Listar Investigación y publicaciones por autor "Sola, Martin"
Mostrando ítems 1-3 de 3
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Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities
Sola, Martin; Psaradakis, Zacharias (2017)This paper proposes a model which allows for discrete stochastic breaks in the timevarying transition probabilities of Markov-switching models with autoregressive dynamics. An extensive simulation study is undertaken to ... -
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities
Sola, Martin; Pouzo, Demian; Psaradakis, Zacharias (Universidad Torcuato Di Tella, 2024-06)We consider general hidden Markov models that may include exogenous co- variates and whose discrete-state-space regime sequence has transition prob- abilities that are functions of observable variables. We show that the ... -
On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?
Sola, Martin; Caravello, Tomás Enrique; Driffill, John; Kenc, Turalay (Journal of Economic Dynamics & Control (e-ISSN: 1879-1743), 2024-07)We develop and estimate a consumption-based asset pricing model that uses historical US financial data and assumes recursive utility, allowing for priced regime-switching risk and intrinsic bubbles. We also estimate ...