Access Statistics for Martin Sola

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities 0 0 0 48 0 2 16 30
A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities 0 0 0 8 0 1 9 20
A Reconsideration of the Empirical Evidence on the Asymmetric Effects of Money-supply shocks: Positive vs. Negative or Big vs. Small 0 0 0 0 0 2 8 482
A Structural Model of Credit Risk with Counter-Cyclical Risk Premia 0 0 0 0 1 7 11 384
A Test for Volatility Spillovers 0 0 0 63 0 1 10 188
A Test for Volatility Spillovers 0 0 0 55 0 2 7 166
A Time-Varying Threshold STAR Model with Applications 0 0 1 21 0 0 16 35
A Time-Varying Threshold STAR Model with Applications 0 0 0 119 1 3 18 325
A simple method for testing cointegration subject to regime changes 0 0 1 168 0 1 14 440
AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s 0 0 0 31 0 3 8 130
AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s 0 0 0 30 0 1 4 175
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 111 0 5 9 260
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 0 1 2 11 206
An Empirical Reassessment of Target-zone Nonlinearities 0 0 0 0 1 3 10 669
Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small? 0 0 1 380 0 2 9 2,001
Big swings in the data and perceived changes in the risk premia 1 2 9 21 2 3 32 45
Bond Risk Premia and the ”Return Forecasting Factor” 0 0 1 53 0 0 14 159
Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals 0 0 2 57 0 3 22 128
Bond risk premia and restrictions on risk prices 0 0 0 27 0 2 16 70
Bond risk premia, priced regime shifts, and macroeconomic fundamentals 0 0 1 17 0 3 21 57
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 0 65 0 3 14 302
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 0 22 0 2 16 216
Contemporaneous threshold autoregressive models: estimation, testing and forecasting 0 0 0 467 1 5 11 1,302
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 96 0 0 12 239
Cross-Sectional Aggregation and Persistence in Conditional Variance 0 0 0 195 0 3 8 831
Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison 0 0 2 8 0 4 18 25
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 2 110 0 7 34 275
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 1 278 0 3 13 515
Markov Switching Causality and the Money-Output Relationship 0 0 0 226 0 2 18 654
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 0 0 58 0 6 15 216
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 1 2 81 1 5 19 154
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 0 0 2 18 2 5 33 66
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 0 0 0 51 0 5 16 118
Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes 0 0 0 18 0 1 10 52
Merton-style option pricing under regime switching 0 0 0 40 0 3 13 766
Multivariate Contemporaneous Threshold Autoregressive Models 0 0 0 62 0 2 13 190
Multivariate Contemporaneous-Threshold Autoregressive Models 0 0 0 74 0 2 12 204
Multivariate Markov switching with weighted regime determination: giving France more weight than Finland 0 0 0 107 1 3 16 265
Multivariate contemporaneous threshold autoregressive models 0 0 0 69 0 3 17 194
On Detrending and Cyclical Asymmetry 0 0 1 180 0 1 21 920
On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 339 1 2 12 760
On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 49 1 3 14 189
On Regime Separation in Markov-Switching Quantile Regressions 0 1 12 46 0 5 53 95
On Testing for Bubbles During Hyperinflations 0 0 0 73 0 3 10 102
On The Optimal Timing of Introduction of New Products 0 0 0 124 0 2 8 613
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities 0 0 0 12 0 2 24 65
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities 0 0 0 7 0 0 22 25
On the autocorrelation properties of Long Memory Garch Processes 0 0 1 237 1 4 17 685
On the power of tests for superexogeneity and structural invariance 0 0 0 1 1 3 8 171
Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions 0 0 3 22 0 2 20 61
Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence 0 0 0 9 1 2 7 349
Rational Bubbles: Too Many to be True? 0 0 0 80 0 4 24 134
Rational Bubbles: Too Many to be True? 0 0 1 4 0 3 21 47
Rational bubbles during Polland’s hiperinflation: implications and empirical evidence 0 0 0 1 0 1 8 913
Real Options with Priced Regime-Switching Risk 0 0 0 200 0 2 9 411
Red Signals: Trade Deficits and the Current Account 0 1 1 96 0 3 5 244
Red Signals: Trade Deficits and the Current Account 0 0 0 66 0 1 5 170
Residual-based tests for cointegration and multiple regime shifts 0 0 0 258 0 6 12 508
Risk Aversion and Changes in Regime 0 0 0 27 0 0 7 32
Risk Aversion and Changes in Regime 0 0 0 19 0 1 19 48
Risk Premia and Seasonality in Commodity Futures 0 0 0 38 1 4 23 138
Risk Premia and Seasonality in Commodity Futures 0 0 0 56 0 3 15 180
Risk premia and seasonality in commodity futures 0 1 2 47 1 4 21 148
Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities 0 3 3 125 0 7 18 286
Sovereign Defaults: Information, Investment and Credit 0 0 0 87 1 3 17 251
State-Dependent Threshold STAR Models 0 0 0 99 0 1 9 235
Structural breaks and GARCH modelling 0 0 0 1 0 0 3 426
Target Zones for Exchange Rates and Policy Changes 0 0 0 23 0 0 2 109
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables 0 0 0 131 0 3 16 424
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables 0 0 0 261 0 1 10 880
The Euro exchange rate efficiency and risk premium:an ecm model 0 0 0 78 0 1 5 323
The Euro exchange rate efficiency and risk premium:an ecm model 0 0 0 101 0 1 15 423
The Optimal Timing of the Introduction of New Products 0 0 0 103 0 3 21 251
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects 0 0 2 36 1 2 30 103
Toward a “new” inflation-targeting framework: the case of Uruguay 0 0 0 0 1 3 19 19
Towards a "New" Inflation Targeting Framework: The Case of Uruguay 0 0 0 5 0 1 7 32
Towards a “New” Inflation Targeting Framework: The Case of Uruguay 0 0 0 3 0 0 7 37
Towards a “New” Inflation Targeting Framework: The Case of Uruguay 0 0 0 99 0 2 6 416
Total Working Papers 1 9 51 6,397 21 199 1,143 23,777
3 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure 0 0 0 0 0 1 11 103
A simple method of testing for cointegration subject to multiple regime changes 0 0 0 62 1 5 16 166
A simple procedure for detecting periodically collapsing rational bubbles 0 0 0 67 0 3 11 174
A test for volatility spillovers 0 0 0 69 0 3 13 184
A time-varying threshold STAR model with applications 0 0 2 3 0 3 13 16
An empirical reassessment of target-zone nonlinearities 0 0 0 12 0 0 8 76
Assessing the Credibility of a Target Zone: Evidence from EMS Countries 0 0 1 40 0 1 9 190
Asymmetric effects of monetary policy in the United States 0 2 7 333 1 4 37 1,035
Bond Risk Premia and Restrictions on Risk Prices 0 0 0 9 0 1 6 38
Bond risk premia and the return forecasting factor 0 0 0 14 1 4 15 79
Cointegration and Changes in Regime: The Japanese Consumption Function 0 0 0 275 0 0 15 732
Contemporaneous threshold autoregressive models: Estimation, testing and forecasting 0 0 0 93 0 2 15 270
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 65 0 1 19 246
Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test 1 1 4 394 2 3 25 877
Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990 0 0 1 53 1 1 9 882
Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model 1 1 3 30 1 5 22 118
Exponential smoothing and spurious correlation: a note 0 0 0 59 1 1 6 260
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching 0 0 0 78 0 2 9 232
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates 0 0 0 182 0 2 19 502
Intrinsic bubbles and regime-switching 0 0 2 260 0 4 12 541
Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle 0 0 1 137 0 1 14 392
Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation 0 0 0 252 0 1 16 801
Markov switching causality and the money-output relationship 0 1 3 353 0 2 15 886
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 1 2 9 0 3 29 48
Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities 0 0 1 7 29 32 51 87
Multivariate contemporaneous-threshold autoregressive models 0 0 1 58 0 6 16 251
ON THE ROBUSTNESS OF MIXTURE MODELS IN THE PRESENCE OF HIDDEN MARKOV REGIMES WITH COVARIATE-DEPENDENT TRANSITION PROBABILITIES 0 0 0 0 1 1 1 1
OPTIMAL INVESTMENT IN INTERRELATED PROJECTS 0 0 1 5 0 2 8 17
On Markov error-correction models, with an application to stock prices and dividends 0 0 0 340 2 7 33 891
On detrending and cyclical asymmetry 0 0 0 109 2 5 10 630
On testing for bubbles during hyperinflations 0 1 2 5 0 3 19 28
On the Autocorrelation Properties of Long‐Memory GARCH Processes 0 0 0 46 1 2 11 148
On the power of tests for superexogeneity and structural invariance 0 0 0 16 0 3 11 94
On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching? 3 5 9 12 3 11 35 47
Predicting Markov volatility switches using monetary policy variables 0 0 0 54 1 2 8 122
REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK 0 0 0 6 0 1 9 42
Rational bubbles during Poland's hyperinflation: Implications and empirical evidence 0 0 0 152 0 1 7 486
Rational bubbles: Too many to be true? 0 0 1 5 0 0 19 38
Red signals: current account deficits and sustainability 2 2 2 81 3 4 11 198
Risk premia and seasonality in commodity futures 0 2 3 44 0 7 26 198
Selecting nonlinear time series models using information criteria 0 0 1 91 0 4 12 210
Speculative Currency Attacks and Balance of Payments Crises 0 0 0 0 0 3 14 845
State-Dependent Threshold Smooth Transition Autoregressive Models 0 0 0 27 0 4 12 107
Stylized facts and regime changes: Are prices procyclical? 0 0 1 133 0 2 11 373
Switching error-correction models of house prices in the United Kingdom 0 1 5 205 3 7 23 447
Target zone credibility and economic fundamentals 0 0 0 40 0 5 17 141
Target zones for exchange rates and policy changes 0 0 1 23 0 3 13 116
Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables 0 0 0 44 0 3 10 221
Testing the term structure of interest rates using a stationary vector autoregression with regime switching 0 1 2 267 0 1 15 603
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 2 0 1 10 15
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 163 1 2 13 536
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing 0 0 0 40 1 3 18 194
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race 1 1 1 13 1 6 14 47
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model With Threshold Effects 0 0 0 0 0 5 14 14
Toward a “New” Inflation-Targeting Framework: The Case of Uruguay 0 0 0 14 0 2 8 106
When volatility turns, recessions follow 1 2 2 2 1 5 5 5
Total Journal Articles 9 21 59 4,853 57 196 848 16,106

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Statistics updated 2026-07-10