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 12
A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities 0 0 1 48 3 3 6 17
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 1 1 3 476
A Structural Model of Credit Risk with Counter-Cyclical Risk Premia 0 0 0 0 0 1 1 374
A Test for Volatility Spillovers 0 0 0 63 1 1 1 179
A Test for Volatility Spillovers 0 0 0 55 1 1 2 160
A Time-Varying Threshold STAR Model with Applications 0 0 1 119 1 4 6 311
A Time-Varying Threshold STAR Model with Applications 0 1 2 21 2 7 9 26
A simple method for testing cointegration subject to regime changes 0 0 0 167 0 0 1 427
AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s 0 0 0 31 0 1 1 123
AGGREGATE ECONOMY RISK AND COMPANY FAILURE:AN EXAMINATION OF UK QUOTED FIRMS IN THE EARLY 1990s 0 0 0 30 0 1 1 172
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 0 0 1 4 196
An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 111 0 2 4 253
An Empirical Reassessment of Target-zone Nonlinearities 0 0 0 0 0 1 3 660
Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small? 0 1 1 380 0 1 5 1,994
Big swings in the data and perceived changes in the risk premia 2 4 19 19 3 6 27 27
Bond Risk Premia and the ”Return Forecasting Factor” 0 1 2 53 2 4 14 155
Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals 0 0 3 56 1 1 7 108
Bond risk premia and restrictions on risk prices 0 0 2 27 2 2 6 58
Bond risk premia, priced regime shifts, and macroeconomic fundamentals 0 0 3 16 0 1 5 38
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 0 22 2 3 5 203
Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting 0 0 1 65 0 0 2 288
Contemporaneous threshold autoregressive models: estimation, testing and forecasting 0 0 0 467 0 2 2 1,293
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 96 2 2 4 230
Cross-Sectional Aggregation and Persistence in Conditional Variance 0 0 0 195 0 0 1 823
Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison 0 0 8 8 2 6 16 16
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 0 277 2 3 5 506
Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model 0 0 1 108 2 5 7 247
Markov Switching Causality and the Money-Output Relationship 0 0 0 226 2 3 6 639
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 0 0 58 0 2 3 204
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 1 1 1 80 1 5 5 140
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 0 0 0 51 1 3 3 105
Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities 0 2 3 18 4 7 10 42
Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes 0 0 0 18 0 1 1 43
Merton-style option pricing under regime switching 0 0 0 40 1 1 1 754
Multivariate Contemporaneous Threshold Autoregressive Models 0 0 0 62 0 1 1 178
Multivariate Contemporaneous-Threshold Autoregressive Models 0 0 0 74 2 4 6 197
Multivariate Markov switching with weighted regime determination: giving France more weight than Finland 0 0 0 107 2 4 8 256
Multivariate contemporaneous threshold autoregressive models 0 0 0 69 1 2 3 180
On Detrending and Cyclical Asymmetry 1 1 2 180 2 4 5 903
On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 339 1 1 2 750
On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts 0 0 0 49 2 3 5 180
On Regime Separation in Markov-Switching Quantile Regressions 4 5 14 39 7 12 31 58
On Testing for Bubbles During Hyperinflations 0 0 1 73 0 0 4 92
On The Optimal Timing of Introduction of New Products 0 0 1 124 1 1 2 606
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities 0 0 7 7 3 4 7 7
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities 0 0 3 12 1 6 22 48
On the autocorrelation properties of Long Memory Garch Processes 0 0 0 236 3 6 7 674
On the power of tests for superexogeneity and structural invariance 0 0 0 1 0 0 2 163
Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions 0 0 11 21 1 2 26 48
Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence 0 0 0 9 2 3 5 345
Rational Bubbles: Too Many to be True? 0 0 0 80 4 4 5 114
Rational Bubbles: Too Many to be True? 0 1 1 4 1 2 5 28
Rational bubbles during Polland’s hiperinflation: implications and empirical evidence 0 0 0 1 0 1 1 906
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 66 1 1 2 166
Red Signals: Trade Deficits and the Current Account 0 0 0 95 0 0 1 239
Residual-based tests for cointegration and multiple regime shifts 0 0 0 258 1 1 4 498
Risk Aversion and Changes in Regime 0 0 1 19 2 2 5 32
Risk Aversion and Changes in Regime 0 0 1 27 1 1 5 26
Risk Premia and Seasonality in Commodity Futures 0 0 0 56 1 3 3 168
Risk Premia and Seasonality in Commodity Futures 0 0 0 38 2 8 11 125
Risk premia and seasonality in commodity futures 0 0 1 45 0 0 9 128
Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities 0 0 1 122 2 2 7 271
Sovereign Defaults: Information, Investment and Credit 0 0 0 87 4 4 5 238
State-Dependent Threshold STAR Models 0 0 0 99 2 2 3 228
Structural breaks and GARCH modelling 0 0 1 1 1 1 3 424
Target Zones for Exchange Rates and Policy Changes 0 0 0 23 1 1 1 108
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables 0 0 0 261 1 1 2 871
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables 0 0 0 131 1 1 2 409
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 0 408
The Optimal Timing of the Introduction of New Products 0 0 0 103 2 4 10 236
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects 0 1 15 36 3 10 45 89
Toward a “new” inflation-targeting framework: the case of Uruguay 0 0 0 0 1 1 2 2
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 2 3 33
Towards a “New” Inflation Targeting Framework: The Case of Uruguay 0 0 0 99 1 1 3 412
Total Working Papers 8 18 108 6,373 96 188 455 22,888
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 1 62 2 2 7 152
A simple procedure for detecting periodically collapsing rational bubbles 0 0 0 67 1 1 2 165
A test for volatility spillovers 0 0 0 69 2 2 3 173
A time-varying threshold STAR model with applications 1 1 1 2 2 3 5 7
An empirical reassessment of target-zone nonlinearities 0 0 0 12 0 1 1 69
Assessing the Credibility of a Target Zone: Evidence from EMS Countries 1 1 1 40 4 4 5 186
Asymmetric effects of monetary policy in the United States 0 3 11 331 2 8 27 1,009
Bond Risk Premia and Restrictions on Risk Prices 0 0 0 9 0 0 0 32
Bond risk premia and the return forecasting factor 0 0 1 14 0 1 7 67
Cointegration and Changes in Regime: The Japanese Consumption Function 0 0 0 275 3 7 8 724
Contemporaneous threshold autoregressive models: Estimation, testing and forecasting 0 0 0 93 1 1 2 257
Contemporaneous-Threshold Smooth Transition GARCH Models 0 0 0 65 4 6 7 234
Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test 0 2 4 393 4 9 17 865
Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990 0 1 2 53 1 3 4 876
Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model 0 0 0 27 6 9 9 105
Exponential smoothing and spurious correlation: a note 0 0 0 59 1 1 1 255
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching 0 0 1 78 0 1 2 224
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 0 0 2 258 0 0 7 529
Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle 1 1 1 137 2 3 3 381
Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation 0 0 0 252 1 2 3 787
Markov switching causality and the money-output relationship 1 1 3 352 3 3 14 878
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities 0 0 3 7 0 2 10 22
Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities 0 0 1 7 2 6 13 43
Multivariate contemporaneous-threshold autoregressive models 1 1 1 58 2 3 3 238
OPTIMAL INVESTMENT IN INTERRELATED PROJECTS 1 1 1 5 1 2 2 11
On Markov error-correction models, with an application to stock prices and dividends 0 0 0 340 3 6 9 866
On detrending and cyclical asymmetry 0 0 0 109 1 1 2 621
On testing for bubbles during hyperinflations 1 1 2 4 1 3 8 14
On the Autocorrelation Properties of Long‐Memory GARCH Processes 0 0 0 46 0 2 3 139
On the power of tests for superexogeneity and structural invariance 0 0 0 16 0 0 3 85
On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching? 0 2 5 6 1 8 16 22
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 0 6 2 3 5 37
Rational bubbles during Poland's hyperinflation: Implications and empirical evidence 0 0 0 152 1 2 5 482
Rational bubbles: Too many to be true? 0 1 2 5 3 10 17 32
Red signals: current account deficits and sustainability 0 0 1 79 1 2 5 189
Risk premia and seasonality in commodity futures 1 1 5 42 1 3 9 176
Selecting nonlinear time series models using information criteria 1 1 2 91 1 2 3 200
Speculative Currency Attacks and Balance of Payments Crises 0 0 0 0 2 2 5 835
State-Dependent Threshold Smooth Transition Autoregressive Models 0 0 1 27 2 2 5 98
Stylized facts and regime changes: Are prices procyclical? 0 0 2 133 1 2 6 365
Switching error-correction models of house prices in the United Kingdom 0 0 3 200 0 1 7 427
Target zone credibility and economic fundamentals 0 0 0 40 2 4 5 129
Target zones for exchange rates and policy changes 0 0 1 23 0 1 2 105
Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables 0 0 0 44 0 1 3 213
Testing the term structure of interest rates using a stationary vector autoregression with regime switching 0 0 0 265 1 3 3 591
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 2 1 2 3 8
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables 0 0 0 163 6 7 7 530
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing 0 0 0 40 3 5 7 181
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race 0 0 1 12 1 1 4 34
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model With Threshold Effects 0 0 0 0 0 0 0 0
Toward a “New” Inflation-Targeting Framework: The Case of Uruguay 0 0 0 14 0 0 2 98
Total Journal Articles 9 18 59 4,820 78 153 309 15,455

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Statistics updated 2025-12-06