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Martin Sola

Professor of Economics
MSc, PhD (Southampton)

Phone: +44 (0) 20 7631 6411
Email: m.sola@bbk.ac.uk
Fax: +44 (0) 20 7631 6416
Room: 731
Office Hours: please email for an appointment

  

Martin Sola

Research Interests

  • econometrics
  • international finance

Selected Publications

  • “Multivariate Contemporaneous-Threshold Autoregressive Models” with M. Dueker, Z. Psaradakis and F. Spagnolo, forthcoming Journal of Econometrics.

  • “Contemporaneous-Threshold Smooth Transition GARCH Models” with M. Dueker, Z. Psaradakis and F. Spagnolo, forthcoming Studies in Nonlinear Dynamics and Econometrics.

  • “Selecting Nonlinear Time Series Models Using Information Criteria” with Z. Psaradakis,  F. Spagnolo and N. Spagnolo,  Journal of Time Series Analysis, 2009  vol. 30(4), pages 369-394, 07.

  • “The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing” with J. Driffill, T Kenc and F. Spagnolo, Studies in Nonlinear Dynamics and Econometrics, 2009  vol. 13(1), pages 1490-1490.

  • “Contemporaneous Threshold Autoregressive Models: Estimation, Testingand Forecasting” with M. Dueker and F. Spagnolo, Journal of Econometrics, 2007, 141, 2, 517-547.

  • "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

CV
Department of Economics, Mathematics and Statistics, Birkbeck, University of London, Malet St, London WC1E 7HX.