Access Statistics for Martin Sola

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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 1 2 11
A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities 0 1 1 48 0 1 3 12
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 1 4 474
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 1 55 1 1 2 159
A Test for Volatility Spillovers 0 0 0 63 0 0 0 178
A Time-Varying Threshold STAR Model with Applications 0 0 2 118 0 0 5 305
A Time-Varying Threshold STAR Model with Applications 0 0 0 19 1 1 3 18
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 0 1 3 3 195
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 111 1 2 2 251
An Empirical Reassessment of Target-zone Nonlinearities 0 0 0 0 0 2 4 659
Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small? 0 0 1 379 1 2 5 1,991
Bond Risk Premia and the ”Return Forecasting Factor” 0 0 0 51 0 2 2 143
Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals 1 1 4 54 2 3 14 104
Bond risk premia and restrictions on risk prices 0 1 2 26 0 1 2 53
Bond risk premia, priced regime shifts, and macroeconomic fundamentals 2 2 6 15 2 2 9 35
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 0 22 0 1 2 199
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 0 64 0 1 1 287
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 0 1 822
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 0 107 0 0 2 240
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 0 277 0 0 0 501
Markov Switching Causality and the Money-Output Relationship 0 0 0 226 0 3 5 636
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 0 0 79 0 0 2 135
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 0 1 58 0 0 5 201
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 0 0 0 15 0 0 3 32
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 0 0 1 51 0 0 8 102
Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes 0 0 4 18 0 0 5 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 1 1 3 192
Multivariate Markov switching with weighted regime determination: giving France more weight than Finland 0 0 1 107 0 0 5 248
Multivariate contemporaneous threshold autoregressive models 0 0 0 69 0 0 0 177
On Detrending and Cyclical Asymmetry 0 0 0 178 0 0 1 898
On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 339 0 0 2 748
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 3 6 31 31 3 8 35 35
On Testing for Bubbles During Hyperinflations 1 1 5 73 1 1 21 89
On The Optimal Timing of Introduction of New Products 0 0 0 123 0 0 10 604
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities 1 3 12 12 5 12 38 38
On the autocorrelation properties of Long Memory Garch Processes 0 0 0 236 0 0 3 667
On the power of tests for superexogeneity and structural invariance 0 0 0 1 1 1 1 162
Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions 3 4 14 14 4 9 31 31
Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence 0 0 0 9 2 2 2 342
Rational Bubbles: Too Many to be True? 0 0 1 3 1 1 6 24
Rational Bubbles: Too Many to be True? 0 0 0 80 0 1 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 1 1 2 402
Red Signals: Trade Deficits and the Current Account 0 0 0 66 0 0 1 164
Red Signals: Trade Deficits and the Current Account 0 0 0 95 0 0 0 238
Residual-based tests for cointegration and multiple regime shifts 0 0 0 258 0 2 2 496
Risk Aversion and Changes in Regime 0 1 2 27 1 4 11 25
Risk Aversion and Changes in Regime 0 1 1 19 0 1 1 28
Risk Premia and Seasonality in Commodity Futures 0 0 0 56 0 0 1 165
Risk Premia and Seasonality in Commodity Futures 0 0 0 38 0 0 1 114
Risk premia and seasonality in commodity futures 0 0 2 44 1 4 7 123
Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities 0 0 3 121 0 0 3 264
Sovereign Defaults: Information, Investment and Credit 0 0 0 87 0 0 0 233
State-Dependent Threshold STAR Models 0 0 0 99 0 1 2 226
Structural breaks and GARCH modelling 0 0 0 0 1 1 2 422
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 0 261 0 0 0 869
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables 0 0 0 131 0 0 1 407
The Euro exchange rate efficiency and risk premium:an ecm model 0 0 0 78 1 1 1 317
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 5 103 1 1 15 227
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects 5 7 28 28 6 14 58 58
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 99 1 1 1 410
Towards a “New” Inflation Targeting Framework: The Case of Uruguay 0 0 0 3 0 0 2 30
Total Working Papers 16 28 129 6,293 40 94 375 22,527
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 3 61 0 2 7 147
A simple procedure for detecting periodically collapsing rational bubbles 0 0 0 67 0 0 1 163
A test for volatility spillovers 0 0 1 69 0 1 2 171
A time-varying threshold STAR model with applications 0 0 1 1 0 1 3 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 3 8 323 4 7 29 989
Bond Risk Premia and Restrictions on Risk Prices 0 0 1 9 0 0 2 32
Bond risk premia and the return forecasting factor 0 0 2 13 1 2 7 62
Cointegration and Changes in Regime: The Japanese Consumption Function 0 0 0 275 0 0 3 716
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 1 389 0 0 5 848
Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990 0 1 1 52 0 1 2 873
Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model 0 0 1 27 0 0 6 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 2 222
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates 0 0 1 182 1 1 3 483
Intrinsic bubbles and regime-switching 0 1 2 257 0 2 5 524
Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle 0 0 0 136 0 0 2 378
Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation 0 0 0 252 0 0 2 784
Markov switching causality and the money-output relationship 0 0 2 349 1 4 14 868
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 1 2 6 6 2 5 16 17
Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities 0 0 1 6 1 3 9 33
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 3 857
On detrending and cyclical asymmetry 0 0 0 109 1 1 2 620
On testing for bubbles during hyperinflations 0 1 3 3 1 2 8 8
On the Autocorrelation Properties of Long‐Memory GARCH Processes 0 0 0 46 0 0 0 136
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? 1 1 2 2 2 4 10 10
Predicting Markov volatility switches using monetary policy variables 0 0 0 54 0 2 2 114
REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK 0 0 2 6 1 1 6 33
Rational bubbles during Poland's hyperinflation: Implications and empirical evidence 0 0 1 152 1 1 3 478
Rational bubbles: Too many to be true? 0 1 3 4 0 2 13 17
Red signals: current account deficits and sustainability 0 0 1 78 2 2 6 186
Risk premia and seasonality in commodity futures 0 3 4 40 0 3 11 170
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 1 4 831
State-Dependent Threshold Smooth Transition Autoregressive Models 0 0 0 26 0 0 0 93
Stylized facts and regime changes: Are prices procyclical? 0 0 3 131 0 1 9 360
Switching error-correction models of house prices in the United Kingdom 1 1 2 198 1 1 4 421
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 1 44 0 0 3 210
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 2 523
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing 0 0 0 40 0 0 0 174
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race 0 0 1 11 1 1 2 31
Toward a “New” Inflation-Targeting Framework: The Case of Uruguay 0 0 0 14 0 0 1 96
Total Journal Articles 5 14 57 4,775 20 51 218 15,197

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Statistics updated 2025-03-03