Fabio Spagnolo : Citation Profile

16

H index

20

i10 index

768

Citations

RESEARCH PRODUCTION:

37

Articles

36

Papers

2

Chapters

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 34
   Journals where Fabio Spagnolo has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 31 (3.88 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psp45
   Updated: 2025-04-12    RAS profile: 2022-11-23    
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Relations with other researchers

Works with:

Spagnolo, Nicola (11)

Caporale, Guglielmo Maria (9)

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)

Sola, Martin (14)

Mouratidis, Kostas (14)

Caglayan, Mustafa (13)

Psaradakis, Zacharias (10)

Otranto, Edoardo (10)

Yousaf, Imran (9)

Spagnolo, Nicola (9)

Miller, Stephen (8)

Shahbaz, Muhammad (8)

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

Production by document typepaperchapterarticle200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120220510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120220255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250255075100Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120220100200300Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 16Most cited documents123456789101112131415161718050100150Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250401020h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Fabio Spagnolo has published?

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

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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Advanced Models for Hourly Marginal CO2 Emission Factor Estimation: A Synergy between Fundamental and Statistical Approaches. (2024). Muesgens, Felix ; Batzlineiro, Taimyra ; Sgarciu, Smaranda ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2412.17379.

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2024On the connectedness of commodity markets: A critical and selective survey of empirical studies and bibliometric analysis. (2024). USMAN, OJONUGWA ; Ağan, Büşra ; Agan, Busra ; Balcilar, Mehmet. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:97-136.

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2024.

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2024.

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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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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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2024TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes. (2024). Sakarya, Burhan ; Erturul, Hasan Murat ; Polat, Onur ; Akgul, Ali. In: Applied Energy. RePEc:eee:appene:v:357:y:2024:i:c:s0306261923018512.

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2024Emotional spillovers in the cryptocurrency market. (2024). Tang, Yayan ; Bouri, Elie ; Hasan, Mudassar. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635023000928.

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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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2024Yield curve trading strategies exploiting sentiment data. (2024). Serwart, Jan ; Audrino, Francesco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001517.

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2024Expectations, sentiments and capital flows to emerging market economies. (2024). Boonman, Tjeerd ; Beckmann, Joscha ; Schreiber, Sven. In: Emerging Markets Review. RePEc:eee:ememar:v:62:y:2024:i:c:s1566014124000670.

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2024Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies. (2024). Kara, Marta ; Soski, Tomasz ; Mercik, Aleksander. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000024.

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2024Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach. (2024). Goodell, John W ; Pham, Linh ; Yousaf, Imran. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924000887.

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2024Contagion and linkages across international currencies. (2024). Tuteja, Divya ; Bhatia, Shipra. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002333.

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2024Uncertainty and cryptocurrency returns: A lesson from turbulent times. (2024). Hemmings, Danial ; Gorka, Joanna ; Bdowska-Sojka, Barbara ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400262x.

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2024FX resilience around the world: Fighting volatile cross-border capital flows. (2024). Liu, Estelle Xue ; Chen, Louisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006859.

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2024Spot cryptocurrency ETFs: Crypto investment products or stepping stones toward tokenization. (2024). Yang, Changyu ; Liu, Shiang. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011796.

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2024Frequency connectedness between DeFi and cryptocurrency markets. (2024). Kang, Sang Hoon ; Gubareva, Mariya ; Mensi, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:12-27.

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2024Bitcoin forks: What drives the branches?. (2024). Corbet, Shaen ; Oxley, Les ; Hu, Yang ; Hou, Yang ; Conlon, Thomas. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000539.

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2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, HK ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

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2024Exploring the impacts of major events on the global oil and food markets. (2024). Su, Bin ; Wu, Yunsong ; Chen, Zhenling ; Teng, Man ; Ni, Guohua. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002180.

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2024Airline stock market performance and political relations: A cross-quantilogram analysis of Chinese and US carriers. (2024). Cai, Yifei ; Wu, Yanrui ; Zhang, Yahua ; Chang, Tsangyao. In: Transport Policy. RePEc:eee:trapol:v:155:y:2024:i:c:p:124-149.

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2024Unveiling the Dynamics: Exploring the Relationship between Emerging Stock Market Prices and Macroeconomic Indicators through ARDL Analysis. (2024). Baba, Murtala Mustapha ; Gm, Nihat. In: International Econometric Review (IER). RePEc:erh:journl:v:16:y:2024:i:1:p:24-49.

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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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2024Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe. (2024). Caporale, Guglielmo Maria ; Akdeniz, Cokun ; Lhan, Ali ; Atik, Abdurrahman Nazif ; Helmi, Mohamad Husam. In: Empirica. RePEc:kap:empiri:v:51:y:2024:i:2:d:10.1007_s10663-024-09608-0.

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2024Expose the Hidden : Investor Sentiment and Anomaly Strategies in Emerging Market. (2024). Ali, Furman ; Ahmad, Masood ; Ur, Muhammad Ateeq. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2024:i:4:p:63-81.

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2024The International Capital Flows and Domestic Savings€“domestic Investment Nexus: A Comparative Evidence Between Heterogeneous Developing Regions. (2024). Pal, Shreya. In: South Asian Journal of Macroeconomics and Public Finance. RePEc:sae:smppub:v:13:y:2024:i:2:p:169-212.

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2024Exploring Bitcoin dynamics against the backdrop of COVID-19: an investigation of major global events. (2024). Guo, Xiaochun. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00514-1.

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2024Heterogeneity in the volatility spillover of cryptocurrencies and exchanges. (2024). Wu, Meiyu ; Wang, LI ; Yang, Haijun. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00585-0.

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2024The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis. (2024). Yarovaya, Larisa ; Shahzad, Syed Jawad Hussain ; Anas, Muhammad. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00595-y.

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2024Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large dataset. (2024). Lahmiri, Salim. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00628-0.

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Works by Fabio Spagnolo:

Year  ↓Title  ↓Type  ↓Cited  ↓
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2007Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
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]		paper17
2012Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model.(2012) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		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: 17		article
2003ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article87
2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article15
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]		article8
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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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.
[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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		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: 14		article
2014Macro News and Bond Yield Spreads in the Euro Area In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper18
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: 18		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: 18		article
2015Spillovers between Food and Energy Prices and Structural Breaks In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper61
2017Spillovers between food and energy prices and structural breaks.(2017) In: International Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		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: 61		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: 61		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: 61		paper
2015Macro News and Commodity Returns In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper21
2015Macro News and Commodity Returns.(2015) In: Discussion Papers of DIW Berlin.
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This paper has nother version. Agregated cites: 21		paper
2017Macro News and Commodity Returns.(2017) In: International Journal of Finance & Economics.
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This paper has nother version. Agregated cites: 21		article
2015International Portfolio Flows and Exchange Rate Volatility for Emerging Markets In: CESifo Working Paper Series.
[Full Text][Citation analysis]		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		paper
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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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.
[Full Text][Citation analysis]		paper9
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		paper
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.
[Full Text][Citation analysis]		paper6
2021Political tension and stock markets in the Arabian Peninsula.(2021) In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2018The Impact of Business and Political News on the GCC Stock Markets In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper9
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: 9		article
2019Non-Linearities, Cyber Attacks and Cryptocurrencies In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper19
2020Non-linearities, cyber attacks and cryptocurrencies.(2020) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 19		article
2020Cross-Border Portfolio Flows and News Media Coverage In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper4
2022Cross-border portfolio flows and news media coverage.(2022) In: Journal of International Money and Finance.
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This paper has nother version. Agregated cites: 4		article
2020Cyber-Attacks, Cryptocurrencies, and Cyber Security In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper0
2020Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper32
2021Cyber-attacks, spillovers and contagion in the cryptocurrency markets.(2021) In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		article
2021The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20 In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper5
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2007Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
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: 21		paper
2022Renewable energy and economic growth: A Markov-switching approach In: Energy.
[Full Text][Citation analysis]		article9
2022The economic and welfare state determinants of well-being in Europe In: International Economics.
[Full Text][Citation analysis]		article0
2017International portfolio flows and exchange rate volatility in emerging Asian markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article25
2004On Markov error-correction models, with an application to stock prices and dividends In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article104
2005Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article27
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: 27		article
2005Forecast performance of nonlinear error-correction models with multiple regimes In: Journal of Forecasting.
[Full Text][Citation analysis]		article4
2004The Feldstein-Horioka puzzle is not as bad as you think In: Money Macro and Finance (MMF) Research Group Conference 2003.
[Full Text][Citation analysis]		paper9
2000The Prisoners Dilemma and Regime-Switching in the Greek-Turkish Arms Race In: Journal of Peace Research.
[Full Text][Citation analysis]		article17
2017Portfolio flows and the US dollar–yen exchange rate In: Empirical Economics.
[Full Text][Citation analysis]		article0
2007An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter1
2014Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter0
2010Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities In: Department of Economics Working Papers.
[Full Text][Citation analysis]		paper7

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