Details about Robert Sollis

Access statistics for papers by Robert Sollis.

Last updated 2025-08-11. Update your information in the RePEc Author Service.

Short-id: pso294

Working Papers

2020

1. Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (4)
   See also Journal Article Real‐time detection of regimes of predictability in the US equity premium, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (6) (2021)

2018

2. Detecting Regimes of Predictability in the U.S. Equity Premium
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (2)

2004

3. Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity
   Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group View citations (6)
   See also Journal Article Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (29) (2005)

2001

4. U.S. and U.K. Inflation: Evidence on Structural Change in the Order of Integration
   Economic Papers, Trinity College Dublin, Economics Department View citations (2)
5. U.S. and U.K. Interest Rates 1890 - 1934: New Evidence on Structural Breaks
   Economic Papers, Trinity College Dublin, Economics Department View citations (7)

Journal Articles

2022

1. Testing for Co‐explosive Behaviour in Financial Time Series
   Oxford Bulletin of Economics and Statistics, 2022, 84, (3), 624-650 View citations (2)

2021

2. Real‐time detection of regimes of predictability in the US equity premium
   Journal of Applied Econometrics, 2021, 36, (1), 45-70 View citations (6)
   See also Working Paper Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium, Essex Finance Centre Working Papers (2020) View citations (4) (2020)

2018

3. Real‐Time Monitoring for Explosive Financial Bubbles
   Journal of Time Series Analysis, 2018, 39, (6), 863-891 View citations (6)

2017

4. Improving the accuracy of asset price bubble start and end date estimators
   Journal of Empirical Finance, 2017, 40, (C), 121-138 View citations (28)

2016

5. Fixed and Recursive Right-Tailed Dickey–Fuller Tests in the Presence of a Break under the Null
   Journal of Time Series Econometrics, 2016, 8, (1), 1-19 View citations (1)
6. Tests for explosive financial bubbles in the presence of non-stationary volatility
   Journal of Empirical Finance, 2016, 38, (PB), 548-574 View citations (88)

2015

7. Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble
   Journal of Financial Econometrics, 2015, 13, (1), 166-187 View citations (20)
8. The Saturday effect: an interesting anomaly in the Saudi stock market
   Applied Economics, 2015, 47, (58), 6317-6330 View citations (6)

2011

9. Spurious regression: A higher-order problem
   Economics Letters, 2011, 111, (2), 141-143 View citations (4)
10. Testing the unit root hypothesis against TAR nonlinearity using STAR-based tests
    Economics Letters, 2011, 112, (1), 19-22 View citations (6)

2009

11. A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries
    Economic Modelling, 2009, 26, (1), 118-125 View citations (133)
12. Value at risk: a critical overview
    Journal of Financial Regulation and Compliance, 2009, 17, (4), 398-414 View citations (7)

2008

13. U.S. dollar real exchange rates: Nonlinearity revisited
    Journal of International Money and Finance, 2008, 27, (4), 516-528 View citations (13)

2007

14. Tests for Asymmetric Threshold Cointegration with an Application to the Term Structure
    Journal of Economic Insight, 2007, 33, (2), 1-19

2006

15. Testing for bubbles: an application of tests for change in persistence
    Applied Financial Economics, 2006, 16, (6), 491-498 View citations (12)
16. The real exchange rate-real interest rate relation: evidence from tests for symmetric and asymmetric threshold cointegration
    International Journal of Finance & Economics, 2006, 11, (2), 139-153 View citations (9)

2005

17. Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity
    Journal of Applied Econometrics, 2005, 20, (1), 79-98 View citations (29)
    Also in Journal of Applied Econometrics, 2005, 20, (1), 79-98 (2005) View citations (2)
    See also Working Paper Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity, Money Macro and Finance (MMF) Research Group Conference 2003 (2004) View citations (6) (2004)
18. Predicting returns and volatility with macroeconomic variables: evidence from tests of encompassing
    Journal of Forecasting, 2005, 24, (3), 221-231 View citations (2)

2004

19. A Cautionary Note on the Order of Integration of Post‐war Aggregate Wage, Price and Productivity Measures
    Manchester School, 2004, 72, (2), 261-282
20. Asymmetric adjustment and smooth transitions: a combination of some unit root tests
    Journal of Time Series Analysis, 2004, 25, (3), 409-417 View citations (51)

2002

21. Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates
    Journal of Money, Credit and Banking, 2002, 34, (3), 686-700 View citations (86)

2000

22. Stochastic unit roots modelling of stock price indices
    Applied Financial Economics, 2000, 10, (3), 311-315 View citations (8)

1999

23. Unit Roots and Asymmetric Smooth Transitions
    Journal of Time Series Analysis, 1999, 20, (6), 671-677 View citations (30)

Chapters

2008

1. Chapter 14 Forecasting Interest Rates: An Application of the Stochastic Unit Root and Stochastic Cointegration Frameworks
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 535-559