Nicola Spagnolo

Economics and Econometrics · 2002–2015

A researcher in the Science corpus: 9 papers; trusts 16 researchers and is trusted by 15 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 70 citations into it; #9,906 of 23,481 by trust here, #3,749 by citations
• Finance — 46 citations into it; #2,515 of 10,518 by trust here, #1,670 by citations
• Statistics and Probability — 10 citations into it; #3,755 of 12,932 by trust here, #5,857 by citations

Whom Nicola Spagnolo trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jorma Rissanen
2. Hirotugu Akaike
3. Roberto Rigobon
4. Robert F. Engle
5. Jing Zhang
6. Zacharias Psaradakis
7. George Kapetanios
8. Kristin J. Forbes
9. Robert A. Stine
10. A. Ng

Who trusts Nicola Spagnolo overall

1. Shiu‐Sheng Chen
2. Julien Chevallier
3. Massimo Guidolin
4. Matthew Brigida
5. Zacharias Psaradakis
6. Pierre Guérin
7. Robert C. Jung
8. Alesia Kalbaska
9. Massimiliano Marcellino

Papers from Nicola Spagnolo's perspective

Ordered by how strongly the researchers Nicola Spagnolo trusts endorse each paper. Same corpus, a different order for every researcher.

1. Information Theory and an Extension of the Maximum Likelihood Principle
2. Estimating the Dimension of a Model
3. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
4. Dynamic Conditional Correlation
5. The Impact of Oil Price Shocks on the U.S. Stock Market
6. Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes
7. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries
8. Relationships between oil price shocks and stock market: An empirical analysis from China ☆
9. Volatility spillover effects from Japan and the US to the Pacific–Basin
10. Modeling By Shortest Data Description*

Their papers

• Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching (2006) — 71 citations
• Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis (2010) — 228 citations
• The price of terror: The effects of terrorism on stock market returns and volatility (2008) — 287 citations
• Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach (2015) — 166 citations
• Volatility Spillovers and Contagion from Mature to Emerging Stock Markets (2008) — 294 citations
• Testing For Contagion: A Conditional Correlation Analysis (2005) — 250 citations
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS (2002) — 176 citations
• Testing for causality‐in‐variance: an application to the East Asian markets (2002) — 130 citations
• Volatility transmission and financial crises (2006) — 136 citations