← All authors Martín Solà Universidad Torcuato Di Tella (from arXiv:2504.21669, 2025) · OpenAlex
57 papers in scope · 57 published · 1 on the econ.EM arXiv · 2,033 citations · h-index 22 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Zacharias Psaradakis Shi Qiu Demián Pouzo Chao-Jun Li Yushu Li Samuel Modée Sjur Westgaard Stein Andreas Bethuelsen Yan Liu Ivan Korolev Zhiheng You Alexander Giessing Wei-Chen Wang Sid Kankanala Xiaohong Chen Zhengling Qi Masahiro Kato Pascal Lavergne Lin Lin Cong Shi Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 57)
Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions
published 2025 · Studies in Nonlinear Dynamics and Econometrics
published 2025 · Econometric Theory
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model With Threshold Effects
published 2025 · Oxford Bulletin of Economics and Statistics
On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?
published 2024 · Journal of Economic Dynamics and Control
with Tomás E. Caravello, John Driffill, Turalay Kenç
Rational bubbles: Too many to be true?
published 2023 · Journal of Economic Dynamics and Control · 5 citations
On testing for bubbles during hyperinflations
published 2023 · Studies in Nonlinear Dynamics and Econometrics · 4 citations
A time-varying threshold STAR model with applications
published 2022 · Oxford Open Economics · 2 citations · first circulated 2010
with Michael J. Dueker, Laura E. Jackson, Michael T. Owyang
OPTIMAL INVESTMENT IN INTERRELATED PROJECTS
published 2022 · International Journal of Theoretical and Applied Finance
with Shasikanta Naindebam, Marzia Raybaudi
published 2022 · Econometrica · 15 citations · first circulated 2016
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities
published 2021 · Econometrics and Statistics · 7 citations · first circulated 2017
Bond risk premia and the return forecasting factor
published 2019 · Studies in Nonlinear Dynamics and Econometrics · first circulated 2018
with Agustin Gutierrez, Constantino Hevia
Bond Risk Premia and Restrictions on Risk Prices
published 2018 · Journal of risk and financial management · 2 citations
with Constantino Hevia
Risk premia and seasonality in commodity futures
published 2018 · Journal of Applied Econometrics · 17 citations · first circulated 2016
with Constantino Hevia, Iván Petrella
Toward a “New” Inflation-Targeting Framework: The Case of Uruguay
published 2014 · Economía · 4 citations
with Matías Escudero, Martín González-Rozada, Martín González Rozada
Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model
published 2014 · Journal of Applied Econometrics · 33 citations · first circulated 2012
with Constantino Hevia, Martín González-Rozada, Fabio Spagnolo
REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK
published 2013 · International Journal of Theoretical and Applied Finance · 13 citations · first circulated 2009
with John Driffill, Turalay Kenç, Edward Driffill
State‐Dependent Threshold Smooth Transition Autoregressive Models *
published 2012 · Oxford Bulletin of Economics and Statistics · 24 citations
Contemporaneous-Threshold Smooth Transition GARCH Models
published 2011 · Studies in Nonlinear Dynamics and Econometrics · 2 citations · first circulated 2009
Multivariate contemporaneous-threshold autoregressive models
published 2010 · Journal of Econometrics · 17 citations · first circulated 2007
Selecting nonlinear time series models using information criteria
published 2009 · Journal of Time Series Analysis · 31 citations
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing
published 2009 · Studies in Nonlinear Dynamics and Econometrics · 14 citations
with John Driffill, Turalay Kenç, Fabio Spagnolo
Predicting Markov volatility switches using monetary policy variables
published 2007 · Economics Letters · 7 citations
with Fabio Spagnolo, Nicola Spagnolo
Contemporaneous threshold autoregressive models: Estimation, testing and forecasting
published 2006 · Journal of Econometrics · 8 citations
with Michael J. Dueker, Fabio Spagnolo
Target zones for exchange rates and policy changes
published 2006 · Journal of International Money and Finance · 6 citations · first circulated 2005
with John Driffill, Edward Driffill
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
published 2006 · Studies in Nonlinear Dynamics and Econometrics · 11 citations
Markov switching causality and the money–output relationship
published 2005 · Journal of Applied Econometrics · 137 citations · first circulated 2003
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
published 2005 · Journal of Applied Econometrics · 42 citations · first circulated 2003
Red signals: current account deficits and sustainability
published 2004 · Economics Letters · 63 citations
with Marzia Raybaudi, Fabio Spagnolo, Marzia Raybaudi-Massilia
On the Autocorrelation Properties of Long‐Memory GARCH Processes
published 2004 · Journal of Time Series Analysis · 11 citations · first circulated 2002
On Markov error‐correction models, with an application to stock prices and dividends
published 2004 · Journal of Applied Econometrics · 191 citations
Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle.
published 2003 · Studies in Nonlinear Dynamics and Econometrics · 19 citations
with John Driffill, Marzia Raybaudi
Target zone credibility and economic fundamentals
published 2002 · Economic Modelling · 24 citations
On detrending and cyclical asymmetry
published 2002 · Journal of Applied Econometrics · 39 citations
A simple method of testing for cointegration subject to multiple regime changes
published 2002 · Economics Letters · 22 citations · first circulated 2001
A test for volatility spillovers
published 2002 · Economics Letters · 72 citations
with Fabio Spagnolo, Nicola Spagnolo
Merton-style option pricing under regime switching
published 2002 · Computing in Economics and Finance · 9 citations
with John Driffill, Turalay Kenç, Edward Driffill
no link
A simple procedure for detecting periodically collapsing rational bubbles
published 2001 · Economics Letters · 28 citations
An empirical reassessment of target-zone nonlinearities
published 2001 · Journal of International Money and Finance · 6 citations · first circulated 1998
The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race
published 2000 · Journal of Peace Research · 52 citations
Assessing the credibility of a target zone: evidence from EMS countries
published 2000 · International Journal of Finance & Economics · 7 citations
Detecting periodically collapsing bubbles: a Markov-switching unit root test
published 1999 · Journal of Applied Econometrics · 261 citations
Testing the expectations hypothesis of the term structure using instrumental variables
published 1998 · International Journal of Finance & Economics · 22 citations
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching
published 1998 · Journal of Econometrics · 52 citations
Testing the expectations hypothesis of the term structure using instrumental variablesjel code: c15, e43, g12.
published 1998 · International Journal of Finance & Economics
Intrinsic bubbles and regime-switching
published 1998 · Journal of Monetary Economics · 168 citations
with John Driffill
Switching error-correction models of house prices in the United Kingdom
published 1997 · Economic Modelling · 76 citations
COINTEGRATION AND CHANGES IN REGIME: THE JAPANESE CONSUMPTION FUNCTION
published 1997 · Journal of Applied Econometrics · 71 citations
A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure
published 1997 · Oxford Bulletin of Economics and Statistics · 26 citations
Empirical Properties of the Black Market Zloty— Dollar Exchange Rate, 1955-1990
published 1997 · International Journal of Finance & Economics · 3 citations
with Michael Funke, Stephen G. Hall
Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation
published 1996 · International Journal of Finance & Economics · 13 citations · first circulated 1992
with Keith Blackburn
On the power of tests for superexogeneity and structural invariance
published 1996 · Journal of Econometrics · 21 citations · first circulated 1993
Stylized facts and regime changes: Are prices procyclical?
published 1995 · Journal of Monetary Economics · 54 citations
with Morten O. Ravn
Exponential smoothing and spurious correlation: a note
published 1995 · Applied Economics Letters · 8 citations · first circulated 1992
with Keith Blackburn, Felipe Orduña-Bustamante, Kourtney Blackburn
Rational bubbles during Poland's hyperinflation: Implications and empirical evidence
published 1994 · European Economic Review · 66 citations · first circulated 1993
with Michael Funke, Stephen G. Hall
Testing the term structure of interest rates using a stationary vector autoregression with regime switching
published 1994 · Journal of Economic Dynamics and Control · 137 citations
with John Driffill
SPECULATIVE CURRENCY ATTACKS AND BALANCE OF PAYMENTS CRISES
published 1993 · Journal of Economic Surveys · 108 citations · first circulated 1992
with Keith Blackburn
The use of recursive variance plots: a note
published 1993 · Applied Economics · 3 citations · first circulated 1992
with Morten O. Ravn
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).