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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

Markov cointegration

Psaradakis, Zacharias G.; Spagnolo, Fabio - 1999

Persistent link: https://www.econbiz.de/10001415488

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

A simple procedure for detecting periodically collapsing rational bubbles

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - 2000

Persistent link: https://www.econbiz.de/10001583873

Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables

Sola, Martin; Psaradakis, Zacharias; Spagnolo, Fabio - In: Journal of Applied Econometrics 20 (2005) 3, pp. 423-437

This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing the unbiased forward exchange rate (UFER) hypothesis. Using US|UK data, it is shown that the UFER...

Persistent link: https://www.econbiz.de/10005247817

A simple procedure for detecting periodically collapsing rational bubbles

Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio - In: Economics Letters 72 (2001) 3, pp. 317-323

Persistent link: https://www.econbiz.de/10005257916

State-Dependent Threshold Smooth Transition Autoregressive Models

Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; … - In: Oxford Bulletin of Economics and Statistics 75 (2013) 6, pp. 835-854

Persistent link: https://www.econbiz.de/10010728239

Forecast performance of nonlinear error-correction models with multiple regimes

Psaradakis, Zacharias; Spagnolo, Fabio - In: Journal of forecasting 24 (2005) 2, pp. 119-138

Persistent link: https://www.econbiz.de/10006877899

Multivariate contemporaneous-threshold autoregressive models

Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; … - In: Journal of econometrics 160 (2011) 2, pp. 311-326

Persistent link: https://www.econbiz.de/10008770533

Instrumental-variables estimation in Markov switching models with endogenous explanatory variables : an application to the term structure of interest rates

Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10009949866