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 1 48 0 2 5 14
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 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 2 474
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 0 1 159
A Time-Varying Threshold STAR Model with Applications 0 1 1 119 0 2 5 307
A Time-Varying Threshold STAR Model with Applications 0 1 1 20 0 1 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 30 0 0 0 171
AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s 0 0 0 31 0 0 0 122
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 0 0 0 3 195
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 111 0 0 2 251
An Empirical Reassessment of Target-zone Nonlinearities 0 0 0 0 0 0 2 659
Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small? 0 0 1 379 0 1 4 1,992
Big swings in the data and perceived changes in the risk premia 0 12 12 12 1 13 13 13
Bond Risk Premia and the ”Return Forecasting Factor” 1 1 1 52 1 2 4 145
Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals 0 1 5 55 0 2 16 106
Bond risk premia and restrictions on risk prices 1 1 2 27 1 1 2 54
Bond risk premia, priced regime shifts, and macroeconomic fundamentals 0 1 6 16 0 1 8 36
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 0 22 1 1 2 200
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 1 1 65 0 1 2 288
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 1 1 227
Cross-Sectional Aggregation and Persistence in Conditional Variance 0 0 0 195 0 0 2 823
Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison 3 6 6 6 2 7 7 7
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 1 1 108 0 1 2 241
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 0 277 0 1 1 502
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 1 201
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 5 102
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 1 1 1 16 1 1 2 33
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 0 1 192
Multivariate Markov switching with weighted regime determination: giving France more weight than Finland 0 0 0 107 0 1 3 249
Multivariate contemporaneous threshold autoregressive models 0 0 0 69 0 0 0 177
On Detrending and Cyclical Asymmetry 0 0 1 179 0 0 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 0 3 34 34 1 7 42 42
On Testing for Bubbles During Hyperinflations 0 0 3 73 0 2 16 92
On The Optimal Timing of Introduction of New Products 0 1 1 124 0 1 5 605
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities 6 7 7 7 2 3 3 3
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities 0 0 12 12 1 2 41 41
On the autocorrelation properties of Long Memory Garch Processes 0 0 0 236 0 1 2 668
On the power of tests for superexogeneity and structural invariance 0 0 0 1 0 1 2 163
Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions 1 5 14 19 3 8 34 41
Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence 0 0 0 9 0 0 2 342
Rational Bubbles: Too Many to be True? 0 0 0 80 0 0 2 110
Rational Bubbles: Too Many to be True? 0 0 0 3 1 2 6 26
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 0 200 0 0 1 402
Red Signals: Trade Deficits and the Current Account 0 0 0 95 1 1 1 239
Red Signals: Trade Deficits and the Current Account 0 0 0 66 1 1 2 165
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 2 27 0 0 10 25
Risk Aversion and Changes in Regime 0 0 1 19 0 1 2 29
Risk Premia and Seasonality in Commodity Futures 0 0 0 38 0 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 0 1 3 45 2 3 11 127
Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities 1 1 3 122 1 4 6 268
Sovereign Defaults: Information, Investment and Credit 0 0 0 87 1 1 1 234
State-Dependent Threshold STAR Models 0 0 0 99 0 0 1 226
Structural breaks and GARCH modelling 0 0 1 1 0 0 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 0 261 0 1 1 870
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables 0 0 0 131 0 1 2 408
The Euro exchange rate efficiency and risk premium:an ecm model 0 0 0 78 0 0 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 0 3 11 230
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects 1 6 18 34 1 12 42 73
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 0 0 1 410
Towards a “New” Inflation Targeting Framework: The Case of Uruguay 0 0 0 3 0 0 1 30
Total Working Papers 15 51 146 6,346 22 95 376 22,634
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 1 3 62 1 3 8 150
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 0 2 9 326 2 6 26 998
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 1 2 14 0 2 8 64
Cointegration and Changes in Regime: The Japanese Consumption Function 0 0 0 275 0 1 3 717
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 1 1 1 390 2 4 6 852
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 1 1 78 0 1 2 223
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 0 1 483
Intrinsic bubbles and regime-switching 1 1 2 258 1 4 7 529
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 0 3 785
Markov switching causality and the money-output relationship 0 0 2 350 0 1 11 871
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 0 7 7 1 1 13 19
Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities 0 0 0 6 1 3 11 36
Multivariate contemporaneous-threshold autoregressive models 0 0 0 57 0 0 2 235
OPTIMAL INVESTMENT IN INTERRELATED PROJECTS 0 0 2 4 0 0 3 9
On Markov error-correction models, with an application to stock prices and dividends 0 0 0 340 1 1 2 858
On detrending and cyclical asymmetry 0 0 0 109 0 0 1 620
On testing for bubbles during hyperinflations 0 0 3 3 0 0 6 9
On the Autocorrelation Properties of Long‐Memory GARCH Processes 0 0 0 46 0 1 1 137
On the power of tests for superexogeneity and structural invariance 0 0 0 16 1 1 1 83
On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching? 0 1 3 3 1 2 12 12
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 0 4 33
Rational bubbles during Poland's hyperinflation: Implications and empirical evidence 0 0 0 152 0 0 2 479
Rational bubbles: Too many to be true? 0 0 2 4 1 2 10 19
Red signals: current account deficits and sustainability 0 1 1 79 0 1 5 187
Risk premia and seasonality in commodity futures 0 0 4 41 0 1 10 172
Selecting nonlinear time series models using information criteria 1 1 1 90 1 1 1 198
Speculative Currency Attacks and Balance of Payments Crises 0 0 0 0 0 0 3 831
State-Dependent Threshold Smooth Transition Autoregressive Models 1 1 1 27 1 2 2 95
Stylized facts and regime changes: Are prices procyclical? 0 0 2 132 0 1 5 362
Switching error-correction models of house prices in the United Kingdom 0 2 3 200 1 3 5 424
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 1 1 2 211
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 1 1 2 176
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race 0 0 1 12 0 0 3 33
Toward a “New” Inflation-Targeting Framework: The Case of Uruguay 0 0 0 14 1 1 2 98
Total Journal Articles 4 13 55 4,794 18 45 199 15,258

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Statistics updated 2025-07-04