Martin Sola

Research Interests

• econometrics
• international finance

Selected Publications

• "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting" with M. Dueker and F. Spagnolo, Journal of Econometrics, forthcoming.
• "Target Zones for Exchange Rates and Policy Changes", with J. Driffill, Journal of International Money and Finance, 2006, 25, 6, 912- 931.
• "Markov-Switching Causality and the Money-Output Relationship", with Z. Psaradakis and M. Ravn, Journal of Applied Econometrics, 20, 2005, 5, 665-683.
• "Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables" with Z. Psaradakis and F. Spagnolo, Journal of Applied Econometrics, 20, 2005, 3, 423-437.
• "On Markov Error-correction Models, with an Application to Stock Prices and Dividends" with Z. Psaradakis and F. Spagnolo, Journal of Applied Econometrics, 19, 2004, 1, 69-88.
• "On the Autocorrelation Properties of Long-Memory GARCH Processes" with M. Karanasos and Z. Psaradakis, Journal of Time Series Analysis, 25, 2004, 2, 265-282.
• "On Detrending and Cyclical Asymmetry", with Z. Psaradakis, Journal of Applied Econometrics 18, 2003, 271-289.
• "An Empirical Reassessment of Target-Zone Nonlinearities", with A. Garratt and Z. Psaradakis, Journal of International Money and Finance, 2001 533-548.
• "Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test", with S. Hall and Z. Psaradakis, Journal of Applied Econometrics, 1999, 14, 141-154.
• "Intrinsic Bubbles and Regime Switching", with J. Driffill, Journal of Monetary Economics, 1998, 42, 2, 357-373.
• "Finite-Sample Properties of the Maximum Likelihood Estimator in Autoregressive Models with Markov Switching ", with Z. Psaradakis, Journal of Econometrics, 1998, 86, 2, 369-386.
• "Changes in Regime and Cointegration: The Japanese Consumption Function", with S.Hall and Z. Psaradakis, Journal of Applied Econometrics 1997, 12, 151-168.
• "On the Power Tests for Superexogeneity and Structural Invariance", with Z.Psaradakis, Journal of Econometrics 1996, 72, 151-175.
• "Stylized Facts and Changes in Regime: Are Prices Pro-Cyclical?" with M. Ravn, Journal of Monetary Economics 1995 36, 3 497-526.
• "Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence", with M.Funke and S.Hall, European Economic Review 38, 1994, 1257-1276.
• "Testing the Term Structure of Interest Rates from a Stationary Switching Regime VAR", with J. Driffill, Journal of Economic Dynamics and Control 18, 1994, 601-628.

Selected Working Papers

• "Option Pricing and Regime Switching", with John Driffill and T Kenc.
• "Cross-Sectional Aggregation and Persistence in Conditional Variance". with M. Karanasos and Z. Psaradakis.
• "Instrumental Variables and Markov Switching" with Z. Psaradakis and F. Spagnolo.
• "Modelling Long Memory in Stock Market Volatility: A Fractionally Integrated Generalized ARCH Approach", with Z. Psaradakis.
• "A reconsideration of the Empirical Evidence of the Asymmetric Effects of Money Supply Shocks: Positive vs. Negative or Big vs. Small", with M. Ravn.
• "Testing for asymetries with Filtered Data" with Z. Psaradakis.
• "Target Zones and Economic Fundamentals" with M. Tronzano and Z. Psaradakis.
• "Irreversible Investment and Changes in Regime" with J. Driffill.
• "Target Zones for Exchange Rates and Policy Changes" with J. Driffill.
• "Entry, Exit and the Business Cycle" with J. Driffill and M. Raybaudi.

Teaching

• Financial Econometrics (BSc Financial Economics)
  Student Material

CV