Martin Sola : Citation Profile


Are you Martin Sola?

Universidad Torcuato Di Tella

20

H index

32

i10 index

1441

Citations

RESEARCH PRODUCTION:

52

Articles

65

Papers

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 46
   Journals where Martin Sola has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 44 (2.96 %)

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   Permalink: http://citec.repec.org/pso207
   Updated: 2024-07-05    RAS profile: 2024-03-06    
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Relations with other researchers


Works with:

Psaradakis, Zacharias (10)

Hevia, Constantino (3)

Owyang, Michael (2)

Jackson Young, Laura (2)

Morita, Rubens (2)

Petrella, Ivan (2)

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 (30)

Balcilar, Mehmet (26)

GUPTA, RANGAN (24)

Phillips, Peter (23)

Yu, Jun (23)

Alexandre, Fernando (16)

Bação, Pedro (16)

Frömmel, Michael (15)

Serwa, Dobromił (15)

Guidolin, Massimo (14)

Cites to:

Psaradakis, Zacharias (49)

Spagnolo, Fabio (34)

Hamilton, James (32)

Hansen, Bruce (29)

Andrews, Donald (17)

Driffill, Edward (16)

Obstfeld, Maurice (14)

Diebold, Francis (12)

Hall, Stephen (12)

Spagnolo, Nicola (12)

Phillips, Peter (11)

Main data


Where Martin Sola has published?


Journals with more than one article published# docs
Studies in Nonlinear Dynamics & Econometrics6
Journal of Applied Econometrics6
Economics Letters5
International Journal of Finance & Economics4
Journal of Econometrics4
Journal of Applied Econometrics3
Journal of Economic Dynamics and Control2
Journal of International Money and Finance2
Journal of Monetary Economics2
Economic Modelling2
Journal of Time Series Analysis2
Oxford Bulletin of Economics and Statistics2
International Journal of Theoretical and Applied Finance (IJTAF)2

Working Papers Series with more than one paper published# docs
Department of Economics Working Papers / Universidad Torcuato Di Tella29
Working Papers / Federal Reserve Bank of St. Louis4
Working Papers / Red Nacional de Investigadores en Economa (RedNIE)4
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
Documentos de Trabajo (working papers) / Department of Economics - dECON3

Recent works citing Martin Sola (2024 and 2023)


YearTitle of citing document
2023A simulated electronic market with speculative behaviour and bubble formation. (2023). Mosionek-Schweda, Magdalena ; Cofre, Nicolas. In: Papers. RePEc:arx:papers:2311.12247.

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2023Another 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.

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2023Natural 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.

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2023Signaling with debt currency choice. (2023). Zhou, Haonan ; Malamud, Semyon ; Eren, Egemen. In: BIS Working Papers. RePEc:bis:biswps:1067.

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2023Diagnosing 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.

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2024Stock 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.

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2023Nonlinear 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.

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2023European 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.

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2023Effects 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.

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2023Subsample 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.

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2023Optimizing 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.

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2023Do 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.

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2023Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics. (2023). Okawa, Hiroyuki. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:67-:d:1045068.

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2023.

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2023.

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2023Financial 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.

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2023Correcting 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.

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2023FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156.

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2023Exchange 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.

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2023An 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.

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2023A 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.

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2023Variable 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.

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2023Sustainability 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.

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2023Linear 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.

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2023Bias-Correction in Time Series Quantile Regression Models. (2023). Vavra, Marian. In: Working and Discussion Papers. RePEc:svk:wpaper:1094.

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2023Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1.

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2023COSTLY 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.

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2023General 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.

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2024Risky 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.

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Works by Martin Sola:


YearTitleTypeCited
2022Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals In: Working Papers.
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2022Bond risk premia, priced regime shifts, and macroeconomic fundamentals.(2022) In: Department of Economics Working Papers.
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2023A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities In: Working Papers.
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2023A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities.(2023) In: Department of Economics Working Papers.
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This paper has nother version. Agregated cites: 0
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2023Risk Aversion and Changes in Regime In: Working Papers.
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2021Risk Aversion and Changes in Regime.(2021) In: Department of Economics Working Papers.
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This paper has nother version. Agregated cites: 0
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2023Rational Bubbles: Too Many to be True? In: Working Papers.
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2023Rational bubbles: Too many to be true?.(2023) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 1
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2021Rational Bubbles: Too Many to be True?.(2021) In: Department of Economics Working Papers.
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This paper has nother version. Agregated cites: 1
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2021Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities In: Papers.
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paper3
2021Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities.(2021) In: Department of Economics Working Papers.
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This paper has nother version. Agregated cites: 3
paper
2022Maximum Likelihood Estimation in Markov Regime?Switching Models With Covariate?Dependent Transition Probabilities.(2022) In: Econometrica.
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This paper has nother version. Agregated cites: 3
article
2010Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers.
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paper12
2011Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 12
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2007Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 12
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2009Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers.
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This paper has nother version. Agregated cites: 12
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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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paper15
2012Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model.(2012) In: Department of Economics Working Papers.
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2015Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model.(2015) In: Journal of Applied Econometrics.
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2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities In: Birkbeck Working Papers in Economics and Finance.
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2024Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities.(2024) In: Econometrics and Statistics.
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2017Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities.(2017) In: Department of Economics Working Papers.
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1996A Reconsideration of the Empirical Evidence on the Asymmetric Effects of Money-supply shocks: Positive vs. Negative or Big vs. Small In: Archive Discussion Papers.
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paper27
1993 Speculative Currency Attacks and Balance of Payments Crises. In: Journal of Economic Surveys.
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article47
2004On the Autocorrelation Properties of Long?Memory GARCH Processes In: Journal of Time Series Analysis.
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article35
2002On the autocorrelation properties of Long Memory Garch Processes.(2002) In: Department of Economics Working Papers.
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This paper has nother version. Agregated cites: 35
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2009Selecting nonlinear time series models using information criteria In: Journal of Time Series Analysis.
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article14
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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article17
2013State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
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article7
2016Risk premia and seasonality in commodity futures In: Bank of England working papers.
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paper11
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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article9
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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article1
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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This paper has nother version. Agregated cites: 1
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2020Bond risk premia and the return forecasting factor In: Studies in Nonlinear Dynamics & Econometrics.
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2018Bond Risk Premia and the ”Return Forecasting Factor”.(2018) In: Department of Economics Working Papers.
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2024On testing for bubbles during hyperinflations In: Studies in Nonlinear Dynamics & Econometrics.
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2022On Testing for Bubbles During Hyperinflations.(2022) 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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article15
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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This paper has nother version. Agregated cites: 4
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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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article4
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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This paper has nother version. Agregated cites: 4
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2003Markov Switching Causality and the Money-Output Relationship In: CEPR Discussion Papers.
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paper74
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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article81
1997Switching error-correction models of house prices in the United Kingdom In: Economic Modelling.
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article47
2003Target zone credibility and economic fundamentals In: Economic Modelling.
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article14
2001A simple procedure for detecting periodically collapsing rational bubbles In: Economics Letters.
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article16
2002A test for volatility spillovers In: Economics Letters.
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article32
2002A simple method of testing for cointegration subject to multiple regime changes In: Economics Letters.
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article20
2004Red signals: current account deficits and sustainability In: Economics Letters.
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article30
2007Predicting Markov volatility switches using monetary policy variables In: Economics Letters.
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article7
2007Contemporaneous threshold autoregressive models: Estimation, testing and forecasting In: Journal of Econometrics.
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article16
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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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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article37
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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article29
1998Intrinsic bubbles and regime-switching In: Journal of Monetary Economics.
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article82
2004Asymmetric effects of monetary policy in the United States In: Review.
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article95
2008Multivariate Markov switching with weighted regime determination: giving France more weight than Finland In: Working Papers.
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2022A Time-Varying Threshold STAR Model with Applications In: Working Papers.
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.() In: .
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2022A Time-Varying Threshold STAR Model with Applications.(2022) In: Department of Economics Working Papers.
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2018Bond Risk Premia and Restrictions on Risk Prices In: JRFM.
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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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article9
1997Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990. In: International Journal of Finance & Economics.
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article1
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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article47
1999Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test. In: Journal of Applied Econometrics.
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article151
2003On detrending and cyclical asymmetry In: Journal of Applied Econometrics.
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article31
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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article104
2005Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables In: Journal of Applied Econometrics.
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article27
2005Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables.(2005) In: Journal of Applied Econometrics.
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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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article17
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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1995Exponential smoothing and spurious correlation: a note In: Applied Economics Letters.
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1993Structural breaks and GARCH modelling In: Documentos de Trabajo (working papers).
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2008Sovereign Defaults: Information, Investment and Credit In: Business School Working Papers.
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paper119
2002On The Optimal Timing of Introduction of New Products In: Department of Economics Working Papers.
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2010The Optimal Timing of the Introduction of New Products.(2010) 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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2010Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities In: Department of Economics Working Papers.
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2014Towards a “New” Inflation Targeting Framework: The Case of Uruguay In: Department of Economics Working Papers.
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paper3
2016Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes In: Department of Economics Working Papers.
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2024Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions In: Department of Economics Working Papers.
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2024The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects In: Department of Economics Working Papers.
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2014Towards a “New” Inflation Targeting Framework: The Case of Uruguay In: Department of Economics Working Papers.
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1997Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small? In: Economics Working Papers.
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2022OPTIMAL INVESTMENT IN INTERRELATED PROJECTS In: International Journal of Theoretical and Applied Finance (IJTAF).
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