PhD, Birkbeck College, University of London MSc, Birkbeck College, University of London BSc, Universita' Parthenope, Naples, Italy Teaching. Centre for Empirical Finance, CEF , Brunel University Centre for the Analysis of Risk and Optimisation Modelling Applications, CARISMA , Brunel University Centre for Applied Macroeconomic Analysis, CAMA , The Australian National University, Canberra Editorial Board.

Review of Economics and Institutions, REI Selected publications. Fiscal Multipliers in Good Times and Bad Times, with K.

Koray, , Journal of Macroeconomics , forthcoming. Exchange Rate Uncertainty and International Portfolio Flows, with G. Menla Ali, , Journal of International Money and Finance , forthcoming.

Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach, with G.

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Menla Ali, , China Economic Review , forthcoming. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets, with J. Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Model, with J.

Caporale, , The Manchester School , 81, 6, CO2 Emissions and Economic Growth, with M. Barassi, , The Energy Journal , 33, 3, Stock Market Integration in Central and Eastern Europe, with G. Caporale, , Journal of Economic Integration , 27, 1, Stock Market, Economic Growth, and EU Accession: Evidence from three CEECs, with G.

Caporale, , International Journal of Monetary Economics and Finance , 5, 2, The Short-Term Growth Effects of Fiscal Policy Revisited: Arin, , Economics Letters , , 3, Exploring the Dynamics Between Terrorism and Anti-Terror Spending: Theory and UK-Evidence, with K.

Stock Market Integration between three CEECs, Russia and the UK, with G. Caporale, , Review of International Economics , 19, 1, Hidden Markov Models for Financial Optimisation Problems, with G. Roman, , IMA Journal of Management Maths , 21, Global and Regional Spillovers in Emerging Equity Markets, with J. Schulze-Ghattas, , Emerging Markets Review , 11, Central Bank Intervention and Exchange Rates, with D. Seerattan, , Applied Financial Economics , 19, 17, Stock Market, Interest Rate and Exchange Rate Risk Effects on Financial Stock Returns: A GARCH-M Modelling Approach, with J.

Caporale, , Quantitative and Qualitative Analysis in Social Sciences , 3, 2, Selecting Nonlinear Time Series Models Using Information Criteria, with Z. Spagnolo, , Journal of Time Series Analysis , 30, 4, Schulze-Ghattas, , IMF WP and ECB WP The Price of Terror: Terrorism and the Effect on Stock Market Returns and Volatility, with K.

Ciferri, , Economics Letters , , 3, Predicting Markov Switches Volatility with Monetary Variables, with M. Spagnolo, , Economics Letters , 95, 1, Mouratidis, , Empirical Economics , 41, 2, Volatility Transmission and Financial Crises, with G.

Pittis, , Journal of Economics and Finance , Fall Issue, 30, 3, Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Switching, , with Z. Psaradakis, Journal of Time Series Analysis , 24, 2, Testing for Financial Contagion between Developed and Emerging Markets, with P. M Caporale and A. Cipollini, , International Journal of Finance and Economics , 10, 4, Cipollini, , Journal of Empirical Finance , 12, Purchasing Power Parity and Half-lives: A comment, with G.

Cerrato, , Applied Financial Economics Letters , 1, Are Currency Crises Self-fulfilling? The Case of Argentina, with V. Napolitano, , Review of World Economics , 2, On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models, with Z. Psaradakis, Journal of Time Series Analysis , , 24, 2, Asset Prices and Output Growth Volatility: Caporale, , Economics Letters , 79, 1, Modeling East Asian Exchange Rates: Caporale, , Applied Financial Economics , 14, IGARCH Models and Structural Breaks, with G.

Pittis, , Applied Economic Letters , , A Test for Volatility Spillovers, with M. Spagnolo, , Economics Letters , 76, Power Properties of Non-linearity Tests for Time Series with Markov Regime, with Z. Psaradakis, , Studies of Nonlinear Dynamics and Econometrics , 6, 3. Pittis, , International Journal of Finance and Economics , 7, 3, Exchange rates and net portfolio flows: Spagnolo, , in "Hidden Markov Models in Finance: Volume II Further Developments and Applications ", forthcoming, Springer's International Series in Operations Research and Management Science.

Financial Spillovers and Contagion from Mature to Emerging Stock Markets, with J. Schulze-Ghattas, , in "Financial Contagion: Testing for Global and Regional Spillovers in Emerging Stock Markets: A GARCH-in-mean approach, with J. Schulze-Ghattas, , FIDUCIE , Journal of the Financial Study Association, Amsterdam. Feedbacks between Stock Prices and Exchange Rates in the East Asian Markets, with Caporale, G.

Integration and Clustering for Sustainable Economic Growth - Google Livres

Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis, with G. Media and Immigration, with M. Macro News and Bond Yield Spreads in the Euro Area, with G.

Some Potentially Misleading Effects of the Use of Time Varying Transition Probabilities in Markov Switching Models as Leading Indicators, with Z. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India, with K. Happiness, Taxes and Public Spending in the Euro Area, with M. Portfolio Flows and the US dollar-yen Exchange Rate Puzzle: Menla Ali and F.

Credit Default Swap and Stock Markets, with M. Inflation and Financial Volatility Trade-off, with A. Financial Crises, Contagion, Non Linear Time Series External Examiner. Skip to Page Content Skip to Site Navigation Skip to Section Navigation.

Search Disabled Users Contact Us. Dr Nicola Spagnolo Job Title: Reader in Economics and Finance Email: Contributions to Volumes Exchange rates and net portfolio flows: Brunel University, Stock Market Volatility: Reader in Economics and Finance.