Narrow search
Showing 1 - 10 of 45
Cover Image
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/10006768688
Cover Image
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/10007612723
Cover Image
Red signals: current account deficits and sustainability
Raybaudi, Marzia; Sola, Martin; Spagnolo, Fabio - In: Economics letters 84 (2004) 2, pp. 217-224
Persistent link: https://www.econbiz.de/10006756353
Cover Image
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
Spagnolo, Fabio; Psaradakis, Zacharias; Sola, Martin - In: Journal of applied econometrics 20 (2005) 3, pp. 423-438
Persistent link: https://www.econbiz.de/10006960022
Cover Image
On Markov error-correction models, with an application to stock prices and dividends
Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio - In: Journal of applied econometrics 19 (2004) 1, pp. 69-88
Persistent link: https://www.econbiz.de/10006965033
Cover Image
Instrumental-variables estimation in Markov switching models with endogenous explanatory variables : an application to the term structure of interest rates
Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10009949866
Cover Image
The effects of different parameterizations of Markov-switching in a CIR model of bond pricing
Driffill, John; Kenc, Turalay; Sola, Martin; Spagnolo, Fabio - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10009949938
Cover Image
Contemporaneous-threshold smooth transition GARCH models
Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10009949986
Cover Image
Multivariate contemporaneous-threshold autoregressive models
Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; … - In: Journal of econometrics 160 (2011) 2, pp. 311-326
Persistent link: https://www.econbiz.de/10008770533
Cover Image
A simple procedure for detecting periodically collapsing rational bubbles
Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio - In: Economics letters 72 (2001) 3, pp. 317-324
Persistent link: https://www.econbiz.de/10006773793