Martin Sola : Citation Profile


Are you Martin Sola?

Universidad Torcuato Di Tella

18

H index

29

i10 index

1196

Citations

RESEARCH PRODUCTION:

45

Articles

50

Papers

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 44
   Journals where Martin Sola has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 31 (2.53 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pso207
   Updated: 2020-09-14    RAS profile: 2020-08-24    
   Missing citations? Add them    Incorrect content? Let us know

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 (26)

Balcilar, Mehmet (26)

GUPTA, RANGAN (24)

Yu, Jun (21)

Phillips, Peter (19)

Bação, Pedro (16)

Alexandre, Fernando (16)

Serwa, Dobromił (15)

Mouratidis, Kostas (13)

Ahrens, Steffen (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)

White, Halbert (9)

Main data


Where Martin Sola has published?


Journals with more than one article published# docs
Journal of Applied Econometrics6
Studies in Nonlinear Dynamics & Econometrics5
Economics Letters5
International Journal of Finance & Economics4
Journal of Econometrics4
Journal of Applied Econometrics2
Journal of Time Series Analysis2
Oxford Bulletin of Economics and Statistics2
Journal of Monetary Economics2
Journal of International Money and Finance2
Economic Modelling2

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 (2020 and 2019)


YearTitle of citing document
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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Identification of Sign-Dependency of Impulse Responses. (2019). Ben Zeev, Nadav. In: Working Papers. RePEc:bgu:wpaper:1907.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Risk on-Risk off: A regime switching model for active portfolio management. (2019). Siri, Julian R ; Serur, Juan A ; Dapena, Jose P. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:706.

Full description at Econpapers || Download paper

2019The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes. (2019). Morita, Rubens ; Aksoy, Yunus ; Psaradakis, Zacharias. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8035.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:1.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence. (2019). Wu, An-Chi ; Chen, Shyh-Wei ; Xie, Zixiong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305849.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach. (2019). Czudaj, Robert. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:78-145.

Full description at Econpapers || Download paper

2019Agreement matters: OPEC announcement effects on WTI term structure. (2019). Bredin, Don ; Spencer, Simon. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:589-609.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Regime switching effect of financial development on energy intensity: Evidence from Markov-switching vector error correction model. (2019). Guo, Ranran ; Saima, Umme ; Uddin, Md Kamal ; Pan, Xiongfeng. In: Energy Policy. RePEc:eee:enepol:v:135:y:2019:i:c:s0301421519305828.

Full description at Econpapers || Download paper

2019A time varying approach on the price elasticity of electricity in India during 1975–2013. (2019). Tiwari, Aviral ; Menegaki, Angeliki N. In: Energy. RePEc:eee:energy:v:183:y:2019:i:c:p:385-397.

Full description at Econpapers || Download paper

2019Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis. (2019). Zhou, Zhongbao ; Lin, Ling ; Jiang, Yong ; Liu, Qing. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:245-254.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Modelling the symmetric and asymmetric relationships between oil prices and those of corn, barley, and rapeseed oil. (2019). al Refai, Hisham ; Eissa, Mohamad Abdelaziz. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s030142071930460x.

Full description at Econpapers || Download paper

2019The political economy of sovereign defaults. (2019). Van der Ghote, Alejandro ; Andreasen, Eugenia ; Sandleris, Guido . In: Journal of Monetary Economics. RePEc:eee:moneco:v:104:y:2019:i:c:p:23-36.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Editorial for the Special Issue on Financial Econometrics. (2019). Tse, Yiu-Kuen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:153-:d:268561.

Full description at Econpapers || Download paper

2019Competitive investment with varying risk premia. (2019). Gunnelin, ke ; Armerin, Fredrik. In: Working Paper Series. RePEc:hhs:kthrec:2019_012.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Long-run relationship between exports and imports: current account sustainability tests for the EU. (2019). Stanek, Piotr ; Jalles, Joao ; Huart, Florence ; Afonso, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp0992019.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Life after default: Private vs. official sovereign debt restructurings. (2018). Marchesi, Silvia ; Masi, Tania. In: Working Papers. RePEc:mib:wpaper:370.

Full description at Econpapers || Download paper

2019Sovereign risk after sovereign restructuring. Private and official default. (2019). Marchesi, Silvia ; Masi, Tania ; Tania, Masi. In: Working Papers. RePEc:mib:wpaper:423.

Full description at Econpapers || Download paper

2019Sticky prices and the transmission mechanism of monetary policy: A minimal test of New Keynesian models. (2019). Haber, Timo ; Ascari, Guido. In: Economics Series Working Papers. RePEc:oxf:wpaper:869.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads. (2019). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:94154.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Modeling Stock Market Returns of BRICS with a Markov-Switching Dynamic Regression Model. (2019). Rapoo, Ishmael ; Moroke, Ntebogang Dinah ; Xaba, Diteboho . In: Journal of Economics and Behavioral Studies. RePEc:rnd:arjebs:v:11:y:2019:i:3:p:10-22.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach. (2019). Czudaj, Robert. In: Chemnitz Economic Papers. RePEc:tch:wpaper:cep030.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Leverage and Deepening Business Cycle Skewness. (2019). Ravn, Søren Hove ; Petrella, Ivan ; Jensen, Henrik ; Santoro, Emiliano. In: EMF Research Papers. RePEc:wrk:wrkemf:21.

Full description at Econpapers || Download paper

2019Commodity Prices and Inflation Risk. (2019). Petrella, Ivan ; Garratt, Anthony. In: EMF Research Papers. RePEc:wrk:wrkemf:23.

Full description at Econpapers || Download paper

Works by Martin Sola:


YearTitleTypeCited
2018Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes In: Papers.
[Full Text][Citation analysis]
paper1
2016Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes.(2016) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2010Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]
paper9
2011Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
2007Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2009Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2010State-Dependent Threshold STAR Models In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]
paper0
2014Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model In: BCAM Working Papers.
[Full Text][Citation analysis]
paper6
2015Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model.(2015) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2012Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model.(2012) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities In: Birkbeck Working Papers in Economics and Finance.
[Full Text][Citation analysis]
paper0
2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities.(2017) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
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.
[Citation analysis]
paper16
1993 Speculative Currency Attacks and Balance of Payments Crises. In: Journal of Economic Surveys.
[Citation analysis]
article44
2004On the Autocorrelation Properties of Long-Memory GARCH Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article27
2002On the autocorrelation properties of Long Memory Garch Processes.(2002) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article11
1997A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article17
2013State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article1
2016Risk premia and seasonality in commodity futures In: Bank of England working papers.
[Full Text][Citation analysis]
paper5
2016Risk Premia and Seasonality in Commodity Futures.(2016) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2016Risk Premia and Seasonality in Commodity Futures.(2016) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2018Risk premia and seasonality in commodity futures.(2018) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2018Risk Premia and Seasonality in Commodity Futures.(2018) In: EMF Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
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.
[Full Text][Citation analysis]
article6
2009The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article1
2011Contemporaneous-Threshold Smooth Transition GARCH Models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article1
2009Contemporaneous-Threshold Smooth Transition GARCH Models.(2009) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2020Bond risk premia and the return forecasting factor In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article0
2018Bond Risk Premia and the ”Return Forecasting Factor”.(2018) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2003Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle. In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article13
1998An Empirical Reassessment of Target-zone Nonlinearities In: Cambridge Working Papers in Economics.
[Citation analysis]
paper4
2001An empirical reassessment of target-zone nonlinearities.(2001) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
1993Rational Bubbles During Polands Hyperinflation: Implications and Empirical Evidence In: CESifo Working Paper Series.
[Full Text][Citation analysis]
paper0
2014Toward a “New” Inflation-Targeting Framework: The Case of Uruguay In: Economía Journal.
[Full Text][Citation analysis]
article2
2014Towards a New Inflation Targeting Framework: The Case of Uruguay.(2014) In: IDB Publications (Working Papers).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2014Towards a “New” Inflation Targeting Framework: The Case of Uruguay.(2014) In: Research Department Publications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2014Towards a “New” Inflation Targeting Framework: The Case of Uruguay.(2014) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2003Markov Switching Causality and the Money-Output Relationship In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper63
2005Markov switching causality and the money-output relationship.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 63
article
2004On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper1
2008On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts.(2008) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2003An Empirical Examination of Term Structure Models with Regime Shifts In: Royal Economic Society Annual Conference 2003.
[Full Text][Citation analysis]
paper6
2003An Empirical Examination of Term Structure Models with Regime Shifts.(2003) In: Computing in Economics and Finance 2003.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
1994Testing the term structure of interest rates using a stationary vector autoregression with regime switching In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article71
1997Switching error-correction models of house prices in the United Kingdom In: Economic Modelling.
[Full Text][Citation analysis]
article45
2003Target zone credibility and economic fundamentals In: Economic Modelling.
[Full Text][Citation analysis]
article13
2001A simple procedure for detecting periodically collapsing rational bubbles In: Economics Letters.
[Full Text][Citation analysis]
article15
2002A test for volatility spillovers In: Economics Letters.
[Full Text][Citation analysis]
article30
2002A simple method of testing for cointegration subject to multiple regime changes In: Economics Letters.
[Full Text][Citation analysis]
article18
2004Red signals: current account deficits and sustainability In: Economics Letters.
[Full Text][Citation analysis]
article26
2007Predicting Markov volatility switches using monetary policy variables In: Economics Letters.
[Full Text][Citation analysis]
article6
2007Contemporaneous threshold autoregressive models: Estimation, testing and forecasting In: Journal of Econometrics.
[Full Text][Citation analysis]
article14
2006Contemporaneous threshold autoregressive models: estimation, testing and forecasting.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2007Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2007) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2006Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2006) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
1996On the power of tests for superexogeneity and structural invariance In: Journal of Econometrics.
[Full Text][Citation analysis]
article14
1993On the power of tests for superexogeneity and structural invariance.(1993) In: Documentos de Trabajo (working papers).
[Citation analysis]
This paper has another version. Agregated cites: 14
paper
1998Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching In: Journal of Econometrics.
[Full Text][Citation analysis]
article31
1994Rational bubbles during Polands hyperinflation: Implications and empirical evidence In: European Economic Review.
[Full Text][Citation analysis]
article34
1993Rational bubbles during Polland’s hiperinflation: implications and empirical evidence..(1993) In: Documentos de Trabajo (working papers).
[Citation analysis]
This paper has another version. Agregated cites: 34
paper
2006Target zones for exchange rates and policy changes In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article3
2005Target Zones for Exchange Rates and Policy Changes.(2005) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
1995Stylized facts and regime changes: Are prices procyclical? In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article29
1998Intrinsic bubbles and regime-switching In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article74
2004Asymmetric effects of monetary policy in the United States In: Review.
[Full Text][Citation analysis]
article73
2008Multivariate Markov switching with weighted regime determination: giving France more weight than Finland In: Working Papers.
[Full Text][Citation analysis]
paper3
2010A time-varying threshold STAR model of unemployment and the natural rate In: Working Papers.
[Full Text][Citation analysis]
paper1
2018Bond Risk Premia and Restrictions on Risk Prices In: Journal of Risk and Financial Management.
[Full Text][Citation analysis]
article1
2018Bond risk premia and restrictions on risk prices.(2018) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1996Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation. In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article7
1997Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990. In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article0
1998Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables. In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article9
2000Assessing the Credibility of a Target Zone: Evidence from EMS Countries. In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article6
1997Cointegration and Changes in Regime: The Japanese Consumption Function. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article42
1999Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article127
2003On detrending and cyclical asymmetry In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article29
2002On Detrending and Cyclical Asymmetry.(2002) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2004On Markov error-correction models, with an application to stock prices and dividends In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article78
2005Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article23
2001A simple method for testing cointegration subject to regime changes In: NIPE Working Papers.
[Full Text][Citation analysis]
paper0
2002Residual-based tests for cointegration and multiple regime shifts In: NIPE Working Papers.
[Full Text][Citation analysis]
paper2
In: .
[Full Text][Citation analysis]
article16
2002Merton-style option pricing under regime switching In: Computing in Economics and Finance 2002.
[Citation analysis]
paper4
2006A Structural Model of Credit Risk with Counter-Cyclical Risk Premia In: Computing in Economics and Finance 2006.
[Citation analysis]
paper0
1995Exponential smoothing and spurious correlation: a note In: Applied Economics Letters.
[Full Text][Citation analysis]
article3
1993Structural breaks and GARCH modelling In: Documentos de Trabajo (working papers).
[Citation analysis]
paper0
2008Sovereign Defaults: Information, Investment and Credit In: Business School Working Papers.
[Full Text][Citation analysis]
paper94
2002On The Optimal Timing of Introduction of New Products In: Department of Economics Working Papers.
[Full Text][Citation analysis]
paper0
2010The Optimal Timing of the Introduction of New Products.(2010) In: Department of Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2009Real Options with Priced Regime-Switching Risk In: Department of Economics Working Papers.
[Full Text][Citation analysis]
paper3
2013REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2010Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities In: Department of Economics Working Papers.
[Full Text][Citation analysis]
paper4
1997Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small? In: Economics Working Papers.
[Full Text][Citation analysis]
paper10
2000Cross-Sectional Aggregation and Persistence in Conditional Variance In: Discussion Papers.
[Full Text][Citation analysis]
paper4

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team