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Studies in Nonlinear Dynamics & Econometrics

1996 - 2015

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 15, issue 4, 2011

Constrained k-class Estimators in the Presence of Weak Instruments pp. 1-13 Downloads
Emma Iglesias
Panel Cointegration Rank Testing with Cross-Section Dependence pp. 1-43 Downloads
Josep Carrion-i-Silvestre and Surdeanu Laura
Early Detection Techniques for Market Risk Failure pp. 1-55 Downloads
Jose Olmo and William Pouliot
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis pp. 1-32 Downloads
Monica Billio and Roberto Casarin
Stages of Economic Development in an Innovation-Education Growth Model pp. 1-25 Downloads
Gómez Manuel A.
A Computationally Practical Robust Simulation Estimator for Dynamic Panel Tobit Models pp. 1-21 Downloads
Chang Sheng-Kai

Volume 15, issue 3, 2011

Semi-Parametric Forecasting of Realized Volatility pp. 1-23 Downloads
Becker Ralf, Adam Clements and Stan Hurn
Debt Sustainability in Selected Euro Area Countries: Empirical Evidence Estimating Time-Varying Parameters pp. 1-23 Downloads
Fincke Bettina and Greiner Alfred
Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions pp. 1-21 Downloads
Minxian Yang
Purchasing Power Parity Analyzed from a Continuous-Time Model pp. 1-26 Downloads
Nicolau João
International Output Convergence, Breaks, and Asymmetric Adjustment pp. 1-33 Downloads
Dimitris Christopoulos and Miguel Leon-Ledesma
Extracting the Cyclical Component in Hours Worked pp. 1-28 Downloads
Mauro Bernardi, Della Corte Giuseppe and Tommaso Proietti

Volume 15, issue 2, 2011

Filtering Time Series with Penalized Splines pp. 1-28 Downloads
Kauermann Goeran, Krivobokova Tatyana and Willi Semmler
Nonparametric Testing for Linearity in Cointegrated Error-Correction Models pp. 1-28 Downloads
Seo Byeongseon
Real-Time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty pp. 1-43 Downloads
Alessandro Flamini and Costas Milas
Alternative Estimators of Long-Range Dependence pp. 1-37 Downloads
Viviana Fernandez
Contemporaneous-Threshold Smooth Transition GARCH Models pp. 1-25 Downloads
Michael Dueker, Zacharias Psaradakis, Martin Sola and Fabio Spagnolo
Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods pp. 1-25 Downloads
Karagianni Stella and Catherine Kyrtsou

Volume 15, issue 1, 2010

Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach pp. 1-29 Downloads
Alicia Pérez-Alonso and Di Sanzo Silvestro
Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency pp. 1-43 Downloads
Lee Jihyun, Kim Tong S and Lee Hoe Kyung
Testing the Martingale Property of Exchange Rates: A Replication pp. 1-19 Downloads
Jorge Belaire-Franch and Contreras Dulce
Spurious Regressions of Stationary AR(p) Processes with Structural Breaks pp. 1-25 Downloads
Ba Chu and Roman Kozhan
Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding pp. 1-12 Downloads
Aparicio Teresa, Pozo Eduardo F. and Saura Dulce
The Determinants of International Financial Integration Revisited: The Role of Networks and Geographic Neutrality pp. 1-55 Downloads
Iván Arribas, Francisco Perez and Emili Tortosa-Ausina

Volume 14, issue 4, 2010

Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models pp. 1-43 Downloads
Maki Daiki
Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model pp. 1-38 Downloads
Fuyu Yang and Roberto Leon-Gonzalez
Fundamental and Behavioural Drivers of Electricity Price Volatility pp. 1-42 Downloads
Karakatsani Nektaria V and Bunn Derek W.
Skew-Normal Mixture and Markov-Switching GARCH Processes pp. 1-56 Downloads
Markus Haas
A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions pp. 1-23 Downloads
Tucker McElroy
Covariate Measurement Error: Bias Reduction under Response-Based Sampling pp. 1-34 Downloads
Esmeralda Ramalho

Volume 14, issue 3, 2010

Estimation of Parameters in the Presence of Model Misspecification and Measurement Error pp. 1-35 Downloads
Swamy P. A. V. B., George Tavlas, Hall Stephen G. F. and George Hondroyiannis
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. 1-30 Downloads
Emma Iglesias
An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns pp. 1-23 Downloads
Herrmann Klaus and Fischer Matthias
Conditional Skewness, Kurtosis, and Density Specification Testing: Moment-Based versus Nonparametric Tests pp. 1-21 Downloads
Ergun A. Tolga and Jun Jongbyung
Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form pp. 1-40 Downloads
Efthymios Pavlidis, Ivan Paya and David Peel

Volume 14, issue 2, 2010

Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk pp. 1-50 Downloads
Dark Jonathan Graeme
Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model pp. 1-26 Downloads
Huang Dashan, Yu Baimin, Lu Zudi, Frank Fabozzi, Focardi Sergio and Fukushima Masao
Synchronization and On-Off Intermittency Phenomena in a Market Model with Complementary Goods and Adaptive Expectations pp. 1-31 Downloads
Bignami Fernando and Anna Agliari
Testing for Asymmetric Dependence pp. 1-32 Downloads
Manner Hans
Estimating the Term Premium by a Markov Switching Model with ARMA-GARCH Errors pp. 1-20 Downloads
Byoung Hark Yoo

Volume 14, issue 1, 2009

The Sticky Information Macro Model: Beyond Perfect Foresight pp. 1-37 Downloads
Orlando Gomes
Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated Innovations pp. 1-31 Downloads
Tara Sinclair
On Justifications for the ad hoc Black-Scholes Method of Option Pricing pp. 1-27 Downloads
Berkowitz Jeremy
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times pp. 1-38 Downloads
Helinä Laakkonen and Markku Lanne
Nonlinear Impacts of International Business Cycles on the U.K. -- A Bayesian Smooth Transition VAR Approach pp. 1-33 Downloads
Deborah Gefang and Rodney Strachan

Volume 13, issue 4, 2009

Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates pp. 1-25 Downloads
Herwartz Helmut and Roestel Jan
Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis pp. 1-27 Downloads
Chang Sik Kim
Changes in U.S. Inflation Persistence pp. 1-23 Downloads
Kang Kyu Ho, Chang-Jin Kim and James Morley
Threshold Effects of Dismissal Protection Regulation and the Emergence of Temporary Work Agencies pp. 1-29 Downloads
Yu-Fu Chen and Michael Funke
A Non-Parametric Investigation of Risk Premia pp. 1-52 Downloads
Chiara Peroni

Volume 13, issue 3, 2009

Asymmetry in Stochastic Volatility Models: Threshold or Correlation? pp. 1-36 Downloads
Daniel Smith
Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization pp. 1-35 Downloads
Dermoune Azzouz, Boualem Djehiche and Nadji Rahmania
Inspecting the Poverty-Trap Mechanism: A Quantile Regression Approach pp. 1-18 Downloads
Jens Krüger
Mixed Exponential Power Asymmetric Conditional Heteroskedasticity pp. 1-32 Downloads
Jeroen Rombouts and Bouaddi Mohammed
Modeling Jump and Continuous Components in the Volatility of Oil Futures pp. 1-30 Downloads
Tseng Tseng-Chan, Chung Huimin and Huang Chin-Sheng

Volume 13, issue 2, 2009

A Component GARCH Model with Time Varying Weights pp. 1-33 Downloads
Luc Bauwens and Giuseppe Storti
Nonlinearity between Inequality and Growth pp. 1-20 Downloads
Shu-Chin Lin, Ho-Chuan Huang, Kim Dong-Hyeon and Yeh Chih-Chuan
Discovering Hidden Structures Using Mixture Models: Application to Nonlinear Time Series Processes pp. 1-21 Downloads
Shahbaba Babak
The J2 Status of "Chaos" in Period Macroeconomic Models pp. 1-12 Downloads
Peter Flaschel and Christian Proaño
Testing for Conditional Heteroscedasticity in the Components of Inflation pp. 1-30 Downloads
Carmen Broto and Esther Ruiz
Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation pp. 1-30 Downloads
Emma Iglesias

Volume 13, issue 1, 2009

The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing pp. 1-24 Downloads
John Driffill, Turalay Kenc, Martin Sola and Fabio Spagnolo
Multi-Market Direction-of-Change Modeling Using Dependence Ratios pp. 1-24 Downloads
Stanislav Anatolyev
(Un)anticipated Technological Change in an Endogenous Growth Model pp. 1-21 Downloads
Conway Bruce A, Rina Rosenblatt-Wisch and Klaus Schenk-Hoppé
Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate pp. 1-41 Downloads
Seungmoon Choi
Modelling Good and Bad Volatility pp. 1-20 Downloads
Matteo Pelagatti
Page updated 2015-10-13