Details about Martin Sola

Homepage:	https://www.utdt.edu/ver_contenido.php?id_contenido=3037id_item_menu=5954
Workplace:	Departamento de Economía (Department of Economics), Universidad Torcuato Di Tella (Torcuato di Tella University), (more information at EDIRC)

Access statistics for papers by Martin Sola.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: pso207

---

Jump to Journal Articles

Working Papers

2024

1. On Regime Separation in Markov-Switching Quantile Regressions
   Department of Economics Working Papers, Universidad Torcuato Di Tella
2. On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities
   Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (1)
3. Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions
   Department of Economics Working Papers, Universidad Torcuato Di Tella
4. The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects
   Department of Economics Working Papers, Universidad Torcuato Di Tella

2023

5. A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities
   Working Papers, Red Nacional de Investigadores en Economía (RedNIE)
   Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2023)
6. Rational Bubbles: Too Many to be True?
   Working Papers, Red Nacional de Investigadores en Economía (RedNIE) View citations (4)
   Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2021)
   See also Journal Article Rational bubbles: Too many to be true?, Journal of Economic Dynamics and Control, Elsevier (2023) View citations (4) (2023)
7. Risk Aversion and Changes in Regime
   Working Papers, Red Nacional de Investigadores en Economía (RedNIE)
   Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2021)

2022

8. A Time-Varying Threshold STAR Model with Applications
   Working Papers, Federal Reserve Bank of St. Louis View citations (2)
   Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2022)
   See also Journal Article A time-varying threshold STAR model with applications, Oxford Open Economics, Oxford University Press (2023) (2023)
9. Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals
   Working Papers, Red Nacional de Investigadores en Economía (RedNIE)
   Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2022)
10. On Testing for Bubbles During Hyperinflations
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    See also Journal Article On testing for bubbles during hyperinflations, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2024) (2024)

2021

11. Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    Also in Papers, arXiv.org (2021) View citations (2)
    See also Journal Article Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities, Econometrica, Econometric Society (2022) View citations (6) (2022)

2018

12. Bond Risk Premia and the ”Return Forecasting Factor”
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    See also Journal Article Bond risk premia and the return forecasting factor, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2020) (2020)
13. Bond risk premia and restrictions on risk prices
    Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (1)
    See also Journal Article Bond Risk Premia and Restrictions on Risk Prices, JRFM, MDPI (2018) View citations (1) (2018)

2017

14. Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2017)
    See also Journal Article Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities, Econometrics and Statistics, Elsevier (2024) View citations (1) (2024)

2016

15. Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes
    Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (4)
16. Risk Premia and Seasonality in Commodity Futures
    Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (3)
    Also in Bank of England working papers, Bank of England (2016) View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (3)
    See also Journal Article Risk premia and seasonality in commodity futures, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (8) (2018)

2014

17. Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model
    BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics View citations (1)
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2012) View citations (1)
    See also Journal Article Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (15) (2015)
18. Toward a “new” inflation-targeting framework: the case of Uruguay
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2014) View citations (1)
    Research Department Publications, Inter-American Development Bank, Research Department (2014) View citations (3)
    IDB Publications (Working Papers), Inter-American Development Bank (2014) View citations (4)
    See also Journal Article Toward a “New” Inflation-Targeting Framework: The Case of Uruguay, Economía Journal, The Latin American and Caribbean Economic Association - LACEA (2014) View citations (3) (2014)

2010

19. Multivariate Contemporaneous-Threshold Autoregressive Models
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (7)
    Department of Economics Working Papers, Universidad Torcuato Di Tella (2009)
    See also Journal Article Multivariate contemporaneous-threshold autoregressive models, Journal of Econometrics, Elsevier (2011) View citations (14) (2011)
20. Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities
    Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (7)
21. State-Dependent Threshold STAR Models
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) View citations (1)
22. The Optimal Timing of the Introduction of New Products
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2002)

2009

23. Contemporaneous-Threshold Smooth Transition GARCH Models
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    See also Journal Article Contemporaneous-Threshold Smooth Transition GARCH Models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2011) View citations (1) (2011)
24. Real Options with Priced Regime-Switching Risk
    Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (3)
    See also Journal Article REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2013) View citations (4) (2013)

2008

25. Multivariate Markov switching with weighted regime determination: giving France more weight than Finland
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
26. On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (2)
27. Sovereign Defaults: Information, Investment and Credit
    Business School Working Papers, Universidad Torcuato Di Tella View citations (76)

2007

28. Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting
    Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy View citations (26)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2006) View citations (4)
    Department of Economics Working Papers, Universidad Torcuato Di Tella (2006)
    See also Journal Article Contemporaneous threshold autoregressive models: Estimation, testing and forecasting, Journal of Econometrics, Elsevier (2007) View citations (29) (2007)

2006

29. A Structural Model of Credit Risk with Counter-Cyclical Risk Premia
    Computing in Economics and Finance 2006, Society for Computational Economics

2005

30. Target Zones for Exchange Rates and Policy Changes
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    See also Journal Article Target zones for exchange rates and policy changes, Journal of International Money and Finance, Elsevier (2006) View citations (3) (2006)

2003

31. AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2003)
32. An Empirical Examination of Term Structure Models with Regime Shifts
    Computing in Economics and Finance 2003, Society for Computational Economics View citations (6)
    Also in Royal Economic Society Annual Conference 2003, Royal Economic Society (2003) View citations (4)
33. Markov Switching Causality and the Money-Output Relationship
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    See also Journal Article Markov switching causality and the money-output relationship, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (72) (2005)
34. Red Signals: Trade Deficits and the Current Account
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2003)
35. Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2003)
    See also Journal Article Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (28) (2005)

2002

36. A Test for Volatility Spillovers
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2002)
    See also Journal Article A test for volatility spillovers, Economics Letters, Elsevier (2002) View citations (34) (2002)
37. Merton-style option pricing under regime switching
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (4)
38. On Detrending and Cyclical Asymmetry
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    See also Journal Article On detrending and cyclical asymmetry, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2003) View citations (29) (2003)
39. On the autocorrelation properties of Long Memory Garch Processes
    Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (4)
    See also Journal Article On the Autocorrelation Properties of Long‐Memory GARCH Processes, Journal of Time Series Analysis, Wiley Blackwell (2004) View citations (33) (2004)
40. Residual-based tests for cointegration and multiple regime shifts
    NIPE Working Papers, NIPE - Universidade do Minho View citations (3)
41. The Euro exchange rate efficiency and risk premium:an ecm model
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2002)

2001

42. A simple method for testing cointegration subject to regime changes
    NIPE Working Papers, NIPE - Universidade do Minho

1998

43. An Empirical Reassessment of Target-zone Nonlinearities
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    See also Journal Article An empirical reassessment of target-zone nonlinearities, Journal of International Money and Finance, Elsevier (2001) View citations (4) (2001)

1997

44. Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small?
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (14)

1996

45. A Reconsideration of the Empirical Evidence on the Asymmetric Effects of Money-supply shocks: Positive vs. Negative or Big vs. Small
    Archive Discussion Papers, Birkbeck, Department of Economics, Mathematics & Statistics View citations (29)

1993

46. On the power of tests for superexogeneity and structural invariance
    Documentos de Trabajo (working papers), Department of Economics - dECON
    See also Journal Article On the power of tests for superexogeneity and structural invariance, Journal of Econometrics, Elsevier (1996) View citations (14) (1996)
47. Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence
    CESifo Working Paper Series, CESifo
    Also in Documentos de Trabajo (working papers), Department of Economics - dECON (1993)
    See also Journal Article Rational bubbles during Poland's hyperinflation: Implications and empirical evidence, European Economic Review, Elsevier (1994) View citations (40) (1994)
48. Structural breaks and GARCH modelling
    Documentos de Trabajo (working papers), Department of Economics - dECON

Undated

49. Cross-Sectional Aggregation and Persistence in Conditional Variance
    Discussion Papers, Department of Economics, University of York View citations (4)

Journal Articles

2024

1. Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities
   Econometrics and Statistics, 2024, 29, (C), 49-63 View citations (1)
   See also Working Paper Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities, Department of Economics Working Papers (2017) (2017)
2. On testing for bubbles during hyperinflations
   Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (1), 25-37
   See also Working Paper On Testing for Bubbles During Hyperinflations, Department of Economics Working Papers (2022) (2022)
3. On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?
   Journal of Economic Dynamics and Control, 2024, 166, (C)

2023

4. A time-varying threshold STAR model with applications
   Oxford Open Economics, 2023, 2, 63-98
   See also Working Paper A Time-Varying Threshold STAR Model with Applications, Working Papers (2022) View citations (2) (2022)
5. Rational bubbles: Too many to be true?
   Journal of Economic Dynamics and Control, 2023, 151, (C) View citations (4)
   See also Working Paper Rational Bubbles: Too Many to be True?, Working Papers (2023) View citations (4) (2023)

2022

6. Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
   Econometrica, 2022, 90, (4), 1681-1710 View citations (6)
   See also Working Paper Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities, Department of Economics Working Papers (2021) (2021)
7. OPTIMAL INVESTMENT IN INTERRELATED PROJECTS
   International Journal of Theoretical and Applied Finance (IJTAF), 2022, 25, (07n08), 1-25

2020

8. Bond risk premia and the return forecasting factor
   Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (1), 12
   See also Working Paper Bond Risk Premia and the ”Return Forecasting Factor”, Department of Economics Working Papers (2018) (2018)

2018

9. Bond Risk Premia and Restrictions on Risk Prices
   JRFM, 2018, 11, (4), 1-22 View citations (1)
   See also Working Paper Bond risk premia and restrictions on risk prices, Department of Economics Working Papers (2018) View citations (1) (2018)
10. Risk premia and seasonality in commodity futures
    Journal of Applied Econometrics, 2018, 33, (6), 853-873 View citations (8)
    See also Working Paper Risk Premia and Seasonality in Commodity Futures, Department of Economics Working Papers (2016) View citations (3) (2016)

2015

11. Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model
    Journal of Applied Econometrics, 2015, 30, (6), 987-1009 View citations (15)
    See also Working Paper Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model, BCAM Working Papers (2014) View citations (1) (2014)

2014

12. Toward a “New” Inflation-Targeting Framework: The Case of Uruguay
    Economía Journal, 2014, Volume 15 Number 1, (Fall 2014), 89-131 View citations (3)
    See also Working Paper Toward a “new” inflation-targeting framework: the case of Uruguay, LSE Research Online Documents on Economics (2014) (2014)

2013

13. REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (05), 1-30 View citations (4)
    See also Working Paper Real Options with Priced Regime-Switching Risk, Department of Economics Working Papers (2009) View citations (3) (2009)
14. State-Dependent Threshold Smooth Transition Autoregressive Models
    Oxford Bulletin of Economics and Statistics, 2013, 75, (6), 835-854 View citations (8)

2011

15. Contemporaneous-Threshold Smooth Transition GARCH Models
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (2), 25 View citations (1)
    See also Working Paper Contemporaneous-Threshold Smooth Transition GARCH Models, Department of Economics Working Papers (2009) (2009)
16. Multivariate contemporaneous-threshold autoregressive models
    Journal of Econometrics, 2011, 160, (2), 311-325 View citations (14)
    See also Working Paper Multivariate Contemporaneous-Threshold Autoregressive Models, UFAE and IAE Working Papers (2010) (2010)

2009

17. Selecting nonlinear time series models using information criteria
    Journal of Time Series Analysis, 2009, 30, (4), 369-394 View citations (18)
18. The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (1), 24 View citations (3)

2007

19. Contemporaneous threshold autoregressive models: Estimation, testing and forecasting
    Journal of Econometrics, 2007, 141, (2), 517-547 View citations (29)
    See also Working Paper Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting, Discussion Papers (2007) View citations (26) (2007)
20. Predicting Markov volatility switches using monetary policy variables
    Economics Letters, 2007, 95, (1), 110-116 View citations (7)

2006

21. 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, 2006, 10, (2), 31 View citations (9)
22. Target zones for exchange rates and policy changes
    Journal of International Money and Finance, 2006, 25, (6), 912-931 View citations (3)
    See also Working Paper Target Zones for Exchange Rates and Policy Changes, Department of Economics Working Papers (2005) (2005)

2005

23. Markov switching causality and the money-output relationship
    Journal of Applied Econometrics, 2005, 20, (5), 665-683 View citations (72)
    See also Working Paper Markov Switching Causality and the Money-Output Relationship, CEPR Discussion Papers (2003) View citations (5) (2003)
24. Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
    Journal of Applied Econometrics, 2005, 20, (3), 423-437 View citations (28)
    Also in Journal of Applied Econometrics, 2005, 20, (3), 423-437 (2005) View citations (3)
    See also Working Paper Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables, Public Policy Discussion Papers (2003) (2003)

2004

25. Asymmetric effects of monetary policy in the United States
    Review, 2004, 86, (Sep), 41-60 View citations (95)
26. On Markov error-correction models, with an application to stock prices and dividends
    Journal of Applied Econometrics, 2004, 19, (1), 69-88 View citations (105)
27. On the Autocorrelation Properties of Long‐Memory GARCH Processes
    Journal of Time Series Analysis, 2004, 25, (2), 265-282 View citations (33)
    See also Working Paper On the autocorrelation properties of Long Memory Garch Processes, Department of Economics Working Papers (2002) View citations (4) (2002)
28. Red signals: current account deficits and sustainability
    Economics Letters, 2004, 84, (2), 217-223 View citations (33)

2003

29. Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle
    Studies in Nonlinear Dynamics & Econometrics, 2003, 7, (1), 40 View citations (16)
30. On detrending and cyclical asymmetry
    Journal of Applied Econometrics, 2003, 18, (3), 271-289 View citations (29)
    See also Working Paper On Detrending and Cyclical Asymmetry, Department of Economics Working Papers (2002) (2002)
31. Target zone credibility and economic fundamentals
    Economic Modelling, 2003, 20, (4), 791-807 View citations (14)

2002

32. A simple method of testing for cointegration subject to multiple regime changes
    Economics Letters, 2002, 76, (2), 213-221 View citations (20)
33. A test for volatility spillovers
    Economics Letters, 2002, 76, (1), 77-84 View citations (34)
    See also Working Paper A Test for Volatility Spillovers, Public Policy Discussion Papers (2002) (2002)

2001

34. A simple procedure for detecting periodically collapsing rational bubbles
    Economics Letters, 2001, 72, (3), 317-323 View citations (16)
35. An empirical reassessment of target-zone nonlinearities
    Journal of International Money and Finance, 2001, 20, (4), 533-548 View citations (4)
    See also Working Paper An Empirical Reassessment of Target-zone Nonlinearities, Cambridge Working Papers in Economics (1998) View citations (2) (1998)

2000

36. Assessing the Credibility of a Target Zone: Evidence from EMS Countries
    International Journal of Finance & Economics, 2000, 5, (2), 107-20 View citations (6)
37. The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race
    Journal of Peace Research, 2000, 37, (6), 737-750 View citations (17)

1999

38. Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test
    Journal of Applied Econometrics, 1999, 14, (2), 143-54 View citations (160)

1998

39. Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching
    Journal of Econometrics, 1998, 86, (2), 369-386 View citations (42)
40. Intrinsic bubbles and regime-switching
    Journal of Monetary Economics, 1998, 42, (2), 357-373 View citations (95)
41. Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables
    International Journal of Finance & Economics, 1998, 3, (4), 321-25 View citations (9)

1997

42. A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure
    Oxford Bulletin of Economics and Statistics, 1997, 59, (1), 29-42 View citations (18)
43. Cointegration and Changes in Regime: The Japanese Consumption Function
    Journal of Applied Econometrics, 1997, 12, (2), 151-68 View citations (53)
44. Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990
    International Journal of Finance & Economics, 1997, 2, (1), 29-37
45. Switching error-correction models of house prices in the United Kingdom
    Economic Modelling, 1997, 14, (4), 517-527 View citations (52)

1996

46. Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation
    International Journal of Finance & Economics, 1996, 1, (4), 303-17 View citations (10)
47. On the power of tests for superexogeneity and structural invariance
    Journal of Econometrics, 1996, 72, (1-2), 151-175 View citations (14)
    See also Working Paper On the power of tests for superexogeneity and structural invariance, Documentos de Trabajo (working papers) (1993) (1993)

1995

48. Exponential smoothing and spurious correlation: a note
    Applied Economics Letters, 1995, 2, (3), 76-79 View citations (4)
49. Stylized facts and regime changes: Are prices procyclical?
    Journal of Monetary Economics, 1995, 36, (3), 497-526 View citations (31)

1994

50. Rational bubbles during Poland's hyperinflation: Implications and empirical evidence
    European Economic Review, 1994, 38, (6), 1257-1276 View citations (40)
    See also Working Paper Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence, CESifo Working Paper Series (1993) (1993)
51. Testing the term structure of interest rates using a stationary vector autoregression with regime switching
    Journal of Economic Dynamics and Control, 1994, 18, (3-4), 601-628 View citations (90)

1993

52. Speculative Currency Attacks and Balance of Payments Crises
    Journal of Economic Surveys, 1993, 7, (2), 119-44 View citations (50)