Martín Sola

Universidad Torcuato Di Tella

Professor

Minones 2159

1428 Buenos Aires, 1428

Argentina

University of London - Economics, Mathematics and Statistics

Professor in Economics

Malet Street

London, WC1E 7HX

United Kingdom

http://www.econ.bbk.ac.uk/faculty/sola/

SCHOLARLY PAPERS

22

DOWNLOADS
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SSRN RANKINGS

Top 35,377

in Total Papers Downloads

1,442

SSRN CITATIONS
Rank 18,153

SSRN RANKINGS

Top 18,153

in Total Papers Citations

11

CROSSREF CITATIONS

43

Scholarly Papers (22)

1.

A Reconsideration of the Empirical Evidence on the Asymmetric Effects of Money-Supply Shocks: Positive vs. Negative or Big vs. Small?

Number of pages: 33 Posted: 19 Aug 1996
Morten O. Ravn and Martín Sola
European University Institute - Economics Department (ECO) and Universidad Torcuato Di Tella
Downloads 291 (117,001)
Citation 13

Abstract:

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2.

Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting

FRB of St. Louis Working Paper No. 2003-024C
Number of pages: 38 Posted: 13 May 2006
Michael Dueker, Martín Sola and Fabio Spagnolo
Russell Investments, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 224 (152,414)
Citation 4

Abstract:

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Smooth Transition Threshold Autoregressive, Forecasting, Nonlinear Models

3.

An Empirical Examination of Term Structure Models with Regime Shifts

Number of pages: 33 Posted: 12 Jun 2003
John Driffill, Turalay Kenc and Martín Sola
University of London - Birkbeck College, University of London - Imperial College and Universidad Torcuato Di Tella
Downloads 217 (157,001)
Citation 8

Abstract:

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Risk Premia and Seasonality in Commodity Futures

Bank of England Working Paper No. 591
Number of pages: 68 Posted: 06 May 2016
Constantino Hevia, Ivan Petrella and Martín Sola
Universidad Torcuato Di Tella - Departamento de Economia, University of Warwick and Universidad Torcuato Di Tella
Downloads 187 (180,144)

Abstract:

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Commodity futures, Nelson and Siegel, seasonality, risk premium, theory of storage

5.

Multivariate Markov Switching with Weighted Regime Determination: Giving France More Weight than Finland

Federal Reserve Bank of St. Louis Working Paper No. 2008-001A
Number of pages: 25 Posted: 06 Jan 2008
Michael Dueker and Martín Sola
Russell Investments and Universidad Torcuato Di Tella
Downloads 143 (226,341)

Abstract:

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Vector autoregression, Regime switching, Business Cycle Turning Point

6.

Multivariate Contemporaneous Threshold Autoregressive Models

FRB of St. Louis Working Paper No. 2007-019A
Number of pages: 30 Posted: 15 May 2007
Russell Investments, University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 108 (279,429)
Citation 3

Abstract:

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Nonlinear autoregressive models, Smooth transition, Stability, Threshold

7.

A Time-Varying Threshold Star Model of Unemployment and the Natural Rate

Federal Reserve Bank of St. Louis Working Paper No. 2010-029A
Number of pages: 28 Posted: 21 Sep 2010 Last Revised: 29 Sep 2010
Michael Dueker, Michael Owyang and Martín Sola
Russell Investments, Federal Reserve Bank of St. Louis - Research Division and Universidad Torcuato Di Tella
Downloads 91 (312,890)
Citation 1

Abstract:

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Regime switching, smooth-transition autoregressive model, unemployment, non- linear models

8.

Towards a 'New' Inflation Targeting Framework: The Case of Uruguay

IDB Working Paper No. IDB-WP-486
Number of pages: 92 Posted: 25 Feb 2014
Martín González-Rozada and Martín Sola
Universidad Torcuato Di Tella and Universidad Torcuato Di Tella
Downloads 77 (346,161)
Citation 2

Abstract:

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9.

Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time Inhomogeneous Markov Regimes

Number of pages: 53 Posted: 20 Dec 2016
University of California, Berkeley - Department of Economics, University of London - Economics, Mathematics and Statistics and Universidad Torcuato Di Tella
Downloads 37 (483,371)
Citation 2

Abstract:

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Autoregressive model, consistency, hidden Markov model, Markov regimes, maximum likelihood, local asymptotic normality, misspecified models, time-inhomogenous Markov chain

10.

On Model Selection and Markov Switching: An Empirical Examination of Term Structure Models with Regime Shifts

Number of pages: 38 Posted: 19 Jan 2004
University of London - Birkbeck College, University of London - Imperial College, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 28 (528,433)
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11.

Markov Switching Causality and the Money-Output Relationship

Number of pages: 30 Posted: 23 Apr 2003
University of London - Economics, Mathematics and Statistics, European University Institute - Economics Department (ECO) and Universidad Torcuato Di Tella
Downloads 24 (552,265)
Citation 1
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Granger causality, Markov chain, regime switching, structural instability

12.

On the Autocorrelation Properties of Long-Memory GARCH Processes

Number of pages: 17 Posted: 26 Apr 2004
University of York - Department of Economics and Related Studies, University of London - Economics, Mathematics and Statistics and Universidad Torcuato Di Tella
Downloads 13 (624,747)
Citation 1
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Autocorrelation function, fractionally integrated GARCH process, long-memory GARCH process

13.

Selecting Nonlinear Time Series Models Using Information Criteria

Journal of Time Series Analysis, Vol. 30, Issue 4, pp. 369-394, July 2009
Number of pages: 26 Posted: 20 Jun 2009
University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella, Brunel University London - Economics and Finance and Brunel University London - Economics and Finance
Downloads 2 (708,394)
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14.

State‐Dependent Threshold Smooth Transition Autoregressive Models

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 6, pp. 835-854, 2013
Number of pages: 20 Posted: 22 Nov 2013
Russell Investments, University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 0 (738,802)
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15.

The Prisoners' Dilemma and Regime-Switching in the Greek-Turkish Arms Race

Journal of Peace Research, Vol. 37, pp. 737-750, 2000
Posted: 07 Dec 2004
Ron Smith, Martín Sola and Fabio Spagnolo
Birkbeck College, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

Abstract:

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16.

On Markov Error-Correction Models, with an Application to Stock Prices and Dividends

Journal of Applied Econometrics, Vol. 19, pp. 69-88, 2004
Posted: 06 Dec 2004
University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

Abstract:

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Cointegration, Error-correction model, Markov chain, Stock prices

17.

Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables

Journal of Applied Econometrics, Forthcoming
Posted: 06 Dec 2004
Brunel University London - Economics and Finance, University of London - Economics, Mathematics and Statistics and Universidad Torcuato Di Tella

Abstract:

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Instrumental variables, forward exchange rate, Markov chain, maximum likelihood, Regime switching

18.

A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles

Posted: 05 Dec 2004
University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

Abstract:

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Rational bubbles, stochastic unit root, time-varying coefficients

19.

Contemporaneous Threshold Autoregressive Models: Estimation, Forecasting and Rational Expectations Applications

FRB of St. Louis Working Paper No. 2003-025A
Posted: 05 Dec 2004
Michael Dueker, Martín Sola and Fabio Spagnolo
Russell Investments, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

Abstract:

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Smooth transition threshold autoregressive, rational expectations, forecasting

20.

Red Signals: Current Account Deficits and Sustainability

Posted: 05 Dec 2004
Brunel University London - Economics and Finance, Universidad Torcuato Di Tella and Universidad Torcuato Di Tella - Departamento de Economia

Abstract:

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Deficits sustainability, Markov Switching

21.

A Test for Volatility Spillovers

Posted: 05 Dec 2004
Fabio Spagnolo, Martín Sola and Nicola Spagnolo
Brunel University London - Economics and Finance, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

Abstract:

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Markov switching, GARCH, volatility, financial crises

22.

Asymmetric Effects of Monetary Policy in the Us: Positive vs. Negative or Big vs. Small?

Universitat Pompeu Fabra Economic WP 247
Posted: 13 Mar 1998
Morten O. Ravn and Martín Sola
European University Institute - Economics Department (ECO) and Universidad Torcuato Di Tella

Abstract:

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