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Studies in Nonlinear Dynamics & Econometrics

1996 - 2014

Current editor(s): Bruce Mizrach

from De Gruyter
Series data maintained by Peter Golla ().

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Volume 2, issue 4, 1998

Early News is Good News: The Effects of Market Opening on Market Volatility pp. 1-19 Downloads
Giampiero M. Gallo and Pacini Barbara
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model pp. 1-19 Downloads
Ghysels Eric and Joann Jasiak
Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods pp. 1-16 Downloads
Chao John C. and Chiao Chaoshin
Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets pp. 1-21 Downloads
Zeng Tian and Norman Rasmus Swanson
Forecasting Exchange Rates Using Neural Networks for Technical Trading Rules pp. 1-8 Downloads
Philip Hans Franses and Kasper van Griensven
The Current Depth-of-Recession and Unemployment-Rate Forecasts pp. 1-10 Downloads
Parker Randall E. and Philip Rothman

Volume 2, issue 3, 1997

Nonlinearity and Endogeneity in Macro-Asset Pricing pp. 1-18 Downloads
Hiemstra Craig and Kramer Charles
EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments pp. 1-20 Downloads
Pieter Jelle van der Sluis

Volume 2, issue 2, 1997

Finite Sample Properties of the Efficient Method of Moments pp. 1-19 Downloads
Romulo Chumacero
A Fast Algorithm for the BDS Statistic pp. 1-9 Downloads
Blake Lebaron
Technical Trading Rules and the Size of the Risk Premium in Security Returns pp. 1-14 Downloads
Ramazan Gencay and Thanasis Stengos

Volume 2, issue 1, 1997

Inference in TAR Models pp. 1-16 Downloads
Bruce E. Hansen
Investigating Cyclical Asymmetries pp. 1-10 Downloads
Randal John Verbrugge

Volume 1, issue 4, 1997

Endogenous Cycles in Competitive Models: An Overview pp. 1-13 Downloads
Pietro Reichlin
FORTRAN Programs for Running the TR Test: A Guide and Examples pp. 1-8 Downloads
Philip Rothman
A Nonlinear Analysis of Forward Premium and Volatility pp. 1-17 Downloads
Hsu Chiente and Kugler Peter

Volume 1, issue 3, 1996

Tests for Nonlinearity in EMS Exchange Rates pp. 1-16 Downloads
Jon R. Vilasuso and Steven Ray Cunningham
Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances pp. 1-15 Downloads
Kim Jeong-Ryeol, Stefan Mittnik and Rachev Svetlozar T.
The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms pp. 1-12 Downloads
Ramazan Gencay and Dechert W. Davis
SIMANN: A Global Optimization Algorithm using Simulated Annealing pp. 1-9 Downloads
Goffe William L.

Volume 1, issue 2, 1996

A Random Walk or Color Chaos on the Stock Market? Time-Frequency Analysis of S&P Indexes pp. 1-19 Downloads
Chen Ping
Saddle Path Stability, Fluctuations, and Indeterminacy in Economic Growth pp. 1-16 Downloads
Greiner Alfred and Willi Semmler
If Nonlinear Models Cannot Forecast, What Use Are They? pp. 1-24 Downloads
Ramsey James B.
A Kernel Test for Neglected Nonlinearity pp. 1-14 Downloads
Bradley Ralph and McClelland Robert

Volume 1, issue 1, 1996

On Cycles and Chaos in Economics pp. 1-4 Downloads
Jess Benhabib
Power Properties of Linearity Tests for Time Series pp. 1-10 Downloads
Timo Teräsvirta
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code pp. 1-8 Downloads
Jon Danielsson
Optimal Cycles and Chaos: A Survey pp. 1-20 Downloads
Kazuo Nishimura and Gerhard Sorger
Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data pp. 1-20 Downloads
Norman Rasmus Swanson
A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle pp. 1-14 Downloads
Boldin Michael D.
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