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.