EconPapers    
Economics at your fingertips  
 

Studies in Nonlinear Dynamics & Econometrics

1996 - 2017

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 17, issue 5, 2013

Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information? pp. 483-498 Downloads
James Morley, Jeremy Piger and Pao-Lin Tien
Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns pp. 499-520 Downloads
Jouchi Nakajima
Regimes and long memory in realized volatility pp. 521-549 Downloads
Goldman Elena, Nam Jouahn, Tsurumi Hiroki and Wang Jun
Estimating C-CAPM and the equity premium over the frequency domain pp. 551-571 Downloads
Sarantis Kalyvitis and Ekaterini Panopoulou
Determining the number of global and country-specific factors in the euro area pp. 573-617 Downloads
Dias Francisco, António Rua and Maximiano Pinheiro
A maximum score test for binary response models pp. 619-639 Downloads
Mayer Walter J. and Wu Chen

Volume 17, issue 4, 2013

Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models pp. 345-372 Downloads
Martin Burda and John Maheu
Off-the-record target zones: theory with an application to Hong Kong’s currency board pp. 373-393 Downloads
Yu-Fu Chen, Michael Funke and Nicole Glanemann
Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product pp. 395-420 Downloads
Arora Siddharth, Little Max A. and Patrick McSharry
Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH pp. 421-438 Downloads
Niu Wei-Fang
A value-at-risk analysis of carry trades using skew-GARCH models pp. 439-459 Downloads
Wang Yu-Jen, Chung Huimin and Guo Jia-Hau
Income taxes and endogenous fluctuations: a generalization pp. 461-482 Downloads
Gokan Yoichi

Volume 17, issue 3, 2013

The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations pp. 239-249 Downloads
Stefan Reitz and Taylor Mark P.
Common large innovations across nonlinear time series pp. 251-263 Downloads
Philip Hans Franses and Richard Paap
The forward rate premium puzzle: a case of misspecification? pp. 265-279 Downloads
Stephen Hall, Amangeldi Kenjegaliev, Swamy P. A. V. B. and George Tavlas
A smooth transition long-memory model pp. 281-296 Downloads
Marcel Aloy, Tong Charles Lai, Anne Peguin-Feissolle and Gilles Dufrénot
Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study pp. 297-312 Downloads
Efthymios Pavlidis, Ivan Paya and David Peel
Threshold linkages between volatility and trading volume: evidence from developed and emerging markets pp. 313-333 Downloads
Fredj Jawadi and Ureche-Rangau Loredana
Inventory investment and the business cycle: the usual suspect pp. 335-343 Downloads
Frédérique Bec and Melika Ben Salem

Volume 17, issue 2, 2013

Stochastically weighted average conditional moment tests of functional form pp. 121-139 Downloads
Jonathan Hill
Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico pp. 141-165 Downloads
Luiz de Mello, Diego Moccero and Matteo Mogliani
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data pp. 167-177 Downloads
Beck Alexander, Kim Young Shin Aaron, Rachev Svetlozar, Feindt Michael and Frank Fabozzi
Quasi-maximum likelihood estimation of multivariate diffusions pp. 179-197 Downloads
Huang Xiao
Time-varying cointegration, identification, and cointegration spaces pp. 199-209 Downloads
Luis Martins and Vasco Gabriel
Noncausality and asset pricing pp. 211-220 Downloads
Matthijs Lof
State space Markov switching models using wavelets pp. 221-238 Downloads
Alencar Airlane P., Morettin Pedro A. and Toloi Clelia M.C.

Volume 17, issue 1, 2013

Forecast uncertainty and the Bank of England’s interest rate decisions pp. 1-20 Downloads
Guido Schultefrankenfeld
A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series pp. 21-46 Downloads
Christian Brownlees and Vannucci Marina
Learning under signal-to-noise ratio uncertainty pp. 47-83 Downloads
Ilek Alex
Using transfer entropy to measure information flows between financial markets pp. 85-102 Downloads
Dimpfl Thomas and Peter Franziska Julia
Computational aspects of portfolio risk estimation in volatile markets: a survey pp. 103-120 Downloads
Frank Fabozzi, Stoyanov Stoyan V. and Rachev Svetlozar T.

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
Predicting Stock Returns Using a Variable Order Markov Tree Model pp. 1-33 Downloads
Shmilovici Armin and Ben-Gal Irad
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
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

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

Volume 16, issue 3, 2012

A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis pp. 1-24 Downloads
Meinl Thomas and Edward Sun
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
Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models pp. 1-33 Downloads
Esther Ruiz and Pérez Ana
A New Forecasting Model for USD/CNY Exchange Rate pp. 1-20 Downloads
Zongwu Cai, Chen Linna and Ying Fang
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences pp. 1-39 Downloads
Martinez Oscar and Jose Olmo

Volume 16, issue 2, 2012

How Much Should a Nation Save? A New Answer pp. 1-36 Downloads
Olivier de La Grandville
Introduction to the Current Issue pp. 1-1 Downloads
Giuseppe De Arcangelis and Enrico Saltari
The Macrodynamics of External Overborrowing and Systemic Instability in a Small Open Economy pp. 1-27 Downloads
Bernardo Maggi, Eleonora Cavallaro and Marcella Mulino
Expectations Dynamics: Policy, Announcements and Limits to Dynamic Inconsistency pp. 1-25 Downloads
Andrew Hughes Hallett, Nicola Acocella and Giovanni Di Bartolomeo
Continuous-Tme Econometrics of Structural Models pp. 1-28 Downloads
Wymer Clifford R.
Economic Stability and the Choice of the Target Inflation Index pp. 1-37 Downloads
Alessandro Flamini
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
The Convergence of Economic Developments pp. 1-23 Downloads
Caputo Michele

Volume 16, issue 1, 2012

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
Band-Limited Stochastic Processes in Discrete and Continuous Time pp. 1-29 Downloads
David Pollock
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
Page updated 2017-08-19