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A test for volatility spillovers

Sola, Martin; Spagnolo, Fabio; Spagnolo, Nicola - In: Economics letters 76 (2002) 1, pp. 77-84

Persistent link: https://www.econbiz.de/10001672147

Predicting Markov volatility switches using monetary policy variables

Sola, Martin; Spagnolo, Fabio; Spagnolo, Nicola - In: Economics letters 95 (2007) 1, pp. 110-116

Persistent link: https://www.econbiz.de/10003448218

A Test for Volatility Spillovers

Spagnolo, Fabio; Sola, Martin; Spagnolo, Nicola - 2004

This paper proposes a new procedure for analyzing volatility links between different markets based on a bivariate Markov switching model. An empirical application of this procedure to three emerging markets is examined and discussed

Persistent link: https://www.econbiz.de/10014068290

Regime-switching and the prisioners' dilemma : a model of the Greek-Turkish arms race

Smith, Ron; Sola, Martin; Spagnolo, Fabio - 2000

Persistent link: https://www.econbiz.de/10001488114

Instrumental-variables estimation in Markov switching models, with an application to testing the unbiased forward exchange rate hypothesis

Spagnolo, Fabio; Psaradakis, Zacharias G.; Sola, Martin - 2000

Persistent link: https://www.econbiz.de/10001583871

A simple procedure for detecting periodically collapsing rational bubbles

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - 2000

Persistent link: https://www.econbiz.de/10001583873

A simple procedure for detecting periodically collapsing rational bubbles

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - In: Economics letters 72 (2001) 3, pp. 317-323

Persistent link: https://www.econbiz.de/10001602347

Risk premia with Markov regimes and the term structure of interest rates

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - 2002

Persistent link: https://www.econbiz.de/10001717801

Contemporaneous threshold autoregressive models : Estimation, forecasting and rational expectations applications

Dueker, Michael (contributor); Sola, Martin (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001983084

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