Dr Nicola Spagnolo Reader Room MJ 245 Telephone +44(0)1895 266536 Fax +44(0)1895 269770 Email Nicola.Spagnolo@brunel.ac.uk   Personal Web Page
About	Nicola Spagnolo is Reader of Economics and Finance and Research Associate of the Centre for Empirical Finance at Brunel University, London; he is also Research Associate of the Centre for Applied Macroeconomic Analysis (Canberra, Australia). His research interests include Econometrics, Financial Economics and International Finance. Dr Spagnolo has published papers in leading academic journals, such as Economics Letters, Journal of Empirical Finance, Journal of Time Series Analysis, International Journal of Finance and Economics and Review of World Economic
Research Interests	Non Linear Econometrics, Macroeconomics, Financial Economics and International Finance.
Selected Publications	The Price of Terror: Terrorism and the Effect on Stock Market Returns and Volatility, with Arin K. P. and Ciferri D., 2008, Economics Letters, forthcoming. Hidden Markov Models for Financial Optimisation Problems, with Mitra G. and Roman D., 2008, IMA Journal of Management  Maths, forthcoming. Predicting Markov Switches Volatility with Monetary Variables, with Sola, M. and Spagnolo, F., 2007, Economics Letters, 95, 1, 110-116. Evaluating Currency Crises: the Case of the European Monetary System, with Cipollini, A. and Mouratidis,  K., 2007, Empirical Economics, 41,2, 15-22 Volatility Transmission and Financial Crises, with Caporale, G.M. and Pittis, N., 2006, Volatility transmission and financial crises, Journal of Economics and Finance, Fall issue, 30, 3, 376-390. Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Switching, 2006, with Psaradakis, Z., Journal of Time Series Analysis, 24, 2, 237-252 Testing for Financial Contagion between Developed and Emerging Markets. with Arestis, P., Caporale, G.M, and Cipollini, A., 2005, International Journal of Finance and Economics, 10, 4, 359-367 Testing for Contagion: a Conditional Correlation Analysis, with Caporale, G.M. and Cipollini, A., 2005, Journal of Empirical Finance 12, 476-489 Are Currency Crises Self-fulfilling? The Case of Argentina, with Boinet, V. and Napolitano, O., 2005, Review of World Economics 141, 2, 357-368 On the Determination of the Number of Regimes in Markov Switching Autoregressive Models, with Psaradakis, Z., Journal ofTime Series Analysis, 2003, 24, 2, 237-252 Modeling East Asian Exchange Rates: a Markov-switching Approach, with Caporale, G.M., 2004, Applied Financial Economics, 14, 233-242 Asset Prices and Output Growth Volatility: the Effects of Financial Crises, with Caporale, G.M., 2003, Economics Letters, 79, 1, 69-74 A Test for Volatility Spillovers, with Sola, M. e Spagnolo, F., 2002, Economics Letters, 76, 77-84 Power Properties of Non-linearity Tests for Time Series with Markov Regime, with Psaradakis, Z., 2002, Studies of Nonlinear Dynamics and Econometrics, 6, 3 Testing for Causality-in-variance: an Application to the East Asian Markets, with Caporale, G.M. and Pittis, N., 2002, International Journal of Finance and Economics, 7, 3, 235-245 Feedbacks between Stock Prices and Exchange Rates in the East  Asian Markets, with Caporale, G.M. and Pittis, N., 2003, in “Advances in International Economics and Finance”, Kluwer Academic Publishers
Working Papers	The Short-Term Growth Effects of Fiscal Policy Revisited, with K. Peren Arin Model Selection Criteria and Non-Linear Models, with Zacharias Psaradakis, Martin Sola and Fabio Spagnolo Inflation and Financial Volatility Trade-off, with Alex Kontonikas and Alberto Montagnoli Stock Market Integration and the EMU, with Philip Davis Interest and Exchange Rate Risk and Stock Returns: A GARCH-M Modelling Approach, with John Beirne and Guglielmo Maria Caporale Central Bank Intervention and Exchange Rates, with Dave Seerattan Global and Regional Spillovers in Emerging Equity Markets, with John Beirne, Guglielmo Maria Caporale and Marianne Schulze-Ghattas Electricity Prices and Spillover Effect in the European Market, with Davide Ciferri.
Grants	KTP “Financial Risk Analysis” (2005-2009), £ 145,000 BRIEF Award “Stock Market Volatility, the Effect of Financial Crises” (2002-2004), £ 8,000
PhD Supervision	Dr George Bagdatoglou Mr Dave Seerattan Ms Nurnadia Hassan
Current Teaching	Financial Engineering (EC5004, MSc) Advanced Macroeconomics (EC3062, 3rd year UG)