Martin Sola : Citation Profile


Are you Martin Sola?

Universidad Torcuato Di Tella

18

H index

31

i10 index

1290

Citations

RESEARCH PRODUCTION:

47

Articles

50

Papers

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 47
   Journals where Martin Sola has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 32 (2.42 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pso207
   Updated: 2021-09-18    RAS profile: 2021-06-18    
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Relations with other researchers


Works with:

Hevia, Constantino (10)

Petrella, Ivan (5)

Psaradakis, Zacharias (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Martin Sola.

Is cited by:

Gabriel, Vasco (31)

Shi, Shuping (29)

Balcilar, Mehmet (25)

GUPTA, RANGAN (24)

Yu, Jun (23)

Phillips, Peter (20)

Bação, Pedro (16)

Alexandre, Fernando (16)

Serwa, Dobromił (15)

Mouratidis, Kostas (13)

Guidolin, Massimo (13)

Cites to:

Psaradakis, Zacharias (40)

Spagnolo, Fabio (26)

Hamilton, James (24)

Hansen, Bruce (23)

Andrews, Donald (15)

Driffill, Edward (13)

Granger, Clive (13)

Dueker, Michael (12)

Hall, Stephen (12)

Obstfeld, Maurice (11)

Spagnolo, Nicola (10)

Main data


Where Martin Sola has published?


Journals with more than one article published# docs
Studies in Nonlinear Dynamics & Econometrics6
Journal of Applied Econometrics6
Economics Letters5
International Journal of Finance & Economics4
Journal of Econometrics4
Journal of Applied Econometrics3
Oxford Bulletin of Economics and Statistics2
Economic Modelling2
Journal of Time Series Analysis2
Journal of International Money and Finance2
Journal of Monetary Economics2

Working Papers Series with more than one paper published# docs
Department of Economics Working Papers / Universidad Torcuato Di Tella18
Working Papers / Federal Reserve Bank of St. Louis4
Documentos de Trabajo (working papers) / Department of Economics - dECON3

Recent works citing Martin Sola (2021 and 2020)


YearTitle of citing document
2020To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13.

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2020Leverage and Deepening Business-Cycle Skewness. (2020). Ravn, Søren Hove ; Petrella, Ivan ; Santoro, Emiliano ; Jensen, Henrik. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:12:y:2020:i:1:p:245-81.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020Asymptotic Properties of the Maximum Likelihood Estimator in Endogenous Regime-Switching Models. (2020). Liu, Yan. In: Papers. RePEc:arx:papers:2010.04930.

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2021General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Papers. RePEc:arx:papers:2102.13393.

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2021Efficiency of Tanzanias foreign exchange market. (2021). Kazungu, Khatibu ; Epaphra, Manamba. In: African Development Review. RePEc:bla:afrdev:v:33:y:2021:i:2:p:368-381.

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2020The effectiveness of monetary policy and output fluctuations: An asymmetric analysis. (2020). Irandoust, Manuchehr. In: Australian Economic Papers. RePEc:bla:ausecp:v:59:y:2020:i:2:p:161-181.

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2020Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom. (2020). Xu, Fang ; Herwartz, Helmut. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:164-190.

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2020Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence. (2020). Lingbing, Feng ; Yanlin, Shi. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:1:p:27:n:1.

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2020Benefits and Costs of Debt: The Dose Makes the Poison. (2020). Kose, Ayhan ; Ohnsorge, Franziska ; Sugawara, Naotaka. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14439.

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2020Diagnosing Housing Fever with an Econometric Thermometer. (2020). Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2248.

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2020Renewable energy consumption-economic growth nexus in G7 countries: New evidence from a nonlinear ARDL approach. (2020). Shahbaz, Muhammad ; Czudaj, Robert ; Khraief, Naceur. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00291.

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2020Monetary policy and bank stability: the analytical toolbox reviewed. (2020). Popov, Alexander ; Marques-Ibanez, David ; Albertazzi, Ugo ; Barbiero, Francesca ; Marques-Ibaez, David ; Dacri, Costanza Rodriguez ; Vlassopoulos, Thomas . In: Working Paper Series. RePEc:ecb:ecbwps:20202377.

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2020The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x.

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2020Functional monetary aggregates, monetary policy, and business cycles. (2020). Serletis, Apostolos ; Xu, Libo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301627.

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2021Forecasting U.S. Yield Curve Using the Dynamic Nelson–Siegel Model with Random Level Shift Parameters. (2021). Xu, Jiawen ; Pang, Tao ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:340-350.

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2021Assessing India’s productivity trends and endogenous growth: New evidence from technology, human capital and foreign direct investment. (2021). Ghosh, Taniya ; Parab, Prashant Mehul. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:182-195.

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2020Stock prices, dividends, and structural changes in the long-term: The case of U.S.. (2020). Prats, María ; Navarro-Ibáñez, Manuel ; Navarro-Ibaez, Manuel ; Esteve, Vicente. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302633.

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2020Stationary bubble equilibria in rational expectation models. (2020). Monfort, Alain ; Jasiak, J ; Gourieroux, C. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:714-735.

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2021Testing for observation-dependent regime switching in mixture autoregressive models. (2021). Saikkonen, Pentti ; Meitz, Mika. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:601-624.

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2020Have Chinas regulations on imported waste paper improved its quality. (2020). Zhao, Xiaodi ; Diao, Gang ; Shang, DI. In: Forest Policy and Economics. RePEc:eee:forpol:v:119:y:2020:i:c:s1389934120305268.

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2020Beliefs and long-maturity sovereign debt. (2020). Stangebye, Zachary R. In: Journal of International Economics. RePEc:eee:inecon:v:127:y:2020:i:c:s0022199620300969.

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2021Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

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2020Momentum and Reversion to Fundamentals: Are They Captured by Subjective Expectations of House Prices?. (2020). Ma, Chao. In: Journal of Housing Economics. RePEc:eee:jhouse:v:49:y:2020:i:c:s1051137720300243.

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2021Life after default. Private and official deals. (2021). Marchesi, Silvia ; Masi, Tania. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560620302953.

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2020Policy implications of the Lucas Critique empirically tested along the global financial crisis. (2020). Orhan, Mehmet ; Simsek, Esra ; Karimova, Amira. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:1:p:153-172.

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2021Pass-through of commodity price to Mongolian stock price: Symmetric or asymmetric?. (2021). Kakinaka, Makoto ; Islam, Moinul ; Badamvaanchig, Mungunzul. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309843.

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2021Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: An application to the Feldstein–Horioka puzzle. (2021). Neto, David. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:179:y:2021:i:c:p:253-264.

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2021Information flow between bitcoin and other financial assets. (2021). Yang, Jae-Suk ; Jang, Kwahngsoo ; Park, Sang Jin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:566:y:2021:i:c:s037843712030902x.

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2020A new mechanism for anticipating price exuberance. (2020). Moreira, Afonso M ; Martins, Luis F. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:199-221.

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2020Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira. (2020). Yacouba, kassouri ; Altinta, Halil ; Kassouri, Yacouba. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918309875.

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2020A systematic review of the bubble dynamics of cryptocurrency prices. (2020). Corbet, Shaen ; Kyriazis, Nikolaos ; Papadamou, Stephanos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310037.

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2021Asymptotic analysis of model selection criteria for general hidden Markov models. (2021). Singh, Sumeetpal S ; Beskos, Alexandros ; Yonekura, Shouto. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:132:y:2021:i:c:p:164-191.

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2021A Markov-Switching Model of Inflation in Bolivia. (2021). Bojanic, Antonio. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:1:p:37-:d:515285.

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2020A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index. (2020). McAleer, Michael ; Allen, David. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:15:p:4011-:d:394147.

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2021Assessing Indias productivity trends and endogenous growth: New evidence from technology, human capital and foreign direct investment. (2021). Ghosh, Taniya ; Parab, Prashant Mehul. In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2021-004.

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2021Half Century of Gold Price: Regime-Switching and Forecasting Framework. (2021). Zhao, Yiqiang Q ; Anh, Nguyen Bao. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:12:y:2021:i:3:p:1-18.

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2020Benefits and Costs of Debt: The Dose Makes the Poison. (2020). Ohnsorge, Franziska ; Kose, Ayhan M ; Sugawara, Naotaka. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2006.

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2020Life after default. Private and Official Deals. (2020). Marchesi, Silvia ; Masi, Tania. In: Working Papers. RePEc:mib:wpaper:431.

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2020Asymmetric Effects of Monetary Policy Easing and Tightening. (2020). Gambetti, Luca ; Forni, Mario ; Debortoli, Davide ; Sala, Luca. In: Center for Economic Research (RECent). RePEc:mod:recent:146.

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2020Fractionally integrated Log-GARCH with application to value at risk and expected shortfall. (2020). Letmathe, Sebastian ; Beran, Jan ; Feng, Yuanhua ; Ghosh, Sucharita. In: Working Papers CIE. RePEc:pdn:ciepap:137.

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2020On cointegration for processes integrated at different frequencies. (2020). del Barrio Castro, Tomás ; Cubadda, Gianluca ; Osborn, Denise R ; Cubada, Ginaluca. In: MPRA Paper. RePEc:pra:mprapa:102611.

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2020On the Stationarity of Futures Hedge Ratios. (2020). Degiannakis, Stavros ; Vougas, Dimitrios ; Salvador, Enrique ; Floros, Christos. In: MPRA Paper. RePEc:pra:mprapa:102907.

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2020Renewable Energy Consumption-Economic Growth Nexus in G7 Countries: New Evidence from a Nonlinear ARDL Approach. (2020). Shahbaz, Muhammad ; Czudaj, Robert ; Khraief, Naceur. In: MPRA Paper. RePEc:pra:mprapa:103525.

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2021Is There Really Hysteresis in OECD Countries’ Unemployment Rates? New Evidence Using a Fourier Panel Unit Root Test. (2021). Stewart, Chris ; Shahbaz, Muhammad ; Omay, Tolga. In: MPRA Paper. RePEc:pra:mprapa:107691.

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2021An Efficient Long-Run Economic Growth Strategy for Estonia. (2021). Jenkins, Glenn ; Sokhanvar, Amin. In: Development Discussion Papers. RePEc:qed:dpaper:4575.

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2020To infinity and beyond: Efficient computation of ARCH(\infty) models. (2020). Noël, Antoine ; Nielsen, Morten ; Nol, Antoine. In: Working Paper. RePEc:qed:wpaper:1425.

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2021Impact of Exchange Rate Changes on the Trade Balance of India: An Asymmetric Nonlinear Cointegration Approach. (2021). Bhat, Javed Ahmad. In: Foreign Trade Review. RePEc:sae:fortra:v:56:y:2021:i:1:p:71-88.

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2020.

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2020.

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2020Arms Race Between Turkey and Greece: Time-Varying Causality Analysis. (2020). Ahngoz, Burak ; Tutuncu, Asiye. In: Sosyoekonomi Journal. RePEc:sos:sosjrn:200302.

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2020Models for autoregressive processes of bounded counts: How different are they?. (2020). Moller, Tobias A ; Weiss, Christian H ; Kim, Hee-Young. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:4:d:10.1007_s00180-020-00980-6.

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2020State-dependent biases and the quality of China’s preliminary GDP announcements. (2020). Yang, Lixiong. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:6:d:10.1007_s00181-019-01751-z.

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2020Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios. (2020). Unal, Gazanfer ; Demirel, Mustafa. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00203-3.

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2021Can country-specific interest rate factors explain the forward premium anomaly?. (2021). Tzavalis, Elias ; Smyrnakis, Dimitris ; Argyropoulos, Efthymios. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:45:y:2021:i:2:d:10.1007_s12197-020-09509-5.

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2020Empirical Assessment of Money Demand Stability Under India’s Open Economy: Non-linear ARDL Approach. (2020). Hatekar, Neeraj R ; Haider, Salman ; Adil, Masudul Hasan. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:4:d:10.1007_s40953-020-00203-1.

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2020Long-run relationship between exports and imports: current account sustainability tests for the EU. (2020). Stanek, Piotr ; Jalles, Joao ; Huart, Florence ; Afonso, Antonio. In: Portuguese Economic Journal. RePEc:spr:portec:v:19:y:2020:i:2:d:10.1007_s10258-019-00168-x.

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2020Crisis and contract breach: The domestic and international determinants of expropriation. (2020). Sahin, Hadi ; Lee, Chia-Yi ; Johnston, Noel P ; Jensen, Nathan M. In: The Review of International Organizations. RePEc:spr:revint:v:15:y:2020:i:4:d:10.1007_s11558-019-09363-z.

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2021An empirical study on the parsimony and descriptive power of TARMA models. (2021). Goracci, Greta. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:1:d:10.1007_s10260-020-00516-8.

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2020Bank lending in Switzerland: Capturing cross-sectional heterogeneity and asymmetry over time. (2020). Kaufmann, Sylvia ; Hauri, Simona ; Gubler, Matthias ; Beutler, Toni. In: Working Papers. RePEc:szg:worpap:2004.

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2020Benefits and Costs of Debt : The Dose Makes the Poison. (2020). Ohnsorge, Franziska ; Kose, Ayhan ; Sugawara, Naotaka. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:9166.

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2021General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred ; Pfarrhofer, Michael. In: Working Papers in Regional Science. RePEc:wiw:wus046:8006.

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2021The sustainability of the Turkish current account: Smooth structural break and asymmetric adjustments. (2021). BAKIRTAS, Ibrahim ; Koc, Suleyman ; Abioglu, Vasif. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3916-3929.

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Works by Martin Sola:


YearTitleTypeCited
2018Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes In: Papers.
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2016Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes.(2016) In: Department of Economics Working Papers.
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2010Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers.
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2011Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics.
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2007Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers.
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2009Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers.
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2010State-Dependent Threshold STAR Models In: UFAE and IAE Working Papers.
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2014Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model In: BCAM Working Papers.
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2012Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model.(2012) In: Department of Economics Working Papers.
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2015Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model.(2015) In: Journal of Applied Econometrics.
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2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities In: Birkbeck Working Papers in Economics and Finance.
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2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities.(2017) In: Department of Economics Working Papers.
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1996A Reconsideration of the Empirical Evidence on the Asymmetric Effects of Money-supply shocks: Positive vs. Negative or Big vs. Small In: Archive Discussion Papers.
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1993 Speculative Currency Attacks and Balance of Payments Crises. In: Journal of Economic Surveys.
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2004On the Autocorrelation Properties of Long?Memory GARCH Processes In: Journal of Time Series Analysis.
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2002On the autocorrelation properties of Long Memory Garch Processes.(2002) In: Department of Economics Working Papers.
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2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
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1997A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure. In: Oxford Bulletin of Economics and Statistics.
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2013State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
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2016Risk premia and seasonality in commodity futures In: Bank of England working papers.
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2016Risk Premia and Seasonality in Commodity Futures.(2016) In: CEPR Discussion Papers.
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2016Risk Premia and Seasonality in Commodity Futures.(2016) In: Department of Economics Working Papers.
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2018Risk premia and seasonality in commodity futures.(2018) In: Journal of Applied Econometrics.
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2018Risk Premia and Seasonality in Commodity Futures.(2018) In: EMF Research Papers.
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2006Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates In: Studies in Nonlinear Dynamics & Econometrics.
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2009The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing In: Studies in Nonlinear Dynamics & Econometrics.
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2011Contemporaneous-Threshold Smooth Transition GARCH Models In: Studies in Nonlinear Dynamics & Econometrics.
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2009Contemporaneous-Threshold Smooth Transition GARCH Models.(2009) In: Department of Economics Working Papers.
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2020Bond risk premia and the return forecasting factor In: Studies in Nonlinear Dynamics & Econometrics.
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2018Bond Risk Premia and the ”Return Forecasting Factor”.(2018) In: Department of Economics Working Papers.
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2020Bond risk premia and the return forecasting factor In: Studies in Nonlinear Dynamics & Econometrics.
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2003Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle. In: Studies in Nonlinear Dynamics & Econometrics.
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1998An Empirical Reassessment of Target-zone Nonlinearities In: Cambridge Working Papers in Economics.
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2001An empirical reassessment of target-zone nonlinearities.(2001) In: Journal of International Money and Finance.
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1993Rational Bubbles During Polands Hyperinflation: Implications and Empirical Evidence In: CESifo Working Paper Series.
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1994Rational bubbles during Polands hyperinflation: Implications and empirical evidence.(1994) In: European Economic Review.
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1993Rational bubbles during Polland’s hiperinflation: implications and empirical evidence..(1993) In: Documentos de Trabajo (working papers).
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2014Toward a “New†Inflation-Targeting Framework: The Case of Uruguay In: Economía Journal.
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2003Markov Switching Causality and the Money-Output Relationship In: CEPR Discussion Papers.
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2005Markov switching causality and the money-output relationship.(2005) In: Journal of Applied Econometrics.
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2004On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts In: CEPR Discussion Papers.
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2008On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts.(2008) In: Department of Economics Working Papers.
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2003An Empirical Examination of Term Structure Models with Regime Shifts In: Royal Economic Society Annual Conference 2003.
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2003An Empirical Examination of Term Structure Models with Regime Shifts.(2003) In: Computing in Economics and Finance 2003.
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1994Testing the term structure of interest rates using a stationary vector autoregression with regime switching In: Journal of Economic Dynamics and Control.
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1997Switching error-correction models of house prices in the United Kingdom In: Economic Modelling.
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2003Target zone credibility and economic fundamentals In: Economic Modelling.
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2001A simple procedure for detecting periodically collapsing rational bubbles In: Economics Letters.
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2002A test for volatility spillovers In: Economics Letters.
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2009Real Options with Priced Regime-Switching Risk In: Department of Economics Working Papers.
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