Studies in Nonlinear Dynamics & Econometrics
1996 - 2009
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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
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