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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
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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
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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
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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
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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
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Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
Spagnolo, Fabio; Psaradakis, Zacharias G.; Sola, Martin - In: Journal of applied econometrics 20 (2005) 3, pp. 423-437
Persistent link: https://www.econbiz.de/10002807278
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The effects of different parameterizations of Markov-switching in a CIR model of bond pricing
Driffill, John; Kenç, Turalay; Sola, Martin; Spagnolo, … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10009513609
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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
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Instrumental-variables estimation in Markov switching models with endogenous explanatory variables : an application to the term structure of interest rates
Psaradakis, Zacharias G. (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10003558927
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Contemporaneous threshold autoregressive models : estimation, testing and forecasting
Dueker, Michael; Sola, Martin; Spagnolo, Fabio - In: Journal of econometrics 141 (2007) 2, pp. 517-547
Persistent link: https://www.econbiz.de/10003571319