Studies in Nonlinear Dynamics & Econometrics

1996 - 2012

from Berkeley Electronic Press
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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

Volume 14, issue 4, 2010

Skew-Normal Mixture and Markov-Switching GARCH Processes pp. 1

Markus Haas

Covariate Measurement Error: Bias Reduction under Response-Based Sampling pp. 2

Esmeralda A. Ramalho

Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models pp. 3

Daiki Maki

Fundamental and Behavioural Drivers of Electricity Price Volatility pp. 4

Nektaria V. Karakatsani and Derek W. Bunn

Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model pp. 5

Fuyu Yang and Roberto Leon-Gonzalez

A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions pp. 6

Tucker Sprague McElroy

Volume 14, issue 3, 2010

Estimation of Parameters in the Presence of Model Misspecification and Measurement Error pp. 1

P. A. V. B. Swamy, George S. Tavlas, Stephen G. F. Hall and George Hondroyiannis

An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns pp. 2

Klaus Herrmann and Matthias Fischer

Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form pp. 3

Efthymios G. Pavlidis, Ivan Paya and David A. Peel

First and Second Order Asymptotic Bias Correction of Nonlinear Estimators in a Non-Parametric Setting and an Application to the Smoothed Maximum Score Estimator pp. 4

Emma M. Iglesias

Conditional Skewness, Kurtosis, and Density Specification Testing: Moment-Based versus Nonparametric Tests pp. 5

A. Tolga Ergun and Jongbyung Jun

Volume 14, issue 2, 2010

Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model pp. 1

Dashan Huang, Baimin Yu, Zudi Lu, Frank J. Fabozzi, Sergio Focardi and Masao Fukushima

Testing for Asymmetric Dependence pp. 2

Hans Manner

Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk pp. 3

Jonathan Graeme Dark

Estimating the Term Premium by a Markov Switching Model with ARMA-GARCH Errors pp. 4

Byoung Hark Yoo

Synchronization and On-Off Intermittency Phenomena in a Market Model with Complementary Goods and Adaptive Expectations pp. 5

Fernando Bignami and Anna Agliari

Volume 14, issue 1, 2009

The Sticky Information Macro Model: Beyond Perfect Foresight pp. 1

Orlando Gomes

Nonlinear Impacts of International Business Cycles on the U.K. -- A Bayesian Smooth Transition VAR Approach pp. 2

Deborah Gefang and Rodney W. Strachan

Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated Innovations pp. 3

Tara M. Sinclair

On Justifications for the ad hoc Black-Scholes Method of Option Pricing pp. 4

Jeremy Berkowitz

Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times pp. 5

Helinä Laakkonen and Markku Lanne