Martin Sola

Global rank #4170 95%

Institution: Universidad Torcuato Di Tella

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://www.utdt.edu/ver_contenido.php?id_contenido=3037id_item_menu=5954

First Publication: 1993

Most Recent: 2025

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period	S (4x)	A (2x)	B (1x)	Total
Last 5 Years	0.67	0.00	1.68	4.36
Last 10 Years	0.67	0.00	2.35	5.03
All Time	0.67	5.19	8.04	23.96

Publication Statistics

Raw Publications 27

Coauthorship-Adjusted Count 19.69

Publications (27)

Year	Article	Journal	Tier	Authors
2025	The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model With Threshold Effects	Oxford Bulletin of Economics and Statistics	B	4
2024	On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?	Journal of Economic Dynamics and Control	B	4
2023	Rational bubbles: Too many to be true?	Journal of Economic Dynamics and Control	B	3
2022	Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities	Econometrica	S	3
2018	Risk premia and seasonality in commodity futures	Journal of Applied Econometrics	B	3
2015	Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model	Journal of Applied Econometrics	B	4
2013	State-Dependent Threshold Smooth Transition Autoregressive Models	Oxford Bulletin of Economics and Statistics	B	4
2011	Multivariate contemporaneous-threshold autoregressive models	Journal of Econometrics	A	4
2007	Contemporaneous threshold autoregressive models: Estimation, testing and forecasting	Journal of Econometrics	A	3
2007	Predicting Markov volatility switches using monetary policy variables	Economics Letters	C	3
2006	Target zones for exchange rates and policy changes	Journal of International Money and Finance	B	2
2005	Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables	Journal of Applied Econometrics	B	3
2004	Red signals: current account deficits and sustainability	Economics Letters	C	3
2003	Target zone credibility and economic fundamentals	Economic Modeling	C	3
2002	A simple method of testing for cointegration subject to multiple regime changes	Economics Letters	C	3
2002	A test for volatility spillovers	Economics Letters	C	3
2001	An empirical reassessment of target-zone nonlinearities	Journal of International Money and Finance	B	3
2001	A simple procedure for detecting periodically collapsing rational bubbles	Economics Letters	C	3
1998	Intrinsic bubbles and regime-switching	Journal of Monetary Economics	A	2
1998	Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching	Journal of Econometrics	A	2
1997	A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure.	Oxford Bulletin of Economics and Statistics	B	3
1997	Switching error-correction models of house prices in the United Kingdom	Economic Modeling	C	3
1996	On the power of tests for superexogeneity and structural invariance	Journal of Econometrics	A	2
1995	Stylized facts and regime changes: Are prices procyclical?	Journal of Monetary Economics	A	2
1994	Testing the term structure of interest rates using a stationary vector autoregression with regime switching	Journal of Economic Dynamics and Control	B	2
1994	Rational bubbles during Poland's hyperinflation: Implications and empirical evidence	European Economic Review	B	3
1993	Speculative Currency Attacks and Balance of Payments Crises.	Journal of Economic Surveys	C	2