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Studies in Nonlinear Dynamics & Econometrics

1996 - 2016

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
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.
Early Detection Techniques for Market Risk Failure pp. 1-55 Downloads
Jose Olmo and William Pouliot
A Computationally Practical Robust Simulation Estimator for Dynamic Panel Tobit Models pp. 1-21 Downloads
Chang Sheng-Kai

Volume 15, issue 3, 2011

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
Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions pp. 1-21 Downloads
Minxian Yang
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

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

Volume 15, issue 1, 2010

Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency pp. 1-43 Downloads
Lee Jihyun, Kim Tong S and Lee Hoe Kyung
Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach pp. 1-29 Downloads
Alicia Pérez-Alonso and Silvestro Di Sanzo
Spurious Regressions of Stationary AR(p) Processes with Structural Breaks pp. 1-25 Downloads
Ba Chu and Roman Kozhan
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
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

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

Volume 14, issue 3, 2010

An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns pp. 1-23 Downloads
Herrmann Klaus and Fischer Matthias
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
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
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

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
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
Estimating the Term Premium by a Markov Switching Model with ARMA-GARCH Errors pp. 1-20 Downloads
Byoung Hark Yoo
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
Testing for Asymmetric Dependence pp. 1-32 Downloads
Manner Hans

Volume 14, issue 1, 2009

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
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

Volume 13, issue 4, 2009

Changes in U.S. Inflation Persistence pp. 1-23 Downloads
Kang Kyu Ho, Chang-Jin Kim and James Morley
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
A Non-Parametric Investigation of Risk Premia pp. 1-52 Downloads
Chiara Peroni
Threshold Effects of Dismissal Protection Regulation and the Emergence of Temporary Work Agencies pp. 1-29 Downloads
Yu-Fu Chen and Michael Funke

Volume 13, issue 3, 2009

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

Volume 13, issue 2, 2009

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
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
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

Volume 13, issue 1, 2009

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
The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing pp. 1-24 Downloads
Edward 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
Page updated 2016-09-30