Studies in Nonlinear Dynamics & Econometrics

1996 - 2009

from Berkeley Electronic Press
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Volume 13, issue 4, 2009

Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates

Helmut Herwartz and Jan Roestel

Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis

Chang Sik Kim

Threshold Effects of Dismissal Protection Regulation and the Emergence of Temporary Work Agencies

Yu-Fu Chen and Michael Funke

A Non-Parametric Investigation of Risk Premia

Chiara Peroni

Changes in U.S. Inflation Persistence

Kyu Ho Kang, Chang-Jin Kim and James Morley

Volume 13, issue 3, 2009

Modeling Jump and Continuous Components in the Volatility of Oil Futures

Tseng-Chan Tseng, Huimin Chung and Chin-Sheng Huang

Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization

Azzouz Dermoune, Boualem Djehiche and Nadji Rahmania

Mixed Exponential Power Asymmetric Conditional Heteroskedasticity

Jeroen V. K. Rombouts and Mohammed Bouaddi

Inspecting the Poverty-Trap Mechanism: A Quantile Regression Approach

Jens J. Krüger

Asymmetry in Stochastic Volatility Models: Threshold or Correlation?

Daniel R. Smith

Volume 13, issue 2, 2009

Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation

Emma M. Iglesias

Discovering Hidden Structures Using Mixture Models: Application to Nonlinear Time Series Processes

Babak Shahbaba

Testing for Conditional Heteroscedasticity in the Components of Inflation

Carmen Broto and Esther Ruiz

Nonlinearity between Inequality and Growth

Shu-Chin Lin, Ho-Chuan Huang, Dong-Hyeon Kim and Chih-Chuan Yeh

The J2 Status of "Chaos" in Period Macroeconomic Models

Peter Flaschel and Christian R. Proaño

A Component GARCH Model with Time Varying Weights

Luc Bauwens and Giuseppe Storti

Volume 13, issue 1, 2009

Multi-Market Direction-of-Change Modeling Using Dependence Ratios

Stanislav Anatolyev

Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate

Seungmoon Choi

(Un)anticipated Technological Change in an Endogenous Growth Model

Bruce A. Conway, Rina Rosenblatt-Wisch and Klaus Reiner Schenk-Hoppé

Modelling Good and Bad Volatility

Matteo M. Pelagatti

The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing

John Driffill, Turalay Kenc, Martin Sola and Fabio Spagnolo

Volume 12, issue 4, 2008

The Dynamics of Mutual Funds and Market Timing Measurement

Juan Carlos Matallin-Saez

Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life

Ming Chien Lo

Happiness due to Consumption and its Increases, Wealth and Status

Franz Wirl, Andreas J. Novak and Franz X. Hof

The Consumption-Wealth Ratio under Asymmetric Adjustment

Vasco J. Gabriel, Fernando Alexandre and Pedro Bação

The Nonlinear Dynamics of Foreign Reserves and Currency Crises

Terence Tai Leung Chong, Qing He and Melvin J. Hinich

Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components

Juan J. Dolado, Jesus Gonzalo and Laura Mayoral

Volume 12, issue 3, 2008

Threshold Adjustment of Deviations from the Law of One Price

Luciana Juvenal and Mark P. Taylor

Markov-Switching GARCH Modelling of Value-at-Risk

Rasoul Sajjad, Jerry Coakley and John C. Nankervis

Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry

Philip Rothman

Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?

Chang-Jin Kim and Yunmi Kim

Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths

Brigitta Hultblad and Sune Karlsson

Optimal Test for Markov Switching GARCH Models

Liang Hu and Yongcheol Shin

A Powerful Test for Linearity When the Order of Integration is Unknown

David I. Harvey, Stephen J. Leybourne and Bin Xiao

Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?

Clive W. J. Granger

Volume 12, issue 2, 2008

Unemployment and Economic Growth Cycles

Maria J. Roa, Francisco Jose Vazquez and Dulce Saura

Option Valuation with Normal Mixture GARCH Models

Alex Badescu, Reg Kulperger and Emese Lazar

Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps

Wing Hong Chan

Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market

Wei Sun, Svetlozar Rachev, Stoyan V. Stoyanov and Frank J. Fabozzi

On the Robustness of Symmetry Tests for Stock Returns

Yi-Ting Chen and Chang-Ching Lin

A Video Interview with James Hamilton

Bruce Mizrach

Volume 12, issue 1, 2008

Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics

Travis D. Nesmith and Barry Edward Jones

Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem

Dietmar G. Maringer and Mark Meyer

Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series

Dimitris Kugiumtzis

Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle

Mohitosh Kejriwal

Rank-based Entropy Tests for Serial Independence

Cees Diks and Valentyn Panchenko

Modelling Autoregressive Processes with a Shifting Mean

Andrés González and Timo Teräsvirta

Volume 11, issue 4, 2007

The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?

Frédérique Bec and Alexia Bastien

Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models

Antonis Michis and Theofanis Sapatinas

Jump-and-Rest Effect of U.S. Business Cycles

Maximo Camacho and Gabriel Perez Quiros

Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules

Deepankar Basu and Robert M. de Jong

Movements in the Equity Premium: Evidence from a Time-Varying VAR

Massimiliano De Santis

Volume 11, issue 3, 2007

Wavelet Variance Analysis of Output in G-7 Countries

Marco Gallegati and Mauro Gallegati

Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation

Roger J. Bowden and Jennifer Z. Zhu

A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models

Walter Enders, Barry L. Falk and Pierre Siklos

Complex Dynamics in the Neoclassical Growth Model with Differential Savings and Non-Constant Labor Force Growth

Serena Brianzoni, Cristiana Mammana and Elisabetta Michetti

Detecting Multiple Changes in Persistence

Stephen Leybourne, Tae-Hwan Kim and Robert Taylor

Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution

Rehim Kiliç

Volume 11, issue 2, 2007

Change-Points in U.S. Business Cycle Durations

Troy Davig

A Class Test for Fractional Integration

Melvin J. Hinich and Terence Tai Leung Chong

The Dynamic Behaviour of an Endogenous Growth Model with Public Capital and Pollution

Alfred Greiner

Volatility Components and Long Memory-Effects Revisited

Markus Haas

Equilibrium Efficiency in the Ramsey Model with Habit Formation

Manuel A. Gómez

A Dynamic Semiparametric Proportional Hazard Model

Frank Gerhard and Nikolaus Hautsch

Volume 11, issue 1, 2007

A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests

Wei Liu and Alex S. Maynard

Fractionally Integrated Long Horizon Regressions

Jin Lee

A Smooth Transition Autoregressive Conditional Duration Model

Min-Hsien Chiang

Short-Run Patience and Wealth Inequality

Lilia Maliar and Serguei Maliar

Time Series Models for Forecasting: Testing or Combining?

Zhuo (Adam) Chen and Yuhong Yang

Gains from Synchronization

William Barnett and Mehmet S. Dalkir

Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified

Jun Ma, Charles R. Nelson and Richard Startz