Selected Papers

      Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities” with D. Pouzo and Z. Psaradakis,  Econometrica (2022), Volume 90, Issue 4,  pages 1681-1710.


   "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.


“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.

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

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


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


“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.


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

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

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

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

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

“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.