Economics at your fingertips  

Studies in Nonlinear Dynamics & Econometrics

1996 - 2016

Current editor(s): Bruce Mizrach

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

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 16, issue 5, 2012

Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications pp. 1-37 Downloads
Emre Yoldas
How Do You Make A Time Series Sing Like a Choir? Extracting Embedded Frequencies from Economic and Financial Time Series using Empirical Mode Decomposition pp. 1-31 Downloads
Patrick Crowley
Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity pp. 1-27 Downloads
Tsong Ching-Chuan
Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity pp. 1-27 Downloads
Tsong Ching-Chuan
The Transitional Dynamics of an Endogenous Growth Model: Generalizing Production Functions pp. 1-27 Downloads
Gómez Manuel A. and Tiago Sequeira
Predicting Stock Returns Using a Variable Order Markov Tree Model pp. 1-33 Downloads
Shmilovici Armin and Ben-Gal Irad
Estimation of a Nonlinear Taylor Rule Using Real-Time U.S. Data pp. 1-26 Downloads
Jean-Francois Lamarche and Koustasy Zisimos

Volume 16, issue 4, 2012

Introduction to the Current Issue pp. 1-1 Downloads
Lines Marji, Manzan Sebastiano and Frank Westerhoff
The Fiscal Cost of Financial Instability pp. 1-29 Downloads
Carl Chiarella and Corrado Di Guilmi
Microfounded Animal Spirits in the New Macroeconomic Consensus pp. 1-41 Downloads
Franke Reiner
Heterogeneous Learning Dynamics and Speed of Convergence pp. 1-20 Downloads
Michele Berardi
An Experimental Study on Expectations and Learning in Overlapping Generations Models pp. 1-49 Downloads
Heemeijer Peter, Cars Hommes, Joep Sonnemans and Jan Tuinstra
Identification of Interaction Effects in Survey Expectations: A Cautionary Note pp. 1-23 Downloads
Simone Alfarano and Mishael Milaković
Asset Pricing with Heterogeneous Investment Horizons pp. 1-38 Downloads
Mikhail Anufriev and Giulio Bottazzi
Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations pp. 1-30 Downloads
Lines Marji and Frank Westerhoff

Volume 16, issue 3, 2012

Borrowing Constraints and House Price Dynamics: The Case of Large Shocks pp. 1-36 Downloads
Essi Eerola and Niku Määttänen
On the Interrelation of Capital and Labor Adjustment Costs at the Firm Level pp. 1-36 Downloads
Athanasios Lapatinas
A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis pp. 1-24 Downloads
Meinl Thomas and Edward Sun
Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models pp. 1-33 Downloads
Esther Ruiz and Pérez Ana
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences pp. 1-39 Downloads
Martinez Oscar and Jose Olmo
A New Forecasting Model for USD/CNY Exchange Rate pp. 1-20 Downloads
Zongwu Cai, Chen Linna and Ying Fang

Volume 16, issue 2, 2012

Economic Stability and the Choice of the Target Inflation Index pp. 1-37 Downloads
Alessandro Flamini
Expectations Dynamics: Policy, Announcements and Limits to Dynamic Inconsistency pp. 1-25 Downloads
Andrew Hughes Hallett, Nicola Acocella and Giovanni Di Bartolomeo
Introduction to the Current Issue pp. 1-1 Downloads
Giuseppe De Arcangelis and Enrico Saltari
How Much Should a Nation Save? A New Answer pp. 1-36 Downloads
Olivier de La Grandville
Continuous-Tme Econometrics of Structural Models pp. 1-28 Downloads
Wymer Clifford R.
The Macrodynamics of External Overborrowing and Systemic Instability in a Small Open Economy pp. 1-27 Downloads
Bernardo Maggi, Eleonora Cavallaro and Marcella Mulino
The Convergence of Economic Developments pp. 1-23 Downloads
Caputo Michele
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies pp. 1-38 Downloads
Carl Chiarella, Peter Flaschel, Köper Carsten, Christian Proaño and Willi Semmler
Routes to Complexity Induced by Constraints in Cournot Oligopoly Games with Linear Reaction Functions pp. 1-30 Downloads
Gian-Italo Bischi and Lamantia Fabio
Technological Adoption with Imperfect Markets in the Italian Economy pp. 1-30 Downloads
Enrico Saltari, Wymer Clifford R., Daniela Federici and Giannetti Marilena

Volume 16, issue 1, 2012

Band-Limited Stochastic Processes in Discrete and Continuous Time pp. 1-29 Downloads
David Pollock
Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges pp. 1-24 Downloads
Kurt Brännäs, Jan G. Gooijer, Lönnbark Carl and Soultanaeva Albina
The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach pp. 1-33 Downloads
Chung Y. Peter and Zhou Zhong-guo
Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty pp. 1-27 Downloads
Michael Clements
Flexible Modelling of Duration of Unemployment Using Functional Hazard Models and Penalized Splines: A Case Study Comparing Germany and the UK pp. 1-27 Downloads
Westerheide Nina and Kauermann Goeran
Asymmetric Unemployment Rate Dynamics in Australia pp. 1-22 Downloads
Gunnar Bårdsen, Stan Hurn and McHugh Zöe

Volume 15, issue 4, 2011

A Computationally Practical Robust Simulation Estimator for Dynamic Panel Tobit Models pp. 1-21 Downloads
Chang Sheng-Kai
Stages of Economic Development in an Innovation-Education Growth Model pp. 1-25 Downloads
Gómez Manuel A.
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
Constrained k-class Estimators in the Presence of Weak Instruments pp. 1-13 Downloads
Emma Iglesias
Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis pp. 1-32 Downloads
Monica Billio and Roberto Casarin

Volume 15, issue 3, 2011

Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions pp. 1-21 Downloads
Minxian Yang
Extracting the Cyclical Component in Hours Worked pp. 1-28 Downloads
Mauro Bernardi, Della Corte Giuseppe and Tommaso Proietti
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
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

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
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
Real-Time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty pp. 1-43 Downloads
Alessandro Flamini and Costas Milas

Volume 15, issue 1, 2010

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
Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency pp. 1-43 Downloads
Lee Jihyun, Kim Tong S and Lee Hoe Kyung
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
Testing the Martingale Property of Exchange Rates: A Replication pp. 1-19 Downloads
Jorge Belaire-Franch and Contreras Dulce
Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach pp. 1-29 Downloads
Alicia Pérez-Alonso and Silvestro Di Sanzo
Page updated 2016-10-25