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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

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

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

An analysis of seasonality in the UK equity market

Clare, Andrew D. - In: The economic journal : the journal of the Royal … 105 (1995) 429, pp. 398-409

Persistent link: https://www.econbiz.de/10001179118

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

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/10000906276

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

On testing for bubbles during hyperinflations

Morita, Rubens; Psaradakis, Zacharias G.; Sola, Martin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 25-37

Persistent link: https://www.econbiz.de/10014506885

Rational bubbles : too many to be true?

Caravello, Tomas E.; Psaradakis, Zacharias G.; Sola, Martin - In: Journal of economic dynamics & control 151 (2023), pp. 1-27

Persistent link: https://www.econbiz.de/10014478681

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