| Publication | Date of Publication | Type |
|---|
Big swings in the data and perceived changes in the risk premia
Studies in Nonlinear Dynamics and Econometrics | 2026-08-31 | Paper |
Predictive accuracy of impulse responses estimated using local projections and vector autoregressions
Studies in Nonlinear Dynamics and Econometrics | 2026-08-31 | Paper |
On the sources of the aggregate risk premium: risk aversion, bubbles or regime-switching?
Journal of Economic Dynamics & Control | 2025-06-10 | Paper |
On testing for bubbles during hyperinflations
Studies in Nonlinear Dynamics & Econometrics | 2024-11-28 | Paper |
Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
Econometrica | 2024-01-23 | Paper |
Rational bubbles: too many to be true?
Journal of Economic Dynamics and Control | 2023-07-06 | Paper |
Bond risk premia and the return forecasting factor
Studies in Nonlinear Dynamics & Econometrics | 2023-04-17 | Paper |
OPTIMAL INVESTMENT IN INTERRELATED PROJECTS
International Journal of Theoretical and Applied Finance | 2023-02-22 | Paper |
Multivariate contemporaneous-threshold autoregressive models
Journal of Econometrics | 2016-08-10 | Paper |
Contemporaneous threshold autoregressive models: estimation, testing and forecasting
Journal of Econometrics | 2016-05-27 | Paper |
Real options with priced regime-switching risk
International Journal of Theoretical and Applied Finance | 2013-10-21 | Paper |
Red signals: current account deficits and sustainability
Economics Letters | 2013-01-01 | Paper |
Contemporaneous-threshold smooth transition GARCH models
Studies in Nonlinear Dynamics & Econometrics | 2011-03-09 | Paper |
Selecting nonlinear time series models using information criteria
Journal of Time Series Analysis | 2011-02-22 | Paper |
The effects of different parameterizations of Markov-switching in a CIR model of bond pricing
Studies in Nonlinear Dynamics & Econometrics | 2010-07-02 | Paper |
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
Studies in Nonlinear Dynamics & Econometrics | 2008-04-04 | Paper |
Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle.
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
On the Autocorrelation Properties of Long‐Memory GARCH Processes
Journal of Time Series Analysis | 2004-11-24 | Paper |
A simple method of testing for cointegration subject to multiple regime changes
Economics Letters | 2002-07-31 | Paper |
A test for volatility spillovers.
Economics Letters | 2002-07-15 | Paper |
A simple procedure for detecting periodically collapsing rational bubbles
Economics Letters | 2001-08-20 | Paper |
Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
Journal of Econometrics | 2000-06-13 | Paper |
Testing the term structure of interest rates using a stationary vector autoregression with regime switching
Journal of Economic Dynamics and Control | 1999-11-08 | Paper |
Testing the term structure of interest rates using a stationary vector autoregression with regime switching
Journal of Economic Dynamics and Control | 1997-02-27 | Paper |
On the power of tests for superexogeneity and structural invariance
Journal of Econometrics | 1996-06-16 | Paper |
