Studies in Nonlinear Dynamics & Econometrics

1996 - 2012

from Berkeley Electronic Press
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Volume 2, issue 4, 1998

Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods pp. 1

John C. Chao and Chaoshin Chiao

Forecasting Exchange Rates Using Neural Networks for Technical Trading Rules pp. 2

Philip Hans Franses and Kasper van Griensven

Early News is Good News: The Effects of Market Opening on Market Volatility pp. 3

Giampiero M. Gallo and Barbara Pacini

GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model pp. 4

Eric Ghysels and Joann Jasiak

The Current Depth-of-Recession and Unemployment-Rate Forecasts pp. 5

Randall E. Parker and Philip Rothman

Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets pp. 6

Tian Zeng and Norman Rasmus Swanson

Volume 2, issue 3, 1997

Nonlinearity and Endogeneity in Macro-Asset Pricing pp. 1

Craig Hiemstra and Charles Kramer

EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments pp. al1

Pieter Jelle van der Sluis

Volume 2, issue 2, 1997

Technical Trading Rules and the Size of the Risk Premium in Security Returns pp. 1

Ramazan Gencay and Thanasis Stengos

Finite Sample Properties of the Efficient Method of Moments pp. 2

Romulo Chumacero

A Fast Algorithm for the BDS Statistic pp. al1

Blake Lebaron

Volume 2, issue 1, 1997

Inference in TAR Models pp. 1

Bruce E. Hansen

Investigating Cyclical Asymmetries pp. 2

Randal John Verbrugge

Volume 1, issue 4, 1997

Endogenous Cycles in Competitive Models: An Overview pp. 1

Pietro Reichlin

A Nonlinear Analysis of Forward Premium and Volatility pp. 2

Chiente Hsu and Peter Kugler

FORTRAN Programs for Running the TR Test: A Guide and Examples pp. al1

Philip Rothman

Volume 1, issue 3, 1996

Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances pp. 1

Jeong-Ryeol Kim, Stefan Mittnik and Svetlozar T. Rachev

The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms pp. 2

Ramazan Gencay and W. Davis Dechert

Tests for Nonlinearity in EMS Exchange Rates pp. 3

Jon R. Vilasuso and Steven Ray Cunningham

SIMANN: A Global Optimization Algorithm using Simulated Annealing pp. al1

William L. Goffe

Volume 1, issue 2, 1996

If Nonlinear Models Cannot Forecast, What Use Are They? pp. 1

James B. Ramsey

A Random Walk or Color Chaos on the Stock Market? Time-Frequency Analysis of S&P Indexes pp. 2

Ping Chen

Saddle Path Stability, Fluctuations, and Indeterminacy in Economic Growth pp. 3

Alfred Greiner and Willi Semmler

A Kernel Test for Neglected Nonlinearity pp. 4

Ralph Bradley and Robert McClelland

Volume 1, issue 1, 1996

On Cycles and Chaos in Economics pp. 1

Jess Benhabib

Power Properties of Linearity Tests for Time Series pp. 2

Timo Teräsvirta

Optimal Cycles and Chaos: A Survey pp. 3

Kazuo Nishimura and Gerhard Sorger

Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code pp. al1

Jón Daníelsson

Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data pp. da1

Norman Rasmus Swanson

A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle pp. re1

Michael D. Boldin