DEPARTAMENTO DE ECONOMÍA

Published Papers

1. “Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities” with D. Pouzo and Z. Psaradakis, forthcoming, Econometrica.

2. “Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities” Z. Psaradakis  in press (2021)  Econometrics and Statistics. https://doi.org/10.1016/j.ecosta.2021.04.007

3. “Bond risk premia and the return forecasting factor” with A. Gutierrez and C. Hevia. (2020), Vol 24 Issue1, Studies in Nonlinear Dynamics and Econometrics.

4. "Risk premia and seasonality in commodity future " with C. Hevia and I. Petrella. Journal of Applied Econometrics (2018), vol. 33(6), pages 853-873, September.

5.     “Bond Risk Premia and Restrictions on Risk Prices” with C. Hevia. Journal of Risk and Financial Management (2018), vol. 11(4), pages 1-22.

6. “Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model” with C. Hevia, M.G. Rozada and F. Spagnolo. Journal of Applied Econometrics (2015) Volume 30 issue 6 pages 987- 1009.

7.     "Towards a “New” Inflation Targeting Framework: The Case of Uruguay," with Martín Gonzalez-Rozada and Matías Escudero,  Journal of Lacea Economia, (2014)

8.     "Real Options With Priced Regime-Switching Risk," with John Driffill & Turalay Kenc,. International Journal of Theoretical and Applied Finance,  2013, World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1350028-1-1.

9.     “State -Dependent Threshold STAR Models” with M. Dueker, Z. Psaradakis and F. Spagnolo, (2013) Oxford Bulletin of Economics and Statistics. Pages 835- 854.

10.  “Multivariate Contemporaneous-Threshold Autoregressive Models” with M. Dueker, Z. Psaradakis and F. Spagnolo, Journal of Econometrics (2011) 160 (2), pages. 311-325.

11.  “Contemporaneous-Threshold Smooth Transition GARCH Models” with M. Dueker, Z. Psaradakis and F. Spagnolo,  Studies in Nonlinear Dynamics and Econometrics. 15, 2, Article 1.

12.  “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.,.

13.  “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. .

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

15.   “Predicting Markov Volatility Switches Using Monetary Policy Variables” , with F. Spagnolo and N. Spagnolo, Economics Letters, 2007, 95, 1, 110-116.

16.  “Target Zones for Exchange Rates and Policy Changes”, with J. Driffill, Journal of International Money and Finance, 2006, 25, 6, 912- 931.

17.   “Instrumental-Variables Estimation in Markov Switching Models with Endogenous   Explanatory Variables: An Application to the Term Structure of Interest Rates” with Z. Psaradakis and F. Spagnolo, Studies in Nonlinear Dynamics and Econometrics. 2006: Vol.10: No. 2, Article 1. http://www.bepress.com/snde/vol10/iss2/art1 .

18.  “Markov-Switching Causality and the Money-Output Relationship”, with Z. Psaradakis and M. Ravn, Journal of Applied Econometrics, 20, 2005, 5, 665-683.

19.  .“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.

20.  “Red Signals: Current Account Deficits and Sustainability” with M. Raybaudi and F. Spagnolo, Economics Letters, 2004, 84, 217-223.

21.   “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.

22.  “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.

23.  “On Detrending and Cyclical Asymmetry”, with Z. Psaradakis, Journal of Applied Econometrics 18, 2003, 271-289.

24.  “Target Zones and Economic Fundamentals”, with M. Tronzano and Z. Psaradakis, Economic Modelling 20, 2003, 791-807.

25.  “Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry, Exit and the Business Cycle”, with J. Driffill and M. Raybaudi, Studies in Nonlinear Dynamics and Econometrics 7, 2003, Article 1 http://bepress.com/snde/vol7/iss1/art1.

26.  “A Simple Method of Testing for Cointegration Subject to Multiple Changes in Regime”, with V. Gabriel and Z. Psaradakis, Economics Letters 76, 2002, 213-221.

27.  “A Test for Contagion”, with F. Spagnolo and N. Spagnolo, Economics Letters 76, 2002, 77-84.

28.  “A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles”, with Z. Psaradakis and F. Spagnolo, Economics Letters 72, 2001, 317-323.

29.  “An Empirical Reassessment of Target-Zone Nonlinearities”, with A. Garratt and Z. Psaradakis, Journal of International Money and Finance 20, 2001, 533-548.

30.  “The Prisoner’s Dilemma and Regime-Switching in the Greek-Turkish Arms Race”, with R. Smith and F. Spagnolo, Journal of Peace Research 37, 2000, 737-750.

31.  “Assessing the Credibility of a Target Zone: evidence from EMS countries”, with M. Tronzano and Z. Psaradakis, International Journal of Finance and Economics 5, 2000, 107-120.

32.  “Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test”, with S. Hall and Z. Psaradakis, Journal of Applied Econometrics 14, 1999, 141-154.

33.  “Intrinsic Bubbles and Regime Switching”, with J. Driffill, Journal of Monetary Economics 42, 1998, 357-373.

34.  “Finite-Sample Properties of the Maximum Likelihood Estimator in Autoregressive Models with Markov Switching”, with Z. Psaradakis, Journal of Econometrics 86, 1998, 369-386.

35.  “On Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables”, with J. Driffill and Z. Psaradakis, International Journal of Finance and Economics 3, 1998, 321-325.

36.  “Changes in Regime and Cointegration: The Japanese Consumption Function”, with S. Hall and Z. Psaradakis, Journal of Applied Econometrics 12, 1997, 151-168.

37.  “A Reconcillation of Some Paradoxical Empirical Results on the Expectation Model of the Term Structure”, with J. Driffill and Z. Psaradakis, Oxford Bulletin of Economics and Statistics 59, 1997, 29-42.

38.  “Switching Error-Correction Models of House Prices in the United Kingdom”, with S.Hall and Z. Psaradakis, Economic Modeling 14, 1997, 517-527.

39.  “Empirical Properties of the Black Market Zloty/Dollar Exchange Rate, 1988-1990”, with M. Funke and S. Hall, International Journal of Finance and Economics, 1997, 229-37.

40.  “On the Power Tests for Superexogeneity and Structural Invariance”, with Z. Psaradakis, Journal of Econometrics 72, 1996, 151-175.

41.  “Testing for Bubbles in the German Hyperinflation”, with K. Blackburn, International Journal of Finance and Economics 1, 1996, 303-317.

42.  “Stylized Facts and Changes in Regime: Are Prices Pro-Cyclical?” with M. Ravn, Journal of Monetary Economics 36, 1995, 497-526.

43.  “Exponential Smoothing and Spurious Autocorrelation”, with K. Blackburn and F. Orduna, Applied Economic Letters 2, 1995, 76-79.

44.  “Rational Bubbles During Poland’s Hyperinflation: Implications and Empirical Evidence”, with M. Funke and S. Hall, European Economic Review 38, 1994, 1257-1276.

45.  “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.

46.  “Collapsing Exchange Rate Regimes: A Survey”, with K. Blackburn. Journal of Economic Surveys, 1993, 119-144.

47.  “The Use of Recursive Variance Plots: A Note”, with M. Ravn, Applied Economics, 1993, 76-79.