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Studies in Nonlinear Dynamics & Econometrics

1996 - 2015

Current editor(s): Bruce Mizrach

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

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

Volume 14, issue 3, 2010

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

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
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
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

Volume 14, issue 1, 2009

On Justifications for the ad hoc Black-Scholes Method of Option Pricing pp. 1-27 Downloads
Berkowitz Jeremy
The Sticky Information Macro Model: Beyond Perfect Foresight pp. 1-37 Downloads
Orlando Gomes
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
Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated Innovations pp. 1-31 Downloads
Tara Sinclair
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

Volume 13, issue 4, 2009

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
Threshold Effects of Dismissal Protection Regulation and the Emergence of Temporary Work Agencies pp. 1-29 Downloads
Yu-Fu Chen and Michael Funke
Changes in U.S. Inflation Persistence pp. 1-23 Downloads
Kang Kyu Ho, Chang-Jin Kim and James Morley
A Non-Parametric Investigation of Risk Premia pp. 1-52 Downloads
Chiara Peroni
Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates pp. 1-25 Downloads
Herwartz Helmut and Roestel Jan

Volume 13, issue 3, 2009

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

Volume 13, issue 2, 2009

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
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
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

Volume 13, issue 1, 2009

Modelling Good and Bad Volatility pp. 1-20 Downloads
Matteo Pelagatti
(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
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

Volume 12, issue 4, 2008

Happiness due to Consumption and its Increases, Wealth and Status pp. 1-34 Downloads
Franz Wirl, Novak Andreas J. and Hof Franz X.
The Consumption-Wealth Ratio under Asymmetric Adjustment pp. 1-32 Downloads
Vasco Gabriel, Fernando Alexandre and Pedro Bação
Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life pp. 1-31 Downloads
Lo Ming Chien
The Nonlinear Dynamics of Foreign Reserves and Currency Crises pp. 1-18 Downloads
Terence Tai Leung Chong, Qing He and Melvin Hinich
The Dynamics of Mutual Funds and Market Timing Measurement pp. 1-37 Downloads
Matallin-Saez Juan Carlos
Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components pp. 1-35 Downloads
Juan Dolado, Jesus Gonzalo and Mayoral Laura

Volume 12, issue 3, 2008

Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry pp. 1-18 Downloads
Philip Rothman
Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths pp. 1-29 Downloads
Hultblad Brigitta and Sune Karlsson
A Powerful Test for Linearity When the Order of Integration is Unknown pp. 1-24 Downloads
Harvey David, Leybourne Stephen J and Xiao Bin
Is the Backward-Looking Component Important in a New Keynesian Phillips Curve? pp. 1-20 Downloads
Chang-Jin Kim and Kim Yunmi
Threshold Adjustment of Deviations from the Law of One Price pp. 1-46 Downloads
Luciana Juvenal and Mark Taylor
Markov-Switching GARCH Modelling of Value-at-Risk pp. 1-31 Downloads
Sajjad Rasoul, Jerry Coakley and Nankervis John C
Optimal Test for Markov Switching GARCH Models pp. 1-27 Downloads
Hu Liang and Yongcheol Shin
Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models? pp. 1-11 Downloads
Clive Granger

Volume 12, issue 2, 2008

Unemployment and Economic Growth Cycles pp. 1-21 Downloads
Roa Maria J, Vazquez Francisco Jose and Saura Dulce
Option Valuation with Normal Mixture GARCH Models pp. 1-42 Downloads
Badescu Alex, Kulperger Reg and Lazar Emese
Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps pp. 1-25 Downloads
Wing Chan
On the Robustness of Symmetry Tests for Stock Returns pp. 1-40 Downloads
Chen Yi-Ting and Lin Chang-Ching
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market pp. 1-37 Downloads
Edward Sun, Rachev Svetlozar, Stoyanov Stoyan V. and Frank Fabozzi
A Video Interview with James Hamilton pp. 1-5 Downloads
Bruce Mizrach

Volume 12, issue 1, 2008

Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle pp. 1-39 Downloads
Mohitosh Kejriwal
Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics pp. 1-18 Downloads
Travis Nesmith and Barry Jones
Rank-based Entropy Tests for Serial Independence pp. 1-21 Downloads
Cees Diks and Valentyn Panchenko
Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem pp. 1-21 Downloads
Maringer Dietmar G. and Meyer Mark
Modelling Autoregressive Processes with a Shifting Mean pp. 1-28 Downloads
Andres Gonzalez and Timo Teräsvirta
Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series pp. 1-26 Downloads
Kugiumtzis Dimitris
Page updated 2015-09-03