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Studies in Nonlinear Dynamics & Econometrics
1996 - 2012
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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