Dr Fabio Spagnolo
Reader

Research area(s)

• Financial econometrics
• International finance
• Nonlinear time series

Research Interests

My work combines contributions to econometric theory with applications that shed light on policy-relevant issues. My research focuses on a number of fields and includes: i) the study of properties of nonlinear time series models; ii) the development of a new class of probabilistic threshold models; iii) the development of methodologies for testing for financial contagion; iv) the analysis of the relationship between stock prices and bubbles; v) the analysis of the term structure of interest rates; vi) testing for the unbiased forward exchange rate hypothesis; vii) the analysis of debt sustainability/saving-investment; viii) forecasting nonlinear time series.

Research Leader, Centre for the Analysis of Risk and Optimisation Modelling

Steering Committee Member, Centre for Empirical Finance

Project details

Smooth transition autoregressive models with state-dependent threshold

Testing trading rules predictability

Contemporaneous threshold autoregressive models: estimation, forecasting and rational expectations applications

Some potentially misleading effects of the use of time varying transition

Probabilities in Markov switching models as leading indicators

Completed:

Knowledge Transfer Partnerships Grant Asset and Liability Management£100,000 2009 - 2011 (PI)

Knowledge Transfer Partnerships Grant Financial Risk Analysis£145,000 2006 - 2009 (PI)