Zobrazeno 1 - 10
of 345
pro vyhledávání: '"Martin Sola"'
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics.
We consider testing for the presence of rational bubbles during hyperinflations via an analysis of the non-stationarity properties of relevant observable time series. The test procedure is based on a Markov regime-switching model with independent sto
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2f119512bc3a05f514491e8f76ea2c28
https://doi.org/10.1515/snde-2022-0014
https://doi.org/10.1515/snde-2022-0014
Publikováno v:
Econometrica. 90:1681-1710
This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. We investigate consistency of the ML estimator and local asymptotic normality for the models under general conditions, which allow for auto
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::64e09f34bcc49726ac7ec9f88d699d6c
https://doi.org/10.3982/ecta17249
https://doi.org/10.3982/ecta17249
Publikováno v:
Oxford Open Economics. 2
Smooth-transition autoregressive (STAR) models, competitors of Markov-switching models, are limited by an assumed time-invariant threshold level. We augment the STAR model with a time-varying threshold that can be interpreted as a ‘tipping level’
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::12d32adc72229eeb3d71bd478e4ae41c
https://doi.org/10.1093/ooec/odac012
https://doi.org/10.1093/ooec/odac012
Publikováno v:
International Journal of Theoretical and Applied Finance. 25
This paper addresses the effects in partial equilibrium models of relaxing one of the critical underlying assumptions of [A. K. Dixit & R. S. Pindyck (1994) Investment Under Uncertainty. Princeton: Princeton University Press] to investment under unce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::611699dead50cc4305b7dc838a44d070
https://doi.org/10.1142/s0219024922500315
https://doi.org/10.1142/s0219024922500315
Publikováno v:
Journal of Economic Dynamics and Control. 151:104666
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d32bef1c5871cf26b1c5b3163e4f6b6e
https://doi.org/10.1016/j.jedc.2023.104666
https://doi.org/10.1016/j.jedc.2023.104666
Autor:
Zacharias Psaradakis, Martin Sola
Publikováno v:
Econometrics and Statistics.
This paper proposes a model which allows for discrete stochastic breaks in the time-varying transition probabilities of Markov-switching models with autoregressive dynamics. An extensive simulation study is undertaken to examine the properties of the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::06b6c3bb6a68947ef4a4e3bda5e8ff8d
https://doi.org/10.1016/j.ecosta.2021.04.007
https://doi.org/10.1016/j.ecosta.2021.04.007
Publikováno v:
Journal of Applied Econometrics. 33:853-873
We develop and estimate a multifactor a¢ ne 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 form
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::887a0670f73a7c4a81f195122b5c8879
https://doi.org/10.1002/jae.2631
https://doi.org/10.1002/jae.2631
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 24
The return forecasting factor is a linear combination of forward rates that seems to predict 1-year excess bond returns of bond of all maturities better than traditional measures obtained from the yield curve. If this single factor actually captures
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::92daa7b71ebdf196c1997256c1941860
https://doi.org/10.1515/snde-2018-0009
https://doi.org/10.1515/snde-2018-0009
Autor:
Constantino Hevia, Martin Sola
Publikováno v:
Journal of Risk and Financial Management, Vol 11, Iss 4, p 60 (2018)
Journal of Risk and Financial Management
Volume 11
Issue 4
Journal of Risk and Financial Management
Volume 11
Issue 4
Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9cf0e8a13cd79948b2bbaf4427a5af01
http://www.mdpi.com/1911-8074/11/4/60
http://www.mdpi.com/1911-8074/11/4/60
Publikováno v:
Journal of Applied Econometrics. 30:987-1009
We estimate versions of the Nelson-Siegel model of the yield curve of U.S. government bonds using a Markov switching latent variable model that allows for discrete changes in the stochastic process followed by the interest rates. Our modeling approac
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4d860c628de493b59cee60cfc5efcde4
https://doi.org/10.1002/jae.2399
https://doi.org/10.1002/jae.2399