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On model selection and Markov switching : a empirical examination of term structure models with regime shifts
Driffill, John; Kenç, Turalay; Sola, Martin; Spagnolo, … - 2003
Persistent link: https://www.econbiz.de/10001903065
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Investment under uncertainty with stochastically switching profit streams : entry and exit over business cycle
Driffill, John (contributor); Raybaudi, Marzia (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 7 (2003) 1
Persistent link: https://www.econbiz.de/10002004094
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Optimal investment in interrelated projects
Naindebam, Shasikanta; Raybaudi Massilia, Marzia; Sola, … - In: International journal of theoretical and applied … 25 (2022) 7/8, pp. 1-25
Persistent link: https://www.econbiz.de/10014235141
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The effects of different parameterizations of Markov-switching in a CIR model of bond pricing
Driffill, John; Kenç, Turalay; Sola, Martin; Spagnolo, … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10009513609
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Contemporaneous-threshold smooth transition GARCH models
Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10009515540
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Instrumental-variables estimation in Markov switching models with endogenous explanatory variables : an application to the term structure of interest rates
Psaradakis, Zacharias G. (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10003558927
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Risk premia and seasonality in commodity futures
Hevia, Constantino; Petrella, Ivan; Sola, Martin - 2016
Persistent link: https://www.econbiz.de/10011482266
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Estimating and forecasting the yield curve using a Markov switching dynamic Nelson and Siegel model
Hevia, Constantino; González Rozada, Martín; Sola, Martin - In: Journal of applied econometrics 30 (2015) 6, pp. 987-1009
Persistent link: https://www.econbiz.de/10011431680
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Bond risk premia and the return forecasting factor
Gutierrez, Agustin; Hevia, Constantino; Sola, Martin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10012198495
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Maximum likelihood estimation in Markov regime-switching models with covariate-dependent transition probabilities
Pouzo, Demian; Psaradakis, Zacharias G.; Sola, Martin - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 4, pp. 1681-1710
Persistent link: https://www.econbiz.de/10013382399