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Details about Martin Sola

E-mail:
Homepage:http://www.utdt.edu/~msola
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 2022-06-24. Update your information in the RePEc Author Service.

Short-id: pso207


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Working Papers

2022

  1. On Testing for Bubbles During Hyperinflations
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads

2021

  1. Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads
    Also in Papers, arXiv.org (2021) Downloads View citations (1)
  2. Rational Bubbles: Too Many to be True?
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads
  3. Risk Aversion and Changes in Regime
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads

2018

  1. Bond Risk Premia and the ”Return Forecasting Factor”
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2020)
  2. Bond risk premia and restrictions on risk prices
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads View citations (1)
    See also Journal Article in JRFM (2018)
  3. Risk Premia and Seasonality in Commodity Futures
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads View citations (2)
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2016) Downloads View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (3)
    Bank of England working papers, Bank of England (2016) Downloads View citations (3)

    See also Journal Article in Journal of Applied Econometrics (2018)

2017

  1. Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2017) Downloads

2016

  1. Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads View citations (4)

2014

  1. Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model
    BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics Downloads
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2012) Downloads

    See also Journal Article in Journal of Applied Econometrics (2015)
  2. Towards a "New" Inflation Targeting Framework: The Case of Uruguay
    IDB Publications (Working Papers), Inter-American Development Bank Downloads View citations (4)
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2014) Downloads View citations (1)
    Research Department Publications, Inter-American Development Bank, Research Department (2014) Downloads View citations (3)

2010

  1. A time-varying threshold STAR model of unemployment and the natural rate
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
  2. Multivariate Contemporaneous-Threshold Autoregressive Models
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) Downloads
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) Downloads View citations (7)
    Department of Economics Working Papers, Universidad Torcuato Di Tella (2009) Downloads

    See also Journal Article in Journal of Econometrics (2011)
  3. Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads View citations (7)
  4. State-Dependent Threshold STAR Models
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) Downloads View citations (1)
  5. The Optimal Timing of the Introduction of New Products
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2002) Downloads

2009

  1. Contemporaneous-Threshold Smooth Transition GARCH Models
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2011)
  2. Real Options with Priced Regime-Switching Risk
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads View citations (3)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2013)

2008

  1. Multivariate Markov switching with weighted regime determination: giving France more weight than Finland
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)
  2. 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 Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (1)
  3. Sovereign Defaults: Information, Investment and Credit
    Business School Working Papers, Universidad Torcuato Di Tella Downloads View citations (70)

2007

  1. Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting
    Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy Downloads View citations (22)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2006) Downloads View citations (4)
    Department of Economics Working Papers, Universidad Torcuato Di Tella (2006) Downloads

    See also Journal Article in Journal of Econometrics (2007)

2006

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

2005

  1. Target Zones for Exchange Rates and Policy Changes
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads
    See also Journal Article in Journal of International Money and Finance (2006)

2003

  1. 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 Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2003) Downloads
  2. 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) Downloads View citations (4)
  3. Markov Switching Causality and the Money-Output Relationship
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    See also Journal Article in Journal of Applied Econometrics (2005)
  4. Red Signals: Trade Deficits and the Current Account
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2003) Downloads
  5. 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 Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2003) Downloads

    See also Journal Article in Journal of Applied Econometrics (2005)

2002

  1. A Test for Volatility Spillovers
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2002) Downloads

    See also Journal Article in Economics Letters (2002)
  2. Merton-style option pricing under regime switching
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (4)
  3. On Detrending and Cyclical Asymmetry
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads
    See also Journal Article in Journal of Applied Econometrics (2003)
  4. On the autocorrelation properties of Long Memory Garch Processes
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads View citations (4)
    See also Journal Article in Journal of Time Series Analysis (2004)
  5. Residual-based tests for cointegration and multiple regime shifts
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (3)
  6. The Euro exchange rate efficiency and risk premium:an ecm model
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2002) Downloads

2001

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

1998

  1. 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 in Journal of International Money and Finance (2001)

1997

  1. 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 Downloads View citations (14)

1996

  1. 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 (24)

1993

  1. On the power of tests for superexogeneity and structural invariance
    Documentos de Trabajo (working papers), Department of Economics - dECON Downloads
    See also Journal Article in Journal of Econometrics (1996)
  2. Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence
    CESifo Working Paper Series, CESifo Downloads
    Also in Documentos de Trabajo (working papers), Department of Economics - dECON (1993) Downloads

    See also Journal Article in European Economic Review (1994)
  3. Structural breaks and GARCH modelling
    Documentos de Trabajo (working papers), Department of Economics - dECON Downloads

Undated

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

Journal Articles

2020

  1. Bond risk premia and the return forecasting factor
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (1), 12 Downloads
    See also Working Paper (2018)

2018

  1. Bond Risk Premia and Restrictions on Risk Prices
    JRFM, 2018, 11, (4), 1-22 Downloads View citations (1)
    See also Working Paper (2018)
  2. Risk premia and seasonality in commodity futures
    Journal of Applied Econometrics, 2018, 33, (6), 853-873 Downloads View citations (5)
    See also Working Paper (2018)

2015

  1. Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model
    Journal of Applied Econometrics, 2015, 30, (6), 987-1009 Downloads View citations (10)
    See also Working Paper (2014)

2014

  1. Toward a “New†Inflation-Targeting Framework: The Case of Uruguay
    Economía Journal, 2014, Volume 15 Number 1, (Fall 2014), 89-131 Downloads View citations (3)

2013

  1. REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (05), 1-30 Downloads View citations (1)
    See also Working Paper (2009)
  2. State-Dependent Threshold Smooth Transition Autoregressive Models
    Oxford Bulletin of Economics and Statistics, 2013, 75, (6), 835-854 Downloads View citations (5)

2011

  1. Contemporaneous-Threshold Smooth Transition GARCH Models
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (2), 1-25 Downloads View citations (1)
    See also Working Paper (2009)
  2. Multivariate contemporaneous-threshold autoregressive models
    Journal of Econometrics, 2011, 160, (2), 311-325 Downloads View citations (12)
    See also Working Paper (2010)

2009

  1. Selecting nonlinear time series models using information criteria
    Journal of Time Series Analysis, 2009, 30, (4), 369-394 Downloads View citations (16)
  2. The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (1), 1-24 Downloads View citations (3)

2007

  1. Contemporaneous threshold autoregressive models: Estimation, testing and forecasting
    Journal of Econometrics, 2007, 141, (2), 517-547 Downloads View citations (23)
    See also Working Paper (2007)
  2. Predicting Markov volatility switches using monetary policy variables
    Economics Letters, 2007, 95, (1), 110-116 Downloads View citations (6)

2006

  1. 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), 1-31 Downloads View citations (8)
  2. Target zones for exchange rates and policy changes
    Journal of International Money and Finance, 2006, 25, (6), 912-931 Downloads View citations (3)
    See also Working Paper (2005)

2005

  1. Markov switching causality and the money-output relationship
    Journal of Applied Econometrics, 2005, 20, (5), 665-683 Downloads View citations (65)
    See also Working Paper (2003)
  2. Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
    Journal of Applied Econometrics, 2005, 20, (3), 423-437 Downloads View citations (2)
    Also in Journal of Applied Econometrics, 2005, 20, (3), 423-437 (2005) Downloads View citations (26)

    See also Working Paper (2003)

2004

  1. Asymmetric effects of monetary policy in the United States
    Review, 2004, 86, (Sep), 41-60 Downloads View citations (75)
  2. On Markov error-correction models, with an application to stock prices and dividends
    Journal of Applied Econometrics, 2004, 19, (1), 69-88 Downloads View citations (99)
  3. On the Autocorrelation Properties of Long‐Memory GARCH Processes
    Journal of Time Series Analysis, 2004, 25, (2), 265-282 Downloads View citations (30)
    See also Working Paper (2002)
  4. Red signals: current account deficits and sustainability
    Economics Letters, 2004, 84, (2), 217-223 Downloads View citations (30)

2003

  1. Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle
    Studies in Nonlinear Dynamics & Econometrics, 2003, 7, (1), 1-40 Downloads View citations (15)
  2. On detrending and cyclical asymmetry
    Journal of Applied Econometrics, 2003, 18, (3), 271-289 Downloads View citations (30)
    See also Working Paper (2002)
  3. Target zone credibility and economic fundamentals
    Economic Modelling, 2003, 20, (4), 791-807 Downloads View citations (13)

2002

  1. A simple method of testing for cointegration subject to multiple regime changes
    Economics Letters, 2002, 76, (2), 213-221 Downloads View citations (19)
  2. A test for volatility spillovers
    Economics Letters, 2002, 76, (1), 77-84 Downloads View citations (32)
    See also Working Paper (2002)

2001

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

2000

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

1999

  1. Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test
    Journal of Applied Econometrics, 1999, 14, (2), 143-54 Downloads View citations (147)

1998

  1. Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching
    Journal of Econometrics, 1998, 86, (2), 369-386 Downloads View citations (38)
  2. Intrinsic bubbles and regime-switching
    Journal of Monetary Economics, 1998, 42, (2), 357-373 Downloads View citations (90)
  3. Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables
    International Journal of Finance & Economics, 1998, 3, (4), 321-25 Downloads View citations (9)

1997

  1. 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 (19)
  2. Cointegration and Changes in Regime: The Japanese Consumption Function
    Journal of Applied Econometrics, 1997, 12, (2), 151-68 Downloads View citations (51)
  3. Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990
    International Journal of Finance & Economics, 1997, 2, (1), 29-37 Downloads
  4. Switching error-correction models of house prices in the United Kingdom
    Economic Modelling, 1997, 14, (4), 517-527 Downloads View citations (50)

1996

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

1995

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

1994

  1. Rational bubbles during Poland's hyperinflation: Implications and empirical evidence
    European Economic Review, 1994, 38, (6), 1257-1276 Downloads View citations (37)
    See also Working Paper (1993)
  2. 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 Downloads View citations (85)

1993

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