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Fitting the moments : a comparison of ARCH and regime switching models for daily stock returns

Sola, Martin; Timmermann, Allan - 1994

Persistent link: https://www.econbiz.de/10000924807

Modelling long memory in stock market volatility : a fractionally integrated generalised ARCH approach

Psaradakis, Zacharias G.; Sola, Martin - 1995

Persistent link: https://www.econbiz.de/10000930379

Detecting periodically collapsing bubbles : a Markov-switching unit root test

Hall, Stephen G.; Psaradakis, Zacharias G.; Sola, Martin - In: Journal of applied econometrics 14 (1999) 2, pp. 143-154

Persistent link: https://www.econbiz.de/10001387376

Intrinsic bubbles and regime-switching

Driffill, John - In: Journal of monetary economics 42 (1998) 2, pp. 357-373

Persistent link: https://www.econbiz.de/10001249309

A simple method of testing for cointegration subject to multiple regime changes

Gabriel, Vasco J.; Psaradakis, Zacharias G.; Sola, Martin - In: Economics letters 76 (2002) 2, pp. 213-221

Persistent link: https://www.econbiz.de/10001690295

On Markov error-correction models, with an application to stockprices and dividends

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - In: Journal of applied econometrics 19 (2004) 1, pp. 69-88

Persistent link: https://www.econbiz.de/10001924673

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

Risk premia and seasonality in commodity futures

Hevia, Constantino; Petrella, Ivan; Sola, Martin - 2016

Persistent link: https://www.econbiz.de/10011480584

Risk premia and seasonality in commodity futures

Hevia, Constantino; Petrella, Ivan; Sola, Martin - 2016

Persistent link: https://www.econbiz.de/10011482266

Risk Premia and Seasonality in Commodity Futures

Hevia, Constantino - 2016

We develop and estimate a multifactor affine model of commodity futures that allows for stochastic variations in seasonality. We show conditions under which the yield curve and the cost-of-carry curve adopt augmented Nelson and Siegel functional forms. This restricted version of the model is...

Persistent link: https://www.econbiz.de/10012992825