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/

  • Universidad Torcuato Di Tella

    • Email
    • Tel: 5411 4784 0080
    • Fax: 5411 4784 9807

  • University of London - Economics, Mathematics and Statistics

    • Email
    • Tel: +44 20 7631 6411
    • Fax: +44 20 7631 6416
SCHOLARLY PAPERS

19

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1,822

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11

CROSSREF CITATIONS

43

Scholarly Papers (19)

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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 350 (148,559)
Citation 14

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2.

Risk Premia and Seasonality in Commodity Futures

Downloads 268 (195,711)
Citation 3

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, Ivan Petrella, Ivan Petrella and Martín Sola
Universidad Torcuato Di Tella - Departamento de Economia, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Universidad Torcuato Di Tella
Downloads 268 (195,655)

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

3.

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
Federal Reserve Banks - Federal Reserve Bank of St. Louis, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 256 (205,655)
Citation 4

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Smooth Transition Threshold Autoregressive, Forecasting, Nonlinear Models

4.

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 237 (221,752)
Citation 8

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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
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Universidad Torcuato Di Tella
Downloads 177 (291,118)

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Vector autoregression, Regime switching, Business Cycle Turning Point

6.

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 149 (335,188)
Citation 2

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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
Federal Reserve Banks - Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis - Research Division and Universidad Torcuato Di Tella
Downloads 146 (340,727)
Citation 3

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

8.

Multivariate Contemporaneous Threshold Autoregressive Models

FRB of St. Louis Working Paper No. 2007-019A
Number of pages: 30 Posted: 15 May 2007
Michael Dueker, Zacharias Psaradakis, Martín Sola and Fabio Spagnolo
Federal Reserve Banks - Federal Reserve Bank of St. Louis, University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 127 (379,446)
Citation 3

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Nonlinear autoregressive models, Smooth transition, Stability, Threshold

9.

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

Number of pages: 53 Posted: 20 Dec 2016
Demian Pouzo, Zacharias Psaradakis and Martín Sola
University of California, Berkeley - Department of Economics, University of London - Economics, Mathematics and Statistics and Universidad Torcuato Di Tella
Downloads 60 (605,676)
Citation 6

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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
John Driffill, Turalay Kenc, Martín Sola and Fabio Spagnolo
University of London - Birkbeck College, University of London - Imperial College, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 28 (811,812)
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11.

Markov Switching Causality and the Money-Output Relationship

Number of pages: 30 Posted: 23 Apr 2003
Zacharias Psaradakis, Morten O. Ravn and Martín Sola
University of London - Economics, Mathematics and Statistics, European University Institute - Economics Department (ECO) and Universidad Torcuato Di Tella
Downloads 24 (845,911)
Citation 1
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Granger causality, Markov chain, regime switching, structural instability

12.

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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13.

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
Zacharias Psaradakis, Martín Sola and Fabio Spagnolo
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

14.

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

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

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

15.

A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles

Posted: 05 Dec 2004
Zacharias Psaradakis, Martín Sola and Fabio Spagnolo
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

16.

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
Federal Reserve Banks - Federal Reserve Bank of St. Louis, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

Abstract:

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Smooth transition threshold autoregressive, rational expectations, forecasting

17.

Red Signals: Current Account Deficits and Sustainability

Posted: 05 Dec 2004
Fabio Spagnolo, Martín Sola and Marzia Raybaudi-Massilia
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

18.

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

19.

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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