Fabio Spagnolo : Citation Profile

Are you Fabio Spagnolo?

16

H index

19

i10 index

651

Citations

RESEARCH PRODUCTION:

36

Articles

36

Papers

2

Chapters

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 29
   Journals where Fabio Spagnolo has often published
   Relations with other researchers
   Recent citing documents: 71.    Total self citations: 27 (3.98 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psp45
   Updated: 2024-11-04    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:

Sola, Martin (14)

Mouratidis, Kostas (11)

Caglayan, Mustafa (11)

GUPTA, RANGAN (10)

Psaradakis, Zacharias (9)

Yousaf, Imran (8)

Shahbaz, Muhammad (8)

Salisu, Afees (7)

Chang, Chia-Lin (7)

Gabriel, Vasco (7)

Tansuchat, Roengchai (7)

Cites to:

Spagnolo, Nicola (33)

Sola, Martin (33)

Psaradakis, Zacharias (28)

Caporale, Guglielmo Maria (27)

Hansen, Bruce (23)

Diebold, Francis (21)

Obstfeld, Maurice (15)

Heckman, James (14)

Hamilton, James (12)

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
International Economics2
Journal of International Money and Finance2
Journal of Applied Econometrics2
Finance Research Letters2
Journal of Econometrics2
Research in International Business and Finance2
International Journal of Finance & Economics2
Journal of Applied Econometrics2
Manchester School2

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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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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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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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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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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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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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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2023Decomposed oil price shocks and GCC stock market sector returns and volatility. (2023). Abuzayed, Bana ; Bouri, Elie ; Al-Fayoumi, Nedal. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004280.

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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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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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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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2023Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets. (2023). Vigne, Samuel A ; Wang, Yizhi ; Wei, YU ; Ma, Zhenyu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000896.

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2023Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach. (2023). ben Arfi, Wissal ; Rezgui, Hichem ; ben Jabeur, Sami ; Aloui, Riadh. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005846.

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2023Bitcoin market networks and cyberattacks. (2023). Sousa, Ricardo ; Costantini, Mauro ; Mishra, Tapas ; Maaitah, Ahmad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123007203.

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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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2023Measuring the diversification of energy sources: The energy mix. (2023). Avila-Cano, Antonio ; Aranda, Francisco Trujillo ; Triguero-Ruiz, Francisco. In: Renewable Energy. RePEc:eee:renene:v:216:y:2023:i:c:s0960148123010108.

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2023The impact of primary energy supply, effective capital and renewable energy on economic growth in the EU-27 countries. A dynamic panel GMM analysis. (2023). Seraj, Mehdi ; Ozdeser, Huseyin ; Deka, Abraham. In: Renewable Energy. RePEc:eee:renene:v:219:y:2023:i:p1:s0960148123013654.

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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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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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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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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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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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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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2023Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis. (2023). Aftab, Muhammad ; Qureshi, Saba. In: Global Business Review. RePEc:sae:globus:v:24:y:2023:i:6:p:1180-1204.

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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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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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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.
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2014Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model In: BCAM Working Papers.
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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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This paper has nother version. Agregated cites: 16		article
2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
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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]		article78
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.
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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.
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2014Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis In: CESifo Working Paper Series.
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2014Macro News and 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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This paper has nother version. Agregated cites: 13		article
2014Macro News and Bond Yield Spreads in the Euro Area In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper16
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]		paper59
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.
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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]		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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2018Political Tension and Stock Markets in the Arabian Peninsula In: CESifo Working Paper Series.
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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.
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2020The impact of business and political news on the GCC stock markets.(2020) In: Research in International Business and Finance.
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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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This paper has nother version. Agregated cites: 2		article
2020Cyber-Attacks, Cryptocurrencies, and Cyber Security In: CESifo Working Paper Series.
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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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