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 0 4 8 19
A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities 0 0 0 48 0 9 16 28
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 3 6 480
A Structural Model of Credit Risk with Counter-Cyclical Risk Premia 0 0 0 0 1 3 4 377
A Test for Volatility Spillovers 0 0 0 63 0 4 9 187
A Test for Volatility Spillovers 0 0 0 55 0 4 5 164
A Time-Varying Threshold STAR Model with Applications 0 0 2 21 1 7 17 35
A Time-Varying Threshold STAR Model with Applications 0 0 1 119 0 6 17 322
A simple method for testing cointegration subject to regime changes 0 1 1 168 2 11 13 439
AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s 0 0 0 30 0 2 3 174
AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s 0 0 0 31 0 2 5 127
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 0 0 5 9 204
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 111 0 2 4 255
An Empirical Reassessment of Target-zone Nonlinearities 0 0 0 0 1 4 7 666
Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small? 0 0 1 380 3 4 8 1,999
Big swings in the data and perceived changes in the risk premia 0 0 19 19 0 9 42 42
Bond Risk Premia and the ”Return Forecasting Factor” 0 0 2 53 0 1 16 159
Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals 0 1 3 57 2 17 21 125
Bond risk premia and restrictions on risk prices 0 0 1 27 3 8 15 68
Bond risk premia, priced regime shifts, and macroeconomic fundamentals 0 1 2 17 2 11 19 54
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 0 22 2 9 15 214
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 1 65 1 10 12 299
Contemporaneous threshold autoregressive models: estimation, testing and forecasting 0 0 0 467 0 3 6 1,297
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 96 1 8 13 239
Cross-Sectional Aggregation and Persistence in Conditional Variance 0 0 0 195 1 3 5 828
Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison 0 0 8 8 1 4 21 21
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 2 3 110 3 21 28 268
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 1 1 1 278 2 6 11 512
Markov Switching Causality and the Money-Output Relationship 0 0 0 226 0 11 16 652
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 0 0 58 1 5 9 210
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 0 1 80 0 6 14 149
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 0 0 3 18 7 17 29 61
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 0 0 0 51 1 8 11 113
Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes 0 0 0 18 0 8 9 51
Merton-style option pricing under regime switching 0 0 0 40 0 8 10 763
Multivariate Contemporaneous Threshold Autoregressive Models 0 0 0 62 1 8 11 188
Multivariate Contemporaneous-Threshold Autoregressive Models 0 0 0 74 0 4 10 202
Multivariate Markov switching with weighted regime determination: giving France more weight than Finland 0 0 0 107 1 5 14 262
Multivariate contemporaneous threshold autoregressive models 0 0 0 69 1 10 14 191
On Detrending and Cyclical Asymmetry 0 0 1 180 0 14 20 919
On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 339 1 8 10 758
On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 49 0 6 11 186
On Regime Separation in Markov-Switching Quantile Regressions 2 5 14 45 2 24 55 90
On Testing for Bubbles During Hyperinflations 0 0 0 73 0 7 9 99
On The Optimal Timing of Introduction of New Products 0 0 1 124 0 2 7 611
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities 0 0 7 7 3 15 25 25
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities 0 0 0 12 2 12 24 63
On the autocorrelation properties of Long Memory Garch Processes 0 0 1 237 1 4 14 681
On the power of tests for superexogeneity and structural invariance 0 0 0 1 0 4 6 168
Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions 0 0 8 22 2 9 26 59
Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence 0 0 0 9 0 2 5 347
Rational Bubbles: Too Many to be True? 0 0 0 80 0 16 20 130
Rational Bubbles: Too Many to be True? 0 0 1 4 1 12 20 44
Rational bubbles during Polland’s hiperinflation: implications and empirical evidence 0 0 0 1 0 3 7 912
Real Options with Priced Regime-Switching Risk 0 0 0 200 1 6 7 409
Red Signals: Trade Deficits and the Current Account 0 0 0 95 0 0 3 241
Red Signals: Trade Deficits and the Current Account 0 0 0 66 0 3 5 169
Residual-based tests for cointegration and multiple regime shifts 0 0 0 258 1 3 6 502
Risk Aversion and Changes in Regime 0 0 0 19 4 13 19 47
Risk Aversion and Changes in Regime 0 0 0 27 1 5 7 32
Risk Premia and Seasonality in Commodity Futures 0 0 0 56 1 7 12 177
Risk Premia and Seasonality in Commodity Futures 0 0 0 38 1 5 20 134
Risk premia and seasonality in commodity futures 0 0 2 46 3 12 20 144
Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities 0 0 1 122 0 8 15 279
Sovereign Defaults: Information, Investment and Credit 0 0 0 87 2 10 15 248
State-Dependent Threshold STAR Models 0 0 0 99 0 6 8 234
Structural breaks and GARCH modelling 0 0 0 1 1 2 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 9 14 421
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables 0 0 0 261 0 8 10 879
The Euro exchange rate efficiency and risk premium:an ecm model 0 0 0 78 3 4 4 322
The Euro exchange rate efficiency and risk premium:an ecm model 0 0 0 101 3 12 14 422
The Optimal Timing of the Introduction of New Products 0 0 0 103 1 7 21 248
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects 0 0 8 36 1 5 40 101
Toward a “new” inflation-targeting framework: the case of Uruguay 0 0 0 0 0 12 16 16
Towards a "New" Inflation Targeting Framework: The Case of Uruguay 0 0 0 5 2 4 6 31
Towards a “New” Inflation Targeting Framework: The Case of Uruguay 0 0 0 3 0 4 7 37
Towards a “New” Inflation Targeting Framework: The Case of Uruguay 0 0 0 99 1 1 4 414
Total Working Papers 3 11 93 6,388 76 554 1,039 23,578
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 1 10 10 102
A simple method of testing for cointegration subject to multiple regime changes 0 0 1 62 1 9 14 161
A simple procedure for detecting periodically collapsing rational bubbles 0 0 0 67 1 6 8 171
A test for volatility spillovers 0 0 0 69 2 6 10 181
A time-varying threshold STAR model with applications 0 1 2 3 0 3 10 13
An empirical reassessment of target-zone nonlinearities 0 0 0 12 0 7 8 76
Assessing the Credibility of a Target Zone: Evidence from EMS Countries 0 0 1 40 0 2 8 189
Asymmetric effects of monetary policy in the United States 0 0 7 331 2 18 39 1,031
Bond Risk Premia and Restrictions on Risk Prices 0 0 0 9 0 4 5 37
Bond risk premia and the return forecasting factor 0 0 1 14 1 7 13 75
Cointegration and Changes in Regime: The Japanese Consumption Function 0 0 0 275 1 7 16 732
Contemporaneous threshold autoregressive models: Estimation, testing and forecasting 0 0 0 93 2 10 13 268
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 65 2 7 18 245
Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test 0 0 4 393 1 6 26 874
Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990 0 0 1 53 0 3 8 881
Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model 0 2 2 29 0 6 17 113
Exponential smoothing and spurious correlation: a note 0 0 0 59 0 4 5 259
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching 0 0 1 78 0 4 8 230
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates 0 0 0 182 3 17 17 500
Intrinsic bubbles and regime-switching 0 1 3 260 0 6 12 537
Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle 0 0 1 137 2 7 13 391
Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation 0 0 0 252 0 5 15 800
Markov switching causality and the money-output relationship 0 0 2 352 1 5 14 884
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 0 1 8 1 20 27 45
Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities 0 0 1 7 1 8 22 55
Multivariate contemporaneous-threshold autoregressive models 0 0 1 58 1 6 10 245
OPTIMAL INVESTMENT IN INTERRELATED PROJECTS 0 0 1 5 0 4 6 15
On Markov error-correction models, with an application to stock prices and dividends 0 0 0 340 1 13 27 884
On detrending and cyclical asymmetry 0 0 0 109 0 4 5 625
On testing for bubbles during hyperinflations 0 0 1 4 2 9 16 25
On the Autocorrelation Properties of Long‐Memory GARCH Processes 0 0 0 46 0 7 10 146
On the power of tests for superexogeneity and structural invariance 0 0 0 16 0 4 9 91
On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching? 0 1 5 7 5 12 26 36
Predicting Markov volatility switches using monetary policy variables 0 0 0 54 1 5 6 120
REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK 0 0 0 6 0 3 8 41
Rational bubbles during Poland's hyperinflation: Implications and empirical evidence 0 0 0 152 0 3 6 485
Rational bubbles: Too many to be true? 0 0 1 5 0 6 21 38
Red signals: current account deficits and sustainability 0 0 1 79 1 3 8 194
Risk premia and seasonality in commodity futures 0 0 1 42 2 13 20 191
Selecting nonlinear time series models using information criteria 0 0 2 91 0 6 9 206
Speculative Currency Attacks and Balance of Payments Crises 0 0 0 0 2 7 11 842
State-Dependent Threshold Smooth Transition Autoregressive Models 0 0 1 27 1 4 10 103
Stylized facts and regime changes: Are prices procyclical? 0 0 1 133 1 5 10 371
Switching error-correction models of house prices in the United Kingdom 2 4 6 204 3 12 19 440
Target zone credibility and economic fundamentals 0 0 0 40 2 7 12 136
Target zones for exchange rates and policy changes 0 0 1 23 0 7 10 113
Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables 0 0 0 44 0 3 8 218
Testing the term structure of interest rates using a stationary vector autoregression with regime switching 1 1 1 266 1 7 14 602
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 163 1 3 11 534
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 2 0 5 9 14
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing 0 0 0 40 1 9 16 191
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race 0 0 0 12 4 7 8 41
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model With Threshold Effects 0 0 0 0 0 5 9 9
Toward a “New” Inflation-Targeting Framework: The Case of Uruguay 0 0 0 14 1 3 7 104
Total Journal Articles 3 10 51 4,832 52 369 697 15,910

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Statistics updated 2026-04-09