Fabio Spagnolo

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Exchange rates and net portfolio flows: a Markov-switching approach International Series in Operations Research & Management Science	2018-12-21	Paper
Multivariate contemporaneous-threshold autoregressive models Journal of Econometrics	2016-08-10	Paper
Contemporaneous threshold autoregressive models: estimation, testing and forecasting Journal of Econometrics	2016-05-27	Paper
Red signals: current account deficits and sustainability Economics Letters	2013-01-01	Paper
Contemporaneous-threshold smooth transition GARCH models Studies in Nonlinear Dynamics & Econometrics	2011-03-09	Paper
Selecting nonlinear time series models using information criteria Journal of Time Series Analysis	2011-02-22	Paper
The effects of different parameterizations of Markov-switching in a CIR model of bond pricing Studies in Nonlinear Dynamics & Econometrics	2010-07-02	Paper
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates Studies in Nonlinear Dynamics & Econometrics	2008-04-04	Paper
An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market International Series in Operations Research & Management Science	2007-11-05	Paper
Treasury management model with foreign exchange exposure Computational Optimization and Applications	2005-11-16	Paper
A test for volatility spillovers. Economics Letters	2002-07-15	Paper
A simple procedure for detecting periodically collapsing rational bubbles Economics Letters	2001-08-20	Paper

Research outcomes over time

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