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 0 2 11
A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities 0 0 1 48 2 2 5 14
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 0 3 474
A Structural Model of Credit Risk with Counter-Cyclical Risk Premia 0 0 0 0 0 0 1 373
A Test for Volatility Spillovers 0 0 0 63 0 0 0 178
A Test for Volatility Spillovers 0 0 0 55 0 1 1 159
A Time-Varying Threshold STAR Model with Applications 1 1 2 119 2 2 6 307
A Time-Varying Threshold STAR Model with Applications 1 1 1 20 1 2 4 19
A simple method for testing cointegration subject to regime changes 0 0 0 167 0 0 0 426
AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s 0 0 0 31 0 0 1 122
AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s 0 0 0 30 0 0 0 171
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 111 0 1 2 251
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 0 0 1 3 195
An Empirical Reassessment of Target-zone Nonlinearities 0 0 0 0 0 0 3 659
Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small? 0 0 1 379 0 1 4 1,991
Big swings in the data and perceived changes in the risk premia 3 3 3 3 7 7 7 7
Bond Risk Premia and the ”Return Forecasting Factor” 0 0 0 51 0 0 2 143
Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals 0 1 4 54 1 3 15 105
Bond risk premia and restrictions on risk prices 0 0 2 26 0 0 2 53
Bond risk premia, priced regime shifts, and macroeconomic fundamentals 0 2 6 15 0 2 9 35
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 1 1 1 65 1 1 2 288
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 0 22 0 0 2 199
Contemporaneous threshold autoregressive models: estimation, testing and forecasting 0 0 0 467 0 0 1 1,291
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 96 0 0 2 226
Cross-Sectional Aggregation and Persistence in Conditional Variance 0 0 0 195 0 1 2 823
Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison 1 1 1 1 2 2 2 2
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 0 277 0 0 0 501
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 0 107 0 0 2 240
Markov Switching Causality and the Money-Output Relationship 0 0 0 226 0 0 4 636
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 0 0 58 0 0 3 201
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 0 0 79 0 0 1 135
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 0 0 1 51 0 0 6 102
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 0 0 0 15 0 0 2 32
Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes 0 0 3 18 0 0 4 42
Merton-style option pricing under regime switching 0 0 0 40 0 0 2 753
Multivariate Contemporaneous Threshold Autoregressive Models 0 0 0 62 0 0 0 177
Multivariate Contemporaneous-Threshold Autoregressive Models 0 0 0 74 0 1 2 192
Multivariate Markov switching with weighted regime determination: giving France more weight than Finland 0 0 0 107 0 0 3 248
Multivariate contemporaneous threshold autoregressive models 0 0 0 69 0 0 0 177
On Detrending and Cyclical Asymmetry 0 1 1 179 0 1 1 899
On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 339 0 0 1 748
On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 49 0 0 1 175
On Regime Separation in Markov-Switching Quantile Regressions 2 5 33 33 5 8 40 40
On Testing for Bubbles During Hyperinflations 0 1 3 73 1 3 16 91
On The Optimal Timing of Introduction of New Products 0 0 0 123 0 0 9 604
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities 0 1 12 12 0 6 39 39
On the autocorrelation properties of Long Memory Garch Processes 0 0 0 236 0 0 2 667
On the power of tests for superexogeneity and structural invariance 0 0 0 1 0 1 1 162
Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions 2 5 16 16 3 9 36 36
Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence 0 0 0 9 0 2 2 342
Rational Bubbles: Too Many to be True? 0 0 0 3 0 1 5 24
Rational Bubbles: Too Many to be True? 0 0 0 80 0 0 3 110
Rational bubbles during Polland’s hiperinflation: implications and empirical evidence 0 0 0 1 0 0 0 905
Real Options with Priced Regime-Switching Risk 0 0 1 200 0 1 2 402
Red Signals: Trade Deficits and the Current Account 0 0 0 95 0 0 0 238
Red Signals: Trade Deficits and the Current Account 0 0 0 66 0 0 1 164
Residual-based tests for cointegration and multiple regime shifts 0 0 0 258 0 0 2 496
Risk Aversion and Changes in Regime 0 0 1 19 1 1 2 29
Risk Aversion and Changes in Regime 0 0 2 27 0 1 10 25
Risk Premia and Seasonality in Commodity Futures 0 0 0 38 1 1 2 115
Risk Premia and Seasonality in Commodity Futures 0 0 0 56 0 0 0 165
Risk premia and seasonality in commodity futures 1 1 3 45 1 3 9 125
Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities 0 0 2 121 2 2 4 266
Sovereign Defaults: Information, Investment and Credit 0 0 0 87 0 0 0 233
State-Dependent Threshold STAR Models 0 0 0 99 0 0 2 226
Structural breaks and GARCH modelling 0 1 1 1 0 2 3 423
Target Zones for Exchange Rates and Policy Changes 0 0 0 23 0 0 0 107
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables 0 0 0 131 1 1 2 408
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables 0 0 0 261 1 1 1 870
The Euro exchange rate efficiency and risk premium:an ecm model 0 0 0 78 0 2 2 318
The Euro exchange rate efficiency and risk premium:an ecm model 0 0 0 101 0 0 1 408
The Optimal Timing of the Introduction of New Products 0 0 3 103 2 3 12 229
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects 4 9 32 32 7 16 68 68
Toward a “new” inflation-targeting framework: the case of Uruguay 0 0 0 0 0 0 0 0
Towards a "New" Inflation Targeting Framework: The Case of Uruguay 0 0 0 5 0 0 0 25
Towards a “New” Inflation Targeting Framework: The Case of Uruguay 0 0 0 3 0 0 2 30
Towards a “New” Inflation Targeting Framework: The Case of Uruguay 0 0 0 99 0 1 1 410
Total Working Papers 16 34 136 6,311 41 93 392 22,580
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 0 0 92
A simple method of testing for cointegration subject to multiple regime changes 0 0 2 61 1 1 6 148
A simple procedure for detecting periodically collapsing rational bubbles 0 0 0 67 0 0 1 163
A test for volatility spillovers 0 0 0 69 0 0 1 171
A time-varying threshold STAR model with applications 0 0 0 1 0 0 2 3
An empirical reassessment of target-zone nonlinearities 0 0 0 12 0 0 0 68
Assessing the Credibility of a Target Zone: Evidence from EMS Countries 0 0 0 39 0 0 0 181
Asymmetric effects of monetary policy in the United States 2 5 10 326 3 10 30 995
Bond Risk Premia and Restrictions on Risk Prices 0 0 1 9 0 0 2 32
Bond risk premia and the return forecasting factor 1 1 2 14 1 2 7 63
Cointegration and Changes in Regime: The Japanese Consumption Function 0 0 0 275 1 1 4 717
Contemporaneous threshold autoregressive models: Estimation, testing and forecasting 0 0 0 93 0 0 0 255
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 65 0 0 0 227
Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test 0 0 0 389 0 0 3 848
Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990 0 0 1 52 0 0 1 873
Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model 0 0 0 27 0 0 2 96
Exponential smoothing and spurious correlation: a note 0 0 0 59 0 0 0 254
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching 0 0 0 77 0 0 1 222
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates 0 0 1 182 0 1 2 483
Intrinsic bubbles and regime-switching 0 0 1 257 0 1 4 525
Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle 0 0 0 136 0 0 1 378
Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation 0 0 0 252 0 1 3 785
Markov switching causality and the money-output relationship 0 1 3 350 0 3 14 870
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 2 7 7 0 3 17 18
Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities 0 0 0 6 1 2 9 34
Multivariate contemporaneous-threshold autoregressive models 0 0 0 57 0 0 2 235
OPTIMAL INVESTMENT IN INTERRELATED PROJECTS 0 0 2 4 0 0 4 9
On Markov error-correction models, with an application to stock prices and dividends 0 0 0 340 0 0 2 857
On detrending and cyclical asymmetry 0 0 0 109 0 1 2 620
On testing for bubbles during hyperinflations 0 0 3 3 0 2 7 9
On the Autocorrelation Properties of Long‐Memory GARCH Processes 0 0 0 46 1 1 1 137
On the power of tests for superexogeneity and structural invariance 0 0 0 16 0 0 0 82
On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching? 0 1 2 2 0 2 10 10
Predicting Markov volatility switches using monetary policy variables 0 0 0 54 0 0 2 114
REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK 0 0 2 6 0 1 6 33
Rational bubbles during Poland's hyperinflation: Implications and empirical evidence 0 0 0 152 0 2 3 479
Rational bubbles: Too many to be true? 0 0 3 4 0 0 12 17
Red signals: current account deficits and sustainability 1 1 2 79 1 3 7 187
Risk premia and seasonality in commodity futures 0 1 4 41 1 2 11 172
Selecting nonlinear time series models using information criteria 0 0 0 89 0 0 0 197
Speculative Currency Attacks and Balance of Payments Crises 0 0 0 0 0 0 3 831
State-Dependent Threshold Smooth Transition Autoregressive Models 0 0 0 26 0 0 0 93
Stylized facts and regime changes: Are prices procyclical? 0 1 3 132 0 1 8 361
Switching error-correction models of house prices in the United Kingdom 2 3 4 200 2 3 5 423
Target zone credibility and economic fundamentals 0 0 0 40 0 0 0 124
Target zones for exchange rates and policy changes 0 0 0 22 0 0 0 103
Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables 0 0 0 44 0 0 1 210
Testing the term structure of interest rates using a stationary vector autoregression with regime switching 0 0 1 265 0 0 2 588
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 2 0 0 1 5
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 163 0 0 1 523
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing 0 0 0 40 0 1 1 175
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race 0 1 1 12 0 3 3 33
Toward a “New” Inflation-Targeting Framework: The Case of Uruguay 0 0 0 14 0 1 1 97
Total Journal Articles 6 17 55 4,787 12 48 205 15,225

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Statistics updated 2025-05-12