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 8 1 4 5 16
A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities 0 0 0 48 2 7 9 21
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 3 5 6 480
A Structural Model of Credit Risk with Counter-Cyclical Risk Premia 0 0 0 0 1 1 2 375
A Test for Volatility Spillovers 0 0 0 63 4 9 9 187
A Test for Volatility Spillovers 0 0 0 55 2 3 4 162
A Time-Varying Threshold STAR Model with Applications 0 0 2 21 4 8 15 32
A Time-Varying Threshold STAR Model with Applications 0 0 1 119 5 11 16 321
A simple method for testing cointegration subject to regime changes 1 1 1 168 4 5 6 432
AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s 0 0 0 30 1 1 2 173
AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s 0 0 0 31 2 4 5 127
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 0 3 6 8 202
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 111 2 2 5 255
An Empirical Reassessment of Target-zone Nonlinearities 0 0 0 0 3 5 6 665
Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small? 0 0 1 380 0 1 5 1,995
Big swings in the data and perceived changes in the risk premia 0 2 19 19 7 16 40 40
Bond Risk Premia and the ”Return Forecasting Factor” 0 0 2 53 1 6 16 159
Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals 0 0 3 56 9 10 15 117
Bond risk premia and restrictions on risk prices 0 0 1 27 4 8 11 64
Bond risk premia, priced regime shifts, and macroeconomic fundamentals 0 0 3 16 4 9 14 47
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 1 65 4 5 6 293
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 0 22 3 7 9 208
Contemporaneous threshold autoregressive models: estimation, testing and forecasting 0 0 0 467 2 3 5 1,296
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 96 3 6 8 234
Cross-Sectional Aggregation and Persistence in Conditional Variance 0 0 0 195 0 2 3 825
Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison 0 0 8 8 2 5 19 19
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 0 277 2 4 7 508
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 2 2 3 110 14 16 21 261
Markov Switching Causality and the Money-Output Relationship 0 0 0 226 7 11 12 648
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 1 1 80 4 8 12 147
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 0 0 58 3 4 7 208
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 0 0 0 51 6 7 9 111
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 0 0 3 18 6 12 18 50
Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes 0 0 0 18 2 2 3 45
Merton-style option pricing under regime switching 0 0 0 40 2 4 4 757
Multivariate Contemporaneous Threshold Autoregressive Models 0 0 0 62 6 8 9 186
Multivariate Contemporaneous-Threshold Autoregressive Models 0 0 0 74 2 5 9 200
Multivariate Markov switching with weighted regime determination: giving France more weight than Finland 0 0 0 107 4 7 13 261
Multivariate contemporaneous threshold autoregressive models 0 0 0 69 8 10 12 189
On Detrending and Cyclical Asymmetry 0 1 2 180 9 13 16 914
On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 339 4 5 6 754
On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 49 3 5 8 183
On Regime Separation in Markov-Switching Quantile Regressions 2 7 14 42 9 24 43 75
On Testing for Bubbles During Hyperinflations 0 0 1 73 4 4 8 96
On The Optimal Timing of Introduction of New Products 0 0 1 124 2 6 7 611
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities 0 0 7 7 8 14 18 18
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities 0 0 1 12 7 11 25 58
On the autocorrelation properties of Long Memory Garch Processes 0 1 1 237 2 8 12 679
On the power of tests for superexogeneity and structural invariance 0 0 0 1 2 3 5 166
Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions 0 1 11 22 3 6 26 53
Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence 0 0 0 9 1 3 6 346
Rational Bubbles: Too Many to be True? 0 0 0 80 12 16 16 126
Rational Bubbles: Too Many to be True? 0 0 1 4 9 14 18 41
Rational bubbles during Polland’s hiperinflation: implications and empirical evidence 0 0 0 1 3 6 7 912
Real Options with Priced Regime-Switching Risk 0 0 0 200 2 3 4 405
Red Signals: Trade Deficits and the Current Account 0 0 0 95 0 2 3 241
Red Signals: Trade Deficits and the Current Account 0 0 0 66 2 3 4 168
Residual-based tests for cointegration and multiple regime shifts 0 0 0 258 2 4 5 501
Risk Aversion and Changes in Regime 0 0 0 19 6 10 12 40
Risk Aversion and Changes in Regime 0 0 0 27 4 6 7 31
Risk Premia and Seasonality in Commodity Futures 0 0 0 38 3 9 18 132
Risk Premia and Seasonality in Commodity Futures 0 0 0 56 3 6 8 173
Risk premia and seasonality in commodity futures 0 1 2 46 5 9 15 137
Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities 0 0 1 122 3 5 10 274
Sovereign Defaults: Information, Investment and Credit 0 0 0 87 6 10 11 244
State-Dependent Threshold STAR Models 0 0 0 99 4 6 6 232
Structural breaks and GARCH modelling 0 0 1 1 1 2 4 425
Target Zones for Exchange Rates and Policy Changes 0 0 0 23 0 2 2 109
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables 0 0 0 131 7 11 12 419
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables 0 0 0 261 5 6 7 876
The Euro exchange rate efficiency and risk premium:an ecm model 0 0 0 78 1 1 3 319
The Euro exchange rate efficiency and risk premium:an ecm model 0 0 0 101 6 8 8 416
The Optimal Timing of the Introduction of New Products 0 0 0 103 2 9 17 243
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects 0 0 13 36 3 13 47 99
Toward a “new” inflation-targeting framework: the case of Uruguay 0 0 0 0 5 8 9 9
Towards a "New" Inflation Targeting Framework: The Case of Uruguay 0 0 0 5 2 4 4 29
Towards a “New” Inflation Targeting Framework: The Case of Uruguay 0 0 0 99 0 2 4 413
Towards a “New” Inflation Targeting Framework: The Case of Uruguay 0 0 0 3 3 3 6 36
Total Working Papers 5 17 105 6,382 295 527 832 23,319
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 4 4 4 96
A simple method of testing for cointegration subject to multiple regime changes 0 0 1 62 6 8 11 158
A simple procedure for detecting periodically collapsing rational bubbles 0 0 0 67 4 5 6 169
A test for volatility spillovers 0 0 0 69 3 7 7 178
A time-varying threshold STAR model with applications 0 1 1 2 0 5 7 10
An empirical reassessment of target-zone nonlinearities 0 0 0 12 6 6 7 75
Assessing the Credibility of a Target Zone: Evidence from EMS Countries 0 1 1 40 2 7 8 189
Asymmetric effects of monetary policy in the United States 0 0 10 331 8 14 36 1,021
Bond Risk Premia and Restrictions on Risk Prices 0 0 0 9 3 4 4 36
Bond risk premia and the return forecasting factor 0 0 1 14 5 6 12 73
Cointegration and Changes in Regime: The Japanese Consumption Function 0 0 0 275 4 8 13 729
Contemporaneous threshold autoregressive models: Estimation, testing and forecasting 0 0 0 93 6 8 9 264
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 65 5 13 16 243
Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test 0 0 4 393 2 9 22 870
Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990 0 0 1 53 2 5 7 880
Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model 2 2 2 29 6 14 17 113
Exponential smoothing and spurious correlation: a note 0 0 0 59 2 3 3 257
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching 0 0 1 78 2 4 6 228
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates 0 0 0 182 11 11 12 494
Intrinsic bubbles and regime-switching 1 2 3 260 6 8 13 537
Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle 0 1 1 137 4 9 10 388
Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation 0 0 0 252 2 11 13 797
Markov switching causality and the money-output relationship 0 1 3 352 2 6 14 881
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 1 3 8 8 11 18 33
Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities 0 0 1 7 5 11 20 52
Multivariate contemporaneous-threshold autoregressive models 0 1 1 58 3 6 7 242
OPTIMAL INVESTMENT IN INTERRELATED PROJECTS 0 1 1 5 2 3 4 13
On Markov error-correction models, with an application to stock prices and dividends 0 0 0 340 6 14 20 877
On detrending and cyclical asymmetry 0 0 0 109 4 5 6 625
On testing for bubbles during hyperinflations 0 1 1 4 5 8 14 21
On the Autocorrelation Properties of Long‐Memory GARCH Processes 0 0 0 46 5 5 8 144
On the power of tests for superexogeneity and structural invariance 0 0 0 16 2 4 7 89
On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching? 1 1 6 7 4 7 20 28
Predicting Markov volatility switches using monetary policy variables 0 0 0 54 3 4 4 118
REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK 0 0 0 6 2 5 8 40
Rational bubbles during Poland's hyperinflation: Implications and empirical evidence 0 0 0 152 3 4 8 485
Rational bubbles: Too many to be true? 0 0 1 5 5 8 20 37
Red signals: current account deficits and sustainability 0 0 1 79 2 5 9 193
Risk premia and seasonality in commodity futures 0 1 2 42 8 11 16 186
Selecting nonlinear time series models using information criteria 0 1 2 91 3 4 6 203
Speculative Currency Attacks and Balance of Payments Crises 0 0 0 0 4 6 8 839
State-Dependent Threshold Smooth Transition Autoregressive Models 0 0 1 27 2 5 8 101
Stylized facts and regime changes: Are prices procyclical? 0 0 2 133 3 5 9 369
Switching error-correction models of house prices in the United Kingdom 2 2 5 202 8 9 16 436
Target zone credibility and economic fundamentals 0 0 0 40 3 5 8 132
Target zones for exchange rates and policy changes 0 0 1 23 5 6 8 111
Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables 0 0 0 44 2 4 7 217
Testing the term structure of interest rates using a stationary vector autoregression with regime switching 0 0 0 265 5 10 12 600
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 2 5 7 9 14
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 163 1 8 9 532
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing 0 0 0 40 3 7 11 185
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race 0 0 1 12 3 4 7 37
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model With Threshold Effects 0 0 0 0 4 8 8 8
Toward a “New” Inflation-Targeting Framework: The Case of Uruguay 0 0 0 14 1 4 6 102
Total Journal Articles 6 17 58 4,828 214 378 578 15,755

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Statistics updated 2026-02-12