Martin Sola : Citation Profile


Are you Martin Sola?

Universidad Torcuato Di Tella

18

H index

29

i10 index

1154

Citations

RESEARCH PRODUCTION:

44

Articles

50

Papers

RESEARCH ACTIVITY:

   25 years (1993 - 2018). See details.
   Cites by year: 46
   Journals where Martin Sola has often published
   Relations with other researchers
   Recent citing documents: 118.    Total self citations: 31 (2.62 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pso207
   Updated: 2019-09-14    RAS profile: 2019-06-19    
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Relations with other researchers


Works with:

Hevia, Constantino (10)

Gonzalez-Rozada, Martin (6)

Petrella, Ivan (5)

Psaradakis, Zacharias (5)

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)

Balcilar, Mehmet (26)

Shi, Shuping (26)

GUPTA, RANGAN (24)

Yu, Jun (21)

Phillips, Peter (19)

Bação, Pedro (16)

Alexandre, Fernando (16)

Serwa, Dobromił (15)

Frömmel, Michael (12)

Pirschel, Inske (12)

Cites to:

Psaradakis, Zacharias (37)

Spagnolo, Fabio (25)

Hamilton, James (24)

Hansen, Bruce (23)

Andrews, Donald (15)

Driffill, Edward (13)

Dueker, Michael (12)

Hall, Stephen (12)

Granger, Clive (11)

Obstfeld, Maurice (11)

Spagnolo, Nicola (9)

Main data


Where Martin Sola has published?


Journals with more than one article published# docs
Journal of Applied Econometrics6
Economics Letters5
Studies in Nonlinear Dynamics & Econometrics4
Journal of Econometrics4
International Journal of Finance & Economics4
Journal of Monetary Economics2
Journal of International Money and Finance2
Economic Modelling2
Oxford Bulletin of Economics and Statistics2
Journal of Time Series Analysis2
Journal of Applied Econometrics2

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 (2018 and 2017)


YearTitle of citing document
2018A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines. (2018). Tolhurst, Tor. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274387.

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2018Monetary Policy Shocks and Industrial Output in Nigeria: A Dynamic Effect. (2018). Dada, James ; Temitope, Dada James ; Olanrewaju, Akanbi Michael. In: African Journal of Economic Review. RePEc:ags:afjecr:274744.

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2017Fiscal sustainability of the Visegrad Group countries in the aftermath of global economic crisis. (2017). Włodarczyk, Przemysław. In: Lodz Economics Working Papers. RePEc:ann:wpaper:2/2017.

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2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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2017Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; de Freitas, Flavio. In: Working Papers Series. RePEc:bcb:wpaper:463.

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2018Okun´s law in Colombia: a non-linear cointegration. (2018). Ramos-Veloza, Mario ; Florez, Luz ; Pulido-Mahecha, Karen L. In: Borradores de Economia. RePEc:bdr:borrec:1039.

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2018Effects of Monetary Policy during Financial Market Crises and Regime Changes: An Empirical Evaluation Using a Nonlinear Vector Autoregression Model. (2018). Kim, Seewon. In: Asian Economic Journal. RePEc:bla:asiaec:v:32:y:2018:i:2:p:105-123.

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2017Vulnerabilities to housing bubbles: Evidence from linkages between housing prices and income fundamentals. (2017). Huang, Meichi. In: International Finance. RePEc:bla:intfin:v:20:y:2017:i:1:p:64-91.

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2018Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics. (2018). Sandberg, Rickard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:942-952.

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2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

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2017Financial Depth and the Asymmetric Impact of Monetary Policy. (2017). Caglayan, Mustafa ; Mouratidis, Kostas ; Kocaaslan, Ozge Kandemir . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:6:p:1195-1218.

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2017Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?. (2017). Shi, Shuping ; Joyeux, Roselyne ; girardin, eric ; Deng, Yongheng. In: Pacific Economic Review. RePEc:bla:pacecr:v:22:y:2017:i:3:p:276-292.

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2018Measuring and trading volatility on the US stock market: A regime switching approach. (2018). Dapena, Jose ; Siri, Julian R ; Serur, Juan A. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:659.

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2018State-Dependent Transmission of Monetary Policy in the Euro Area. (2018). Neuenkirch, Matthias ; Nockel, Matthias ; Burgard, Jan Pablo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7074.

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2017Is Inflation Default? The Role of Information in Debt Crises. (2017). Bassetto, Marco ; Galli, Carlo . In: Discussion Papers. RePEc:cfm:wpaper:1715.

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2017Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS. (2017). Wlodarczyk, Aneta. In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:129-145.

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2017The effects of quasi-random monetary experiments. (2017). Jorda, Oscar ; Schularick, Moritz ; Taylor, Alan M. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11801.

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2017Leverage and Deepening Business Cycle Skewness. (2017). Santoro, Emiliano ; Ravn, Søren Hove ; Petrella, Ivan ; Jensen, Henrik. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12239.

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2018Life After Default: Private vs. Official Sovereign Debt Restructurings. (2018). Marchesi, Silvia ; Masi, Tania. In: Development Working Papers. RePEc:csl:devewp:437.

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2018The Electricity-growth Nexus in South Africa: Evidence from Asymmetric Cointegration and Co-feature Analysis. (2018). Phiri, Andrew ; Nyoni, Bothwell. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-06-11.

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2019Pushing on a string: State-owned enterprises and monetary policy transmission in China. (2019). Tillmann, Peter ; PeterTillmann, ; Li, Ran ; Chen, Hongyi. In: China Economic Review. RePEc:eee:chieco:v:54:y:2019:i:c:p:26-40.

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2017A model of sovereign debt with private information. (2017). Phan, Toan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:83:y:2017:i:c:p:1-17.

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2018Nonlinearities, smoothing and countercyclical monetary policy. (2018). Jackson, Laura E ; Soques, Daniel ; Owyang, Michael T. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:95:y:2018:i:c:p:136-154.

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2017Speculative bubbles or market fundamentals? An investigation of US regional housing markets. (2017). Shi, Shuping. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:101-111.

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2017Do bubbles have an explosive signature in markov switching models?. (2017). Fraser, Iain ; Balcombe, Kelvin. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:81-100.

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2017An empirical investigation of herding in the U.S. stock market. (2017). Shi, Shuping ; Clements, Adam ; Hurn, Stan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:184-192.

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2017A dynamic Nelson-Siegel yield curve model with Markov switching. (2017). Levant, Jared ; Ma, Jun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:73-87.

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2018The impact of setting negative policy rates on banking flows and exchange rates. (2018). Khayat, Guillaume A. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:1-10.

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2018Testing for bubbles in the art markets: An empirical investigation. (2018). Assaf, Ata. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:340-355.

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2018Borrowing constraints and housing price expectations in the euro area. (2018). Mayordomo, Sergio ; Ampudia Fraile, Miguel. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:410-421.

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2018Volatility spillover shifts in global financial markets. (2018). Bensaida, Ahmed ; Abdallah, Oussama ; Litimi, Houda. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353.

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2019Relationships among regional housing markets: Evidence on adjustments of housing burden. (2019). Tsai, I-Chun ; I-Chun Tsai, . In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:309-318.

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2017The expected real yield and inflation components of the nominal yield curve. (2017). Lange, Ronald H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:1-18.

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2017Testing the Marshall-Lerner condition between the U.S. and other G7 member countries. (2017). Dong, Fang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:30-40.

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2019Term structure dynamics in a monetary economy with learning. (2019). Ono, Sadayuki . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:730-745.

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2018Bayesian nonparametric vector autoregressive models. (2018). Kalli, Maria ; Griffin, Jim E. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:267-282.

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2018The synergistic effect of insurance and banking sector activities on economic growth in Africa. (2018). Olasehinde-Williams, Godwin ; Balcilar, Mehmet ; Lee, Chien-Chiang ; Gupta, Rangan. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:4:p:637-648.

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2017The output costs of hard and soft sovereign default. (2017). Trebesch, Christoph ; Zabel, Michael . In: European Economic Review. RePEc:eee:eecrev:v:92:y:2017:i:c:p:416-432.

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2017Improving the accuracy of asset price bubble start and end date estimators. (2017). Leybourne, Stephen ; Harvey, David ; Sollis, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:121-138.

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2017When Will Occur the Crude Oil Bubbles?. (2017). Su, Chi-Wei ; Lobon, Oana-Ramona ; Chang, Hsu-Ling ; Li, Zheng-Zheng. In: Energy Policy. RePEc:eee:enepol:v:102:y:2017:i:c:p:1-6.

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2017Multiple bubbles in the European Union Emission Trading Scheme. (2017). Creti, Anna ; Joets, Marc. In: Energy Policy. RePEc:eee:enepol:v:107:y:2017:i:c:p:119-130.

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2019The asymmetric role of shadow economy in the energy-growth nexus in Bolivia. (2019). Shahbaz, Muhammad ; Miloudi, Anthony ; Lahiani, Amine ; Benkraiem, Ramzi. In: Energy Policy. RePEc:eee:enepol:v:125:y:2019:i:c:p:405-417.

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2017Financial structure and economic development: Evidence on the view of ‘new structuralism’. (2017). Hall, Stephen ; Demir, Ayse U. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:252-259.

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2017Fast fractional differencing in modeling long memory of conditional variance for high-frequency data. (2017). Walther, Thomas ; Klein, Tony. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:274-279.

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2017International stock market leadership and its determinants. (2017). Cai, Charlie X ; Zhang, QI ; Mobarek, Asma. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:150-162.

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2017Asset prices regime-switching and the role of inflation targeting monetary policy. (2017). Floros, Christos ; Filis, George ; Chatziantoniou, Ioannis. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:97-112.

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2017Sovereign debt signals. (2017). Phan, Toan. In: Journal of International Economics. RePEc:eee:inecon:v:104:y:2017:i:c:p:157-165.

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2017Sovereign debt maturity structure under asymmetric information. (2017). Perez, Diego J. In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:c:p:243-259.

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2019Carry trades and endogenous regime switches in exchange rate volatility. (2019). Cho, Dooyeon ; Lee, Na Kyeong ; Han, Heejoon. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:255-268.

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2018Predictions of short-term rates and the expectations hypothesis. (2018). Guidolin, Massimo ; Thornton, Daniel L. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664.

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2018Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test. (2018). Su, Chi-Wei ; Si, Deng-Kui ; Tao, Ran ; Li, Zheng-Zheng. In: Japan and the World Economy. RePEc:eee:japwor:v:46:y:2018:i:c:p:56-63.

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2017Excess reserves, monetary policy and financial volatility. (2017). Primus, Keyra. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:153-168.

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2017Leaders, followers, and equity risk premiums in booms and busts. (2017). Goto, Makoto ; Takashima, Ryuta ; Nishide, Katsumasa. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:207-220.

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2017A theory of price adjustment under loss aversion. (2017). Pirschel, Inske ; Ahrens, Steffen ; Snower, Dennis J. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:134:y:2017:i:c:p:78-95.

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2018Biased signaling and yardstick comparisons in a sovereign debt market. (2018). Mihm, Benedikt. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:152:y:2018:i:c:p:36-46.

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2018Cooperation dynamics in repeated games of adverse selection. (2018). Escobar, Juan ; Llanes, Gaston . In: Journal of Economic Theory. RePEc:eee:jetheo:v:176:y:2018:i:c:p:408-443.

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2018External shocks, financial volatility and reserve requirements in an open economy. (2018). Pereira da Silva, Luiz Awazu ; Agénor, Pierre-Richard ; Alper, Koray ; Agenor, Pierre-Richard. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:23-43.

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2018Debt and growth: Is there a constant tipping point?. (2018). Yang, Lixiong ; Su, Jen-Je. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:87:y:2018:i:c:p:133-143.

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2018Quality of government institutions and spreads on sovereign credit default swaps. (2018). Chen, Hsien-Yi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:87:y:2018:i:c:p:82-95.

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2017Fiscal sustainability in an emerging market economy: When does public debt turn bad?. (2017). Soon, Siew-Voon ; Lau, Evan ; Baharumshah, Ahmad Zubaidi. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:1:p:99-113.

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2017Do iron ore price bubbles occur?. (2017). Dumitrescupeculea, Adelina ; Su, Chi-Wei ; Chang, Hsu-Ling ; Wang, Kai-Hua. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:340-346.

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2018Functional Approximation of Impulse Responses. (2018). Barnichon, Regis ; Matthes, Christian. In: Journal of Monetary Economics. RePEc:eee:moneco:v:99:y:2018:i:c:p:41-55.

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2017The asymmetry of U.S. monetary policy: Evidence from a threshold Taylor rule with time-varying threshold values. (2017). Zhu, Yanli ; Chen, Haiqiang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:522-535.

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2017Environmental pollution, hydropower energy consumption and economic growth: Evidence from G7 countries. (2017). Bildirici, Melike E ; Gokmenolu, Seyit M. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:75:y:2017:i:c:p:68-85.

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2017Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets. (2017). Chen, Shyh-Wei ; Xie, Zixiong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:339-354.

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2018The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach. (2018). Lange, Ronald Henry. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:164-182.

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2017Estimating the credibility of Brazilian monetary policy using a Kalman filter approach. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; de Freitas, Flavio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:37-53.

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2018Kirilgan Beslide Cari Aciklarin Surdurulebilirligi: Dogrusal Olmayan Birim Kok Testleri Ile Kanitlar. (2018). CEYLAN, Resat . In: Ege Academic Review. RePEc:ege:journl:v:18:y:2018:i:1:p:121-134.

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2017Is inflation default? The role of information in debt crises. (2017). Bassetto, Marco ; Galli, Carlo . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:86160.

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2018On the time-varying links between oil and gold: New insights from the rolling and recursive rolling approaches. (2018). Shahbaz, Muhammad ; Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-35.pdf.

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2018Asymmetric Dynamics of Insurance Premium: The Impact of Monetary Policy Uncertainty on Insurance Premiums in Japan. (2018). Shahbaz, Muhammad ; Olasehinde-Williams, Godwin ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-39.pdf.

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2017A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US. (2017). Fernandes, Marcelo ; Chague, Fernando ; Araujo, Fausto Jose . In: Textos para discussão. RePEc:fgv:eesptd:445.

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2017Large and State-Dependent Effects of Quasi-Random Monetary Experiments. (2017). Jorda, Oscar ; Schularick, Moritz ; Taylor, Alan M. In: Working Paper Series. RePEc:fip:fedfwp:2017-02.

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2017Evaluating Forecasts, Narratives and Policy Using a Test of Invariance. (2017). Martinez, Andrew ; Hendry, David ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:39-:d:110547.

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2017Bayesian Analysis of Bubbles in Asset Prices. (2017). Yu, Jun ; JunYu, ; Fulop, Andras. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:47-:d:115992.

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2017Time Series Analysis of the US Term Structure of Interest Rates Using a Bayesian Markov Switching Cointegration Model. (2017). Sugita, Katsuhiro. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:3:p:49-56.

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2017Is inflation default? The role of information in debt crises. (2017). Bassetto, Marco ; Galli, Carlo . In: IFS Working Papers. RePEc:ifs:ifsewp:17/05.

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2019Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Working Papers. RePEc:igi:igierp:639.

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2018Is Mexicos Forward Exchange Rate Market Efficient?. (2018). Islas-Camargo, Alejandro ; Sanabria, Tania Pamela ; Cortez, Willy Walter. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:13:y:2018:i:2:p:273-289.

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2017Assessing the Sustainability of External Imbalances in the European Union. (2017). Stanek, Piotr ; Jalles, Joao ; Huart, Florence ; Afonso, Antonio. In: Working Papers Department of Economics. RePEc:ise:isegwp:wp102017.

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2017Assessing the Sustainability of External Imbalances in the European Union. (2017). Stanek, Piotr ; Jalles, Joao ; Huart, Florence ; Afonso, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp0012017.

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2019Wavelet Multiresolution Analysis of the Liquidity Effect and Monetary Neutrality. (2019). Habimana, Olivier. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9725-1.

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2017Verifying time inconsistency of the ECB monetary policy by means of a regime-switching approach. (2017). Beccarini, Andrea . In: Empirica. RePEc:kap:empiri:v:44:y:2017:i:2:d:10.1007_s10663-016-9316-8.

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2018Arm your friends and save on defense? The impact of arms exports on military expenditures. (2018). Pamp, Oliver ; Thurner, Paul W ; Dendorfer, Florian. In: Public Choice. RePEc:kap:pubcho:v:177:y:2018:i:1:d:10.1007_s11127-018-0598-1.

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2018Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach. (2018). Han, Heejoon ; Kyeong, NA. In: Korean Economic Review. RePEc:kea:keappr:ker-20180701-34-2-05.

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2019Long Memory Volatility, Central Bank Intervention and Uncovered Interest Rate Parity in the 1920s Exchange Markets. (2019). Baillie, Richard T ; Han, Young Wook . In: Korean Economic Review. RePEc:kea:keappr:ker-20190101-35-1-07.

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2017Fiscal Federalism, Grants, and the U.S. Fiscal Transformation in the 1930s. (2017). Jensen, Henrik ; Santoro, Emiliano ; Ravn, Soren Hove. In: Discussion Papers. RePEc:kud:kuiedp:1717.

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2017Identification-robust moment-based tests for Markov-switching in autoregressive models. (2017). Luger, Richard ; Dufour, Jean-Marie. In: Cahiers de recherche. RePEc:lvl:crrecr:1701.

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2018Pushing on a String: State-Owned Enterprises and Monetary Policy Transmission in China. (2018). Chen, Hongyi ; Tillmann, Peter ; PeterTillmann, ; Li, Ran. In: MAGKS Papers on Economics. RePEc:mar:magkse:201806.

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2018Life after default: Private vs. official sovereign debt restructurings. (2017). Marchesi, Silvia ; Masi, Tania. In: Working Papers. RePEc:mib:wpaper:370.

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2018Real-time Forecast Combinations for the Oil Price. (2018). Vahey, Shaun ; Zhang, Ynuyi ; Garratt, Anthony. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:494.

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2017Volatility Clustering, New Heavy-Tailed Distribution and the Stock Market Returns in South Korea. (2017). Hong, Yoon ; Ding, Guoping ; Lee, Ji-Chul . In: Journal of Applied Management and Investments. RePEc:ods:journl:v:6:y:2017:i:3:p:164-169.

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2017Fiscal Discoveries and Yield Decouplings. (2017). Catão, Luis ; Ranciere, Romain ; Fostel, Ana ; Cato, Luis. In: IMF Economic Review. RePEc:pal:imfecr:v:65:y:2017:i:4:d:10.1057_s41308-016-0027-8.

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2018Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation. (2018). Yin, Ming . In: MPRA Paper. RePEc:pra:mprapa:88111.

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2018The Effect of Military Expenditures on the Profit Rates in Turkey. (2018). Elveren, Adem ; ozgur, Goker . In: MPRA Paper. RePEc:pra:mprapa:88848.

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2018Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:90437.

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2018Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models. (2018). Chappell, Daniel. In: MPRA Paper. RePEc:pra:mprapa:90682.

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2019An analysis of the unbiased forward rate hypothesis in developed and emerging economies. (2019). Bonga-Bonga, Lumengo ; Phungo, Muka. In: MPRA Paper. RePEc:pra:mprapa:92222.

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2019Business Cycle Fluctuations: why are so undesirable?. (2019). Khan, Sajawal . In: MPRA Paper. RePEc:pra:mprapa:93172.

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More than 100 citations found, this list is not complete...

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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2009Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers.
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paper
2007Multivariate contemporaneous threshold autoregressive models.(2007) In: 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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paper
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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article
2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities In: Birkbeck Working Papers in Economics and Finance.
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paper0
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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paper14
1993 Speculative Currency Attacks and Balance of Payments Crises. In: Journal of Economic Surveys.
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article44
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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paper
2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
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article11
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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article16
2013State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
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article1
2016Risk premia and seasonality in commodity futures In: Bank of England working papers.
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paper3
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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article6
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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article1
2009Contemporaneous-Threshold Smooth Transition GARCH Models.(2009) In: Department of Economics Working Papers.
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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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article13
1998An Empirical Reassessment of Target-zone Nonlinearities In: Cambridge Working Papers in Economics.
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paper4
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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article2
2014Towards a New Inflation Targeting Framework: The Case of Uruguay.(2014) In: IDB Publications (Working Papers).
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2014Towards a “New” Inflation Targeting Framework: The Case of Uruguay.(2014) In: Research Department Publications.
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2014Towards a “New” Inflation Targeting Framework: The Case of Uruguay.(2014) In: Department of Economics Working Papers.
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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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paper6
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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article69
1997Switching error-correction models of house prices in the United Kingdom In: Economic Modelling.
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article44
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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article15
2002A test for volatility spillovers In: Economics Letters.
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2002A simple method of testing for cointegration subject to multiple regime changes In: Economics Letters.
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article18
2004Red signals: current account deficits and sustainability In: Economics Letters.
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article24
2007Predicting Markov volatility switches using monetary policy variables In: Economics Letters.
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2007Contemporaneous threshold autoregressive models: Estimation, testing and forecasting In: Journal of Econometrics.
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article13
2006Contemporaneous threshold autoregressive models: estimation, testing and forecasting.(2006) In: Working Papers.
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2007Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2007) In: Discussion Papers.
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2006Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2006) In: Department of Economics Working Papers.
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1996On the power of tests for superexogeneity and structural invariance In: Journal of Econometrics.
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article17
1993On the power of tests for superexogeneity and structural invariance.(1993) In: Documentos de Trabajo (working papers).
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1998Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching In: Journal of Econometrics.
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article29
2006Target zones for exchange rates and policy changes In: Journal of International Money and Finance.
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article3
2005Target Zones for Exchange Rates and Policy Changes.(2005) In: Department of Economics Working Papers.
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1995Stylized facts and regime changes: Are prices procyclical? In: Journal of Monetary Economics.
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article28
1998Intrinsic bubbles and regime-switching In: Journal of Monetary Economics.
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article73
2004Asymmetric effects of monetary policy in the United States In: Review.
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article70
2008Multivariate Markov switching with weighted regime determination: giving France more weight than Finland In: Working Papers.
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paper3
2010A time-varying threshold STAR model of unemployment and the natural rate In: Working Papers.
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2018Bond Risk Premia and Restrictions on Risk Prices In: Journal of Risk and Financial Management.
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2018Bond risk premia and restrictions on risk prices.(2018) In: Department of Economics Working Papers.
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1996Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation. In: International Journal of Finance & Economics.
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article7
1997Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990. In: International Journal of Finance & Economics.
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article0
1998Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables. In: International Journal of Finance & Economics.
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article9
2000Assessing the Credibility of a Target Zone: Evidence from EMS Countries. In: International Journal of Finance & Economics.
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article6
1997Cointegration and Changes in Regime: The Japanese Consumption Function. In: Journal of Applied Econometrics.
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article41
1999Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test. In: Journal of Applied Econometrics.
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article123
2003On detrending and cyclical asymmetry In: Journal of Applied Econometrics.
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article28
2002On Detrending and Cyclical Asymmetry.(2002) In: Department of Economics Working Papers.
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2004On Markov error-correction models, with an application to stock prices and dividends In: Journal of Applied Econometrics.
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2005Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables In: Journal of Applied Econometrics.
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article23
2001A simple method for testing cointegration subject to regime changes In: NIPE Working Papers.
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2002Residual-based tests for cointegration and multiple regime shifts In: NIPE Working Papers.
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paper2
2000The Prisoners Dilemma and Regime-Switching in the Greek-Turkish Arms Race In: Journal of Peace Research.
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article16
2002Merton-style option pricing under regime switching In: Computing in Economics and Finance 2002.
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paper4
2006A Structural Model of Credit Risk with Counter-Cyclical Risk Premia In: Computing in Economics and Finance 2006.
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paper0
1995Exponential smoothing and spurious correlation: a note In: Applied Economics Letters.
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article3
1993Structural breaks and GARCH modelling In: Documentos de Trabajo (working papers).
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paper0
2008Sovereign Defaults: Information, Investment and Credit In: Business School Working Papers.
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paper87
2002On The Optimal Timing of Introduction of New Products In: Department of Economics Working Papers.
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2009Real Options with Priced Regime-Switching Risk In: Department of Economics Working Papers.
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2013REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2010The Optimal Timing of the Introduction of New Products In: Department of Economics Working Papers.
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2010Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities In: Department of Economics Working Papers.
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2018Bond Risk Premia and the ”Return Forecasting Factor” In: Department of Economics Working Papers.
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paper0
1997Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small? In: Economics Working Papers.
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paper10
2000Cross-Sectional Aggregation and Persistence in Conditional Variance In: Discussion Papers.
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