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Information about:
Fabio Spagnolo

Personal Details | Affiliation | Works
This is information that was supplied by Fabio Spagnolo in registering through RePEc. If you are Fabio Spagnolo , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Fabio
Middle Name:
Last Name: Spagnolo
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RePEc Short-ID: psp45

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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Michael J. Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2007. "Multivariate contemporaneous threshold autoregressive models," Working Papers 2007-019, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:

  2. Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers 2003-024, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
    Published as:

  3. Driffill, John & Kenc, Turalay & Sola, Martin & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:

  4. Jerry Coakley & Ana-Maria Fuertes & Fabio Spagnolo, 2004. "The Feldstein-Horioka puzzle is not as bad as you think," Money Macro and Finance (MMF) Research Group Conference 2003 17, Money Macro and Finance Research Group. [Downloadable!]

  5. Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2002. "A Test for Volatility Spillovers," Public Policy Discussion Papers 02-04, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
    Other versions:
    Published as:

Articles

  1. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2009. "Selecting nonlinear time series models using information criteria," Journal of Time Series Analysis, Blackwell Publishing, vol. 30(4), pages 369-394, 07. [Downloadable!] (restricted)

  2. John Driffill & Turalay Kenc & Martin Sola & Fabio Spagnolo, 2009. "The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 13(1). [Downloadable!]

  3. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2007. "Predicting Markov volatility switches using monetary policy variables," Economics Letters, Elsevier, vol. 95(1), pages 110-116, April. [Downloadable!] (restricted)

  4. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December. [Downloadable!] (restricted)
    Other versions:

  5. Zacharias Psaradakis & Fabio Spagnolo, 2005. "Forecast performance of nonlinear error-correction models with multiple regimes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(2), pages 119-138. [Downloadable!]

  6. Martin Sola & Zacharias Psaradakis & Fabio Spagnolo, 2005. "Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 423-437. [Downloadable!]
    Other versions:

  7. Raybaudi, Marzia & Sola, Martin & Spagnolo, Fabio, 2004. "Red signals: current account deficits and sustainability," Economics Letters, Elsevier, vol. 84(2), pages 217-223, August. [Downloadable!] (restricted)

  8. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88. [Downloadable!]

  9. Jerry Coakley & Ana-Maria Fuertes & Fabio Spagnolo, 2004. "Is the Feldstein-Horioka Puzzle History?," Manchester School, University of Manchester, vol. 72(5), pages 569-590, 09. [Downloadable!] (restricted)

  10. Alexandre, Fernando & Driffill, John & Spagnolo, Fabio, 2002. "Inflation Targeting, Exchange Rate Volatility and International Policy Coordination," Manchester School, University of Manchester, vol. 70(4), pages 546-69, Special I. [Downloadable!] (restricted)

  11. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2002. "A test for volatility spillovers," Economics Letters, Elsevier, vol. 76(1), pages 77-84, June. [Downloadable!] (restricted)
    Other versions:

  12. Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2001. "A simple procedure for detecting periodically collapsing rational bubbles," Economics Letters, Elsevier, vol. 72(3), pages 317-323, September. [Downloadable!] (restricted)

  13. RePEc:bep:sndecm:10:2006:2:1302-1302 is not listed on IDEAS

NEP Fields

3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2007-06-23 Author is listed
  2. NEP-ECM: Econometrics (2) 2003-10-28 2007-06-23 Author is listed
  3. NEP-ETS: Econometric Time Series (3) 2004-02-29 2004-08-09 2007-06-23 Author is listed
  4. NEP-MAC: Macroeconomics (2) 2004-02-29 2007-06-23 Author is listed
  5. NEP-RMG: Risk Management (1) 2004-02-29 Author is listed
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This page was last updated on 2010-1-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.