c:s030626192500995x.

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2025Bitcoin price volatility: Effects of retail traders, illegal users, and sentiment. (2025). Li, Jingrui ; John, Kose. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925001051.

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2025Hidden semi-Markov models with inhomogeneous state dwell-time distributions. (2025). Koslik, Jan-Ole. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:209:y:2025:i:c:s0167947325000477.

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2025Do industrial robots bring happiness? The moderating role of public trust. (2025). Wang, Wen ; Han, Wang-Zhe. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:86:y:2025:i:c:p:380-398.

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2025Conditional threshold effects of stock market volatility on crude oil market volatility. (2025). Hamori, Shigeyuki ; Motegi, Kaiji. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s014098832500012x.

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2025Smart city policies and corporate renewable energy technology innovation: Insights from patent text and machine learning. (2025). Liu, Chengkun ; Xiong, NI ; Huang, Yang. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004396.

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2025Inhibit or promote: Nonlinear spatial impacts of renewable energy on economic growth in China. (2025). Wang, Qunwei ; Ding, Hao ; Zhou, Dequn ; Liu, Fang. In: Energy. RePEc:eee:energy:v:335:y:2025:i:c:s0360544225037508.

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2025What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673.

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2025Markov regime-switching in pricing equity-linked securities: An empirical study for losses in HSCEI-linked products. (2025). Kim, Hongjoong ; Park, Sungwon ; Moon, Kyoung-Sook. In: Finance Research Letters. RePEc:eee:finlet:v:76:y:2025:i:c:s154461232500193x.

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2025Unpacking the crisis: Impact of COVID-19 on global equity flows. (2025). Yksel, Zafer H ; Lin, Bingxuan ; Liu, Zhouyi. In: Journal of Financial Stability. RePEc:eee:finsta:v:81:y:2025:i:c:s1572308925001081.

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2025The effects of physical and transition climate risk on stock markets: Some multi-Country evidence. (2025). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Colella, Ida ; Albanese, Marina. In: International Economics. RePEc:eee:inteco:v:181:y:2025:i:c:s2110701724000945.

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2025Food, harvesting and interest rate nexus: Quantile investigation about dependencies and spillover. (2025). Gubareva, Mariya ; Ghosh, Anandita ; Vo, Xuan Vinh ; Papadas, Dimitrios. In: International Economics. RePEc:eee:inteco:v:182:y:2025:i:c:s2110701725000162.

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2025Multidimensional information spillover between cryptocurrencies and China’s financial markets under shocks from stringent government regulations. (2025). Wu, Xin ; Chen, Yiru ; Hu, Jingwen ; Yang, Ming-Yuan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:100:y:2025:i:c:s1042443125000241.

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2025A system dynamics framework to formulate energy policies for sustainable development in Ethiopia. (2025). Alemayehu, Haimanote Belay ; Liu, Shiyong ; He, Yuxiang ; Zhang, Weiwei ; Kong, Ying. In: Utilities Policy. RePEc:eee:juipol:v:95:y:2025:i:c:s0957178725000682.

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2025Temporal dynamics of uncertainty shocks on Chinas trade openness: A TVP-VAR estimation. (2025). Emmanouilidis, Kyriakos ; Golitsis, Petros. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:79:y:2025:i:c:s1042444x25000209.

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2025Extreme frequency connectedness, determinants and portfolio analysis of major cryptocurrencies: Insights from quantile time-frequency approach. (2025). Kang, Sang Hoon ; Mishra, Sibanjan ; Bhattacherjee, Purba. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976925000158.

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2025Robotic transformation and energy transition in China: A new era of innovation. (2025). Barut, Abdulkadir ; Akpinar, Esra Nur ; Itil, Mcahit ; Alofaysan, Hind ; Erdem, Azad. In: Renewable Energy. RePEc:eee:renene:v:251:y:2025:i:c:s0960148125010158.

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2025Dynamic policy pathfinding for balanced growth of energy trilemma: Evidence from the worlds large energy-consuming economies. (2025). Shirazi, Masoud. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:214:y:2025:i:c:s1364032125001662.

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2025News sentiment and DeFi coin returns: An empirical analysis. (2025). Corbet, Shaen ; Cepni, Oguzhan ; Aysan, Ahmet Faruk ; Akyildirim, Erdinc. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s105905602500646x.

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2025Resilience or returns: Assessing green equity index performance across market regimes. (2025). Thuy, An Thi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024008232.

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2025Do environmental controversies lead to lower dividend payouts? The role of environmental performance and board gender diversity. (2025). Baatwah, Saeed Rabea ; Al-Dhamari, Redhwan ; Tawfik, Omar Ikbal ; Pucheta-Martnez, Mara Consuelo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:79:y:2025:i:c:s0275531925002934.

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2025The contagion effect of artificial intelligence across innovative industries: From blockchain and metaverse to cleantech and beyond. (2025). Arfaoui, Nadia ; Yarovaya, Larisa ; Naeem, Muhammad Abubakr. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:210:y:2025:i:c:s0040162524006206.

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2025The impact of cyber-attacks on different dimensions of cryptocurrency markets. (2025). Umar, Muhammad. In: Technology in Society. RePEc:eee:teinso:v:81:y:2025:i:c:s0160791x25000557.

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2025The Impact of the Renewable Energy Transition on Economic Growth in BRICS Nations. (2025). Khobai, Hlalefang ; Hlongwane, Nyiko Worship. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:16:p:4318-:d:1724060.

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2025Managerial Climate Attention and Systemic Risk of New Energy Vehicle Firms: Evidence from China. (2025). Zhang, Xiaotong. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:17:p:8042-:d:1743837.

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2025Fiscal and External Sustainability: a Two-Step Time-varying Granger Causality Assessment. (2025). Saadaoui, Jamel ; Coelho, José ; Afonso, Antonio ; Alves, Jos. In: Working Papers REM. RePEc:ise:remwps:wp03692025.

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2025On using fuzzy clustering for detecting the number of states in Markov switching models. (2025). Domianello, Luca Scaffidi ; Otranto, Edoardo. In: Annals of Operations Research. RePEc:spr:annopr:v:349:y:2025:i:3:d:10.1007_s10479-025-06585-w.

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2025Unraveling Turkish agricultural market challenges: Consequences of COVID‐19, Russia–Ukraine conflict, and energy market dynamics. (2025). Urak, Faruk. In: Agribusiness. RePEc:wly:agribz:v:41:y:2025:i:2:p:307-341.

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2025Analysing the impacts of unscheduled news events on stock market contagion during the epidemic. (2025). Zhou, Long ; Liu, Fang ; Wu, Baoxiu ; Zhang, YI. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:1:p:590-601.

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2025Detangling Risk Premiums: Common and Idiosyncratic Components of Crude Oil, Corn, and Ethanol Futures. (2025). Liu, Rui ; Etienne, Xiaoli. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1409-1427.

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2025Government regulation and Chinas natural gas price distortion: A sectoral perspective. (2025). Lu, Xiangyi ; Xiao, Jianzhong ; Wang, Xiaolin ; Wen, LE ; Peng, Jiachao. In: Natural Resources Forum. RePEc:wly:natres:v:49:y:2025:i:1:p:725-747.

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2025The path to Chinas zero‐carbon target: Implications for the relationship between de‐coal, economic output, and carbon dioxide emissions. (2025). Kocak, Emrah ; Alnour, Mohammed. In: Sustainable Development. RePEc:wly:sustdv:v:33:y:2025:i:1:p:100-112.

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2025The Influence of Prior Knowledge and Perceived Impact on the Connection Between Attitudes and Sustainable Behavior. (2025). Lainekronberg, Annika ; Gugenishvili, Ilia. In: Sustainable Development. RePEc:wly:sustdv:v:33:y:2025:i:3:p:4099-4111.

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2025Advancing Sustainability Assessment of Renewable Energy: A Study on Indicator‐to‐Framework Methods and Associated Rule Mining. (2025). Abdolmaleki, Shoeib Faraji ; Bello, Pastora M. In: Sustainable Development. RePEc:wly:sustdv:v:33:y:2025:i:3:p:4393-4427.

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2025On the effects of global uncertainty shocks on portfolio flows. (2025). Bettendorf, Timo ; Beckmann, Joscha. In: Discussion Papers. RePEc:zbw:bubdps:328246.

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Works by Fabio Spagnolo:

YearTitleTypeCited
2026VOLatility Archive for Realized Estimates (VOLARE) In: Papers.
[Full Text][Citation analysis]		paper0
2010Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper16
2011Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 16		article
2007Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers.
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2009Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers.
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This paper has nother version. Agregated cites: 16		paper
2010State-Dependent Threshold STAR Models In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper1
2014Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model In: BCAM Working Papers.
[Full Text][Citation analysis]		paper18
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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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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2003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article90
2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article16
2002Inflation Targeting, Exchange Rate Volatility and International Policy Coordination In: Manchester School.
[Full Text][Citation analysis]		article3
2004Is the Feldstein–Horioka Puzzle History? In: Manchester School.
[Full Text][Citation analysis]		article80
2013State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article9
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.
[Full Text][Citation analysis]		article9
2009The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2011Contemporaneous-Threshold Smooth Transition GARCH Models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2009Contemporaneous-Threshold Smooth Transition GARCH Models.(2009) In: Department of Economics Working Papers.
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2016Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India In: Revue économique.
[Full Text][Citation analysis]		article0
2014Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper14
2014Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis.(2014) In: Discussion Papers of DIW Berlin.
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2016Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis.(2016) In: International Review of Financial Analysis.
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2014Macro News and Bond Yield Spreads in the Euro Area In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper20
2014Macro News and Bond Yield Spreads in the Euro Area.(2014) In: Discussion Papers of DIW Berlin.
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2018Macro news and bond yield spreads in the euro area.(2018) In: The European Journal of Finance.
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2015Spillovers between Food and Energy Prices and Structural Breaks In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper68
2017Spillovers between food and energy prices and structural breaks.(2017) In: International Economics.
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2015Spillovers between Food and Energy Prices and Structural Breaks.(2015) In: Discussion Papers of DIW Berlin.
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2017Spillovers between food and energy prices and structural breaks.(2017) In: International Economics.
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2016Spillovers between food and energy prices and structural breaks.(2016) In: NCID Working Papers.
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2015Macro News and Commodity Returns In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper23
2015Macro News and Commodity Returns.(2015) In: Discussion Papers of DIW Berlin.
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2017Macro News and Commodity Returns.(2017) In: International Journal of Finance & Economics.
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2015International Portfolio Flows and Exchange Rate Volatility for Emerging Markets In: CESifo Working Paper Series.
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2015International Portfolio Flows and Exchange Rate Volatility for Emerging Markets.(2015) In: Discussion Papers of DIW Berlin.
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2016Macro News and Exchange Rates in the BRICS In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper14
2016Macro News and Exchange Rates in the BRICS.(2016) In: Discussion Papers of DIW Berlin.
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2017Macro news and exchange rates in the BRICS.(2017) In: Finance Research Letters.
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2016Exchange Rates and Macro News in Emerging Markets In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper10
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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2018Political Tension and Stock Markets in the Arabian Peninsula In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper6
2021Political tension and stock markets in the Arabian Peninsula.(2021) In: International Journal of Finance & Economics.
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2018The Impact of Business and Political News on the GCC Stock Markets In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper10
2020The impact of business and political news on the GCC stock markets.(2020) In: Research in International Business and Finance.
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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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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.
[Full Text][Citation analysis]		paper40
2021Cyber-attacks, spillovers and contagion in the cryptocurrency markets.(2021) In: Journal of International Financial Markets, Institutions and Money.
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2021The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20 In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper5
2022The COVID-19 pandemic, policy responses and stock markets in the G20.(2022) In: International Economics.
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2022The COVID-19 pandemic, policy responses and stock markets in the G20.(2022) In: International Economics.
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2022The economic and welfare state determinants of well-being in Europe In: International Economics.
[Full Text][Citation analysis]		article2
2022The economic and welfare state determinants of well-being in Europe.(2022) In: International Economics.
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2004On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts In: CEPR Discussion Papers.
[Full Text][Citation analysis]		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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2001A simple procedure for detecting periodically collapsing rational bubbles In: Economics Letters.
[Full Text][Citation analysis]		article16
2002A test for volatility spillovers In: Economics Letters.
[Full Text][Citation analysis]		article33
2004Red signals: current account deficits and sustainability In: Economics Letters.
[Full Text][Citation analysis]		article33
2007Predicting Markov volatility switches using monetary policy variables In: Economics Letters.
[Full Text][Citation analysis]		article7
2007Contemporaneous threshold autoregressive models: Estimation, testing and forecasting In: Journal of Econometrics.
[Full Text][Citation analysis]		article21
2006Contemporaneous threshold autoregressive models: estimation, testing and forecasting.(2006) In: Working Papers.
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2007Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2007) In: Discussion Papers.
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2006Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2006) In: Department of Economics Working Papers.
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2022Renewable energy and economic growth: A Markov-switching approach In: Energy.
[Full Text][Citation analysis]		article17
2017International portfolio flows and exchange rate volatility in emerging Asian markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article26
2025Stock market returns and climate risk in the U.S. In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article3
2004On Markov error-correction models, with an application to stock prices and dividends In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article106
2005Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables In: Journal of Applied Econometrics.
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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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2014Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach In: International Series in Operations Research & Management Science.
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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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