19
H index
31
i10 index
1428
Citations
Martin Sola : Citation Profile
Universidad Torcuato Di Tella | RESEARCH PRODUCTION: 51 Articles 68 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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31 years (1993 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Martin Sola. | Is cited by:
| Cites to:
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Main data
Where Martin Sola has published?
Recent works citing Martin Sola (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A simulated electronic market with speculative behaviour and bubble formation. (2023). Mosionek-Schweda, Magdalena ; Cofre, Nicolas. In: Papers. RePEc:arx:papers:2311.12247. Full description at Econpapers || Download paper |
| 2023 | Another Boiling Frog: the impact of climate-related events on financial outcomes in Brazil. (2023). Ferreira, Leonardo Nogueira. In: Working Papers Series. RePEc:bcb:wpaper:573. Full description at Econpapers || Download paper |
| 2023 | Natural gas and the macroeconomy: not all energy shocks are alike. (2023). Gazzani, Andrea ; Alessandri, Piergiorgio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1428_23. Full description at Econpapers || Download paper |
| 2023 | Signaling with debt currency choice. (2023). Zhou, Haonan ; Malamud, Semyon ; Eren, Egemen. In: BIS Working Papers. RePEc:bis:biswps:1067. Full description at Econpapers || Download paper |
| 2023 | Diagnosing housing fever with an econometric thermometer. (2023). Phillips, Peter ; Shi, Shuping. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:159-186. Full description at Econpapers || Download paper |
| 2024 | Stock price swings and fundamentals: The role of Knightian uncertainty. (2024). Mangee, Nicholas. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005033. Full description at Econpapers || Download paper |
| 2023 | Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S.. (2023). Jiang, Cheng ; Chauvet, Marcelle. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000989. Full description at Econpapers || Download paper |
| 2023 | European option pricing with market frictions, regime switches and model uncertainty. (2023). Siu, Tak Kuen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:233-250. Full description at Econpapers || Download paper |
| 2023 | Effects of information quality on signaling through sovereign debt issuance. (2023). Yoon, Young-Ro ; Lee, Yoon-Jin ; Joo, Hyungseok. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:207:y:2023:i:c:p:279-304. Full description at Econpapers || Download paper |
| 2023 | Subsample stability, change detection and dynamics of oil and metal markets: A recursive approach. (2023). Shahbaz, Muhammad ; Napari, Ayuba ; Ul, Asad. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003124. Full description at Econpapers || Download paper |
| 2023 | Optimizing energy efficiency investments in steel firms: A real options model considering carbon trading and tax cuts during challenging economic conditions. (2023). Jia, Zhijie ; Yang, Jinqiang ; Zhou, Yuanqi. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723007535. Full description at Econpapers || Download paper |
| 2023 | Do emerging art market segments have their own price dynamics? Evidence from the Chinese art market. (2023). Wang, Fang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:318-331. Full description at Econpapers || Download paper |
| 2024 | Detecting and date-stamping bubbles in fan tokens. (2024). Demir, Ender ; Ersan, Oguz ; Assaf, Ata. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:98-113. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Financial Development, Political Instability, Trade Openness and Growth in Brazil: Evidence from a New Dataset, 1890-2003. (2023). Glebkina, Ekaterina ; Campos, Nauro ; Koutroumpis, Panagiotis ; Karanasos, Menelaos. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:4:d:10.1007_s11079-022-09684-4. Full description at Econpapers || Download paper |
| 2023 | Correcting estimation bias in regime switching dynamic term structure models. (2023). Liu, Liu ; Cho, Sungjun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01182-z. Full description at Econpapers || Download paper |
| 2023 | Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis. (2023). Aftab, Muhammad ; Qureshi, Saba. In: Global Business Review. RePEc:sae:globus:v:24:y:2023:i:6:p:1180-1204. Full description at Econpapers || Download paper |
| 2023 | An extended wavelet approach of the money–output link in the United States. (2023). Sokic, Alexandre ; Mutascu, Mihai. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:4:d:10.1007_s00181-022-02294-6. Full description at Econpapers || Download paper |
| 2023 | A new quadratic asymmetric error correction model: does size matter?. (2023). Alsamara, Mouyad ; Mrabet, Zouhair ; Mnasri, Ayman. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02323-4. Full description at Econpapers || Download paper |
| 2023 | Variable selection in threshold model with a covariate-dependent threshold. (2023). Yang, Lixiong. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02340-3. Full description at Econpapers || Download paper |
| 2023 | Sustainability of current account deficits in Nigeria: evidence from the asymmetric NARDL approach. (2023). Onatunji, Olufemi G. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:10:d:10.1007_s43546-023-00566-6. Full description at Econpapers || Download paper |
| 2023 | Linear approximation of the Threshold AutoRegressive model: an application to order estimation. (2023). Vitale, Cosimo Damiano ; Niglio, Marcella ; Giordano, Francesco. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:32:y:2023:i:1:d:10.1007_s10260-022-00638-1. Full description at Econpapers || Download paper |
| 2023 | Bias-Correction in Time Series Quantile Regression Models. (2023). Vavra, Marian. In: Working and Discussion Papers. RePEc:svk:wpaper:1094. Full description at Econpapers || Download paper |
| 2023 | Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1. Full description at Econpapers || Download paper |
| 2023 | COSTLY INFORMATION AND SOVEREIGN RISK. (2023). Stangebye, Zachary R ; Gu, Grace Weishi. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:4:p:1397-1429. Full description at Econpapers || Download paper |
| 2024 | General Bayesian time?varying parameter vector autoregressions for modeling government bond yields. (2023). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:1:p:69-87. Full description at Econpapers || Download paper |
| 2024 | Risky times: Seasonality and event risk of commodities. (2024). Boos, Dominik. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:767-783. Full description at Econpapers || Download paper |
Works by Martin Sola:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2022 | Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Bond risk premia, priced regime shifts, and macroeconomic fundamentals.(2022) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2023 | A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities.(2023) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2023 | Risk Aversion and Changes in Regime In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Risk Aversion and Changes in Regime.(2021) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2023 | Rational Bubbles: Too Many to be True? In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2023 | Rational bubbles: Too many to be true?.(2023) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2021 | Rational Bubbles: Too Many to be True?.(2021) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2021 | Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities.(2021) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2010 | Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 2011 | Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2007 | Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2009 | Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2010 | State-Dependent Threshold STAR Models In: UFAE and IAE Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model In: BCAM Working Papers. [Full Text][Citation analysis] | paper | 16 |
| 2012 | Estimating 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 nother version. Agregated cites: 16 | paper | |
| 2015 | Estimating 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 nother version. Agregated cites: 16 | article | |
| 2017 | Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities.(2024) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2017 | Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities.(2017) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1996 | A 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] | paper | 27 |
| 1993 | Speculative Currency Attacks and Balance of Payments Crises. In: Journal of Economic Surveys. [Citation analysis] | article | 47 |
| 2009 | Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 15 |
| 1997 | A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 17 |
| 2013 | State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 7 |
| 2016 | Risk premia and seasonality in commodity futures In: Bank of England working papers. [Full Text][Citation analysis] | paper | 12 |
| 2016 | Risk Premia and Seasonality in Commodity Futures.(2016) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2016 | Risk Premia and Seasonality in Commodity Futures.(2016) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2018 | Risk premia and seasonality in commodity futures.(2018) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2006 | Instrumental-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] | article | 9 |
| 2009 | The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2011 | Contemporaneous-Threshold Smooth Transition GARCH Models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2009 | Contemporaneous-Threshold Smooth Transition GARCH Models.(2009) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2020 | Bond risk premia and the return forecasting factor In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Bond Risk Premia and the â€Return Forecasting Factorâ€.(2018) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2024 | On testing for bubbles during hyperinflations In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2022 | On Testing for Bubbles During Hyperinflations.(2022) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2003 | Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle. In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 15 |
| 1998 | An Empirical Reassessment of Target-zone Nonlinearities In: Cambridge Working Papers in Economics. [Citation analysis] | paper | 4 |
| 2001 | An empirical reassessment of target-zone nonlinearities.(2001) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 1993 | Rational Bubbles During Polands Hyperinflation: Implications and Empirical Evidence In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 40 |
| 1994 | Rational bubbles during Polands hyperinflation: Implications and empirical evidence.(1994) In: European Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | article | |
| 1993 | Rational bubbles during Polland’s hiperinflation: implications and empirical evidence..(1993) In: Documentos de Trabajo (working papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
| 2014 | Toward a “New” Inflation-Targeting Framework: The Case of Uruguay In: Economía Journal. [Full Text][Citation analysis] | article | 4 |
| 2014 | Toward a “new” inflation-targeting framework: the case of Uruguay.(2014) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2014 | Towards a New Inflation Targeting Framework: The Case of Uruguay.(2014) In: IDB Publications (Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2014 | Towards a “New” Inflation Targeting Framework: The Case of Uruguay.(2014) In: Research Department Publications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2014 | Towards a “New†Inflation Targeting Framework: The Case of Uruguay.(2014) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2003 | Markov Switching Causality and the Money-Output Relationship In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 75 |
| 2005 | Markov switching causality and the money-output relationship.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | article | |
| 2004 | On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2008 | On 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 nother version. Agregated cites: 2 | paper | |
| 2003 | An Empirical Examination of Term Structure Models with Regime Shifts In: Royal Economic Society Annual Conference 2003. [Full Text][Citation analysis] | paper | 6 |
| 2003 | An Empirical Examination of Term Structure Models with Regime Shifts.(2003) In: Computing in Economics and Finance 2003. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2024 | On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching? In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 1994 | Testing 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] | article | 81 |
| 1997 | Switching error-correction models of house prices in the United Kingdom In: Economic Modelling. [Full Text][Citation analysis] | article | 47 |
| 2003 | Target zone credibility and economic fundamentals In: Economic Modelling. [Full Text][Citation analysis] | article | 14 |
| 2001 | A simple procedure for detecting periodically collapsing rational bubbles In: Economics Letters. [Full Text][Citation analysis] | article | 16 |
| 2002 | A test for volatility spillovers In: Economics Letters. [Full Text][Citation analysis] | article | 32 |
| 2002 | A simple method of testing for cointegration subject to multiple regime changes In: Economics Letters. [Full Text][Citation analysis] | article | 20 |
| 2004 | Red signals: current account deficits and sustainability In: Economics Letters. [Full Text][Citation analysis] | article | 31 |
| 2007 | Predicting Markov volatility switches using monetary policy variables In: Economics Letters. [Full Text][Citation analysis] | article | 7 |
| 2007 | Contemporaneous threshold autoregressive models: Estimation, testing and forecasting In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
| 2006 | Contemporaneous threshold autoregressive models: estimation, testing and forecasting.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2007 | Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2007) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2006 | Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2006) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 1996 | On the power of tests for superexogeneity and structural invariance In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
| 1993 | On the power of tests for superexogeneity and structural invariance.(1993) In: Documentos de Trabajo (working papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 1998 | Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching In: Journal of Econometrics. [Full Text][Citation analysis] | article | 37 |
| 2006 | Target zones for exchange rates and policy changes In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 3 |
| 2005 | Target Zones for Exchange Rates and Policy Changes.(2005) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 1995 | Stylized facts and regime changes: Are prices procyclical? In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 29 |
| 1998 | Intrinsic bubbles and regime-switching In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 82 |
| 2004 | Asymmetric effects of monetary policy in the United States In: Review. [Full Text][Citation analysis] | article | 95 |
| 2008 | Multivariate Markov switching with weighted regime determination: giving France more weight than Finland In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2022 | A Time-Varying Threshold STAR Model with Applications In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | ||
| 2022 | A Time-Varying Threshold STAR Model with Applications.(2022) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2018 | Bond Risk Premia and Restrictions on Risk Prices In: JRFM. [Full Text][Citation analysis] | article | 1 |
| 2018 | Bond risk premia and restrictions on risk prices.(2018) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 1996 | Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation. In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 9 |
| 1997 | Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990. In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 1 |
| 1998 | Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables. In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 9 |
| 2000 | Assessing the Credibility of a Target Zone: Evidence from EMS Countries. In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 6 |
| 1997 | Cointegration and Changes in Regime: The Japanese Consumption Function. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 47 |
| 1999 | Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 155 |
| 2003 | On detrending and cyclical asymmetry In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 31 |
| 2002 | On Detrending and Cyclical Asymmetry.(2002) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2004 | On Markov error-correction models, with an application to stock prices and dividends In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 105 |
| 2005 | Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 27 |
| 2005 | Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2001 | A simple method for testing cointegration subject to regime changes In: NIPE Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Residual-based tests for cointegration and multiple regime shifts In: NIPE Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2000 | The Prisoners Dilemma and Regime-Switching in the Greek-Turkish Arms Race In: Journal of Peace Research. [Full Text][Citation analysis] | article | 17 |
| 2002 | Merton-style option pricing under regime switching In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 4 |
| 2006 | A Structural Model of Credit Risk with Counter-Cyclical Risk Premia In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 1995 | Exponential smoothing and spurious correlation: a note In: Applied Economics Letters. [Full Text][Citation analysis] | article | 4 |
| 1993 | Structural breaks and GARCH modelling In: Documentos de Trabajo (working papers). [Full Text][Citation analysis] | paper | 0 |
| 2008 | Sovereign Defaults: Information, Investment and Credit In: Business School Working Papers. [Full Text][Citation analysis] | paper | 120 |
| 2002 | On The Optimal Timing of Introduction of New Products In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | The Optimal Timing of the Introduction of New Products.(2010) In: Department of Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2002 | On the autocorrelation properties of Long Memory Garch Processes In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Real Options with Priced Regime-Switching Risk In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2010 | Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2014 | Towards a “New†Inflation Targeting Framework: The Case of Uruguay In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2024 | The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | On Regime Separation in Markov-Switching Quantile Regressions In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Towards a “New†Inflation Targeting Framework: The Case of Uruguay In: Department of Economics Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 1997 | Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small? In: Economics Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2018 | Risk Premia and Seasonality in Commodity Futures In: EMF Research Papers. [Full Text][Citation analysis] | paper | 8 |
| 2022 | OPTIMAL INVESTMENT IN INTERRELATED PROJECTS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2000 | Cross-Sectional Aggregation and Persistence in Conditional Variance In: Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
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