Studies in Nonlinear Dynamics & Econometrics

1996 - 2012

from De Gruyter
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Volume 16, issue 4, 2012

An Experimental Study on Expectations and Learning in Overlapping Generations Models pp. 1

Peter Heemeijer, Cars Hommes, Joep Sonnemans and Jan Tuinstra

Asset Pricing with Heterogeneous Investment Horizons pp. 2

Mikhail Anufriev and Giulio Bottazzi

The Fiscal Cost of Financial Instability pp. 3

Carl Chiarella and Corrado Di Guilmi

Microfounded Animal Spirits in the New Macroeconomic Consensus pp. 4

Reiner Franke

Identification of Interaction Effects in Survey Expectations: A Cautionary Note pp. 5

Simone Alfarano and Mishael Milaković

Heterogeneous Learning Dynamics and Speed of Convergence pp. 6

Michele Berardi

Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations pp. 7

Marji Lines and Frank Westerhoff

Volume 16, issue 3, 2012

Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models pp. 1

Esther Ruiz and Ana Pérez

Borrowing Constraints and House Price Dynamics: The Case of Large Shocks pp. 2

Essi Eerola and Niku Määttänen

A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences pp. 3

Oscar Martinez and Jose Olmo

A New Forecasting Model for USD/CNY Exchange Rate pp. 4

Zongwu Cai, Linna Chen and Ying Fang

A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis pp. 5

Thomas Meinl and Edward W. Sun

On the Interrelation of Capital and Labor Adjustment Costs at the Firm Level pp. 6

Athanasios Lapatinas

Volume 16, issue 2, 2012

How Much Should a Nation Save? A New Answer pp. 1

Olivier de La Grandville

Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies pp. 2

Carl Chiarella, Peter Flaschel, Carsten Köper, Christian Proaño and Willi Semmler

Expectations Dynamics: Policy, Announcements and Limits to Dynamic Inconsistency pp. 3

Andrew J Hughes Hallett, Nicola Acocella and Giovanni Di Bartolomeo

Routes to Complexity Induced by Constraints in Cournot Oligopoly Games with Linear Reaction Functions pp. 4

Gian Italo Bischi and Fabio Lamantia

Technological Adoption with Imperfect Markets in the Italian Economy pp. 5

Enrico Saltari, Clifford R. Wymer, Daniela Federici and Marilena Giannetti

The Macrodynamics of External Overborrowing and Systemic Instability in a Small Open Economy pp. 6

Bernardo Maggi, Eleonora Cavallaro and Marcella Mulino

The Convergence of Economic Developments pp. 7

Michele Caputo

Continuous-Tme Econometrics of Structural Models pp. 8

Clifford R. Wymer

Economic Stability and the Choice of the Target Inflation Index pp. 9

Alessandro Flamini

Volume 16, issue 1, 2012

Band-Limited Stochastic Processes in Discrete and Continuous Time pp. 1

D.S.G. Pollock

Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty pp. 2

Michael Peter Clements

Asymmetric Unemployment Rate Dynamics in Australia pp. 3

Gunnar Bårdsen, Stan Hurn and Zöe McHugh

Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States’ Stock Exchanges pp. 4

Kurt Brännäs, Jan G. De Gooijer, Carl Lönnbark and Albina Soultanaeva

Flexible Modelling of Duration of Unemployment Using Functional Hazard Models and Penalized Splines: A Case Study Comparing Germany and the UK pp. 5

Nina Westerheide and Goeran Kauermann

The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach pp. 6

Y. Peter Chung and Zhong-guo Zhou

Volume 15, issue 4, 2011

Early Detection Techniques for Market Risk Failure pp. 1

Jose Olmo and William Pouliot

Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis pp. 2

Monica Billio and Roberto Casarin

A Computationally Practical Robust Simulation Estimator for Dynamic Panel Tobit Models pp. 3

Sheng-Kai Chang

Panel Cointegration Rank Testing with Cross-Section Dependence pp. 4

Josep Lluís Carrion--Silvestre and Laura Surdeanu

Constrained k-class Estimators in the Presence of Weak Instruments pp. 5

Emma M. Iglesias

Stages of Economic Development in an Innovation-Education Growth Model pp. 6

Manuel A. Gómez

Volume 15, issue 3, 2011

Semi-Parametric Forecasting of Realized Volatility pp. 1

Ralf Becker, Adam Clements and Stan Hurn

Debt Sustainability in Selected Euro Area Countries: Empirical Evidence Estimating Time-Varying Parameters pp. 2

Bettina Fincke and Alfred Greiner

Purchasing Power Parity Analyzed from a Continuous-Time Model pp. 3

João Nicolau

International Output Convergence, Breaks, and Asymmetric Adjustment pp. 4

Dimitris K. Christopoulos and Miguel Leon-Ledesma

Extracting the Cyclical Component in Hours Worked pp. 5

Mauro Bernardi, Giuseppe Della Corte and Tommaso Proietti

Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions pp. 6

Minxian Yang

Volume 15, issue 2, 2011

Contemporaneous-Threshold Smooth Transition GARCH Models pp. 1

Michael J. Dueker, Zacharias Psaradakis, Martin Sola and Fabio Spagnolo

Filtering Time Series with Penalized Splines pp. 2

Goeran Kauermann, Tatyana Krivobokova and Willi Semmler

Real-Time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty pp. 3

Alessandro Flamini and Costas Milas

Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods pp. 4

Stella Karagianni and Catherine KYRTSOU

Alternative Estimators of Long-Range Dependence pp. 5

Viviana Fernandez

Nonparametric Testing for Linearity in Cointegrated Error-Correction Models pp. 6

Byeongseon Seo

Volume 15, issue 1, 2010

Spurious Regressions of Stationary AR(p) Processes with Structural Breaks pp. 1

Ba M. Chu and Roman Kozhan

Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach pp. 2

Alicia Pérez-Alonso and Silvestro Di Sanzo

Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency pp. 3

Jihyun Lee, Tong S. Kim and Hoe Kyung Lee

The Determinants of International Financial Integration Revisited: The Role of Networks and Geographic Neutrality pp. 4

Iván Arribas, Francisco Perez and Emili Tortosa-Ausina

Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding pp. al1

Teresa Aparicio, Eduardo F. Pozo and Dulce Saura

Testing the Martingale Property of Exchange Rates: A Replication pp. re1

Jorge Belaire-Franch and Dulce Contreras