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Studies in Nonlinear Dynamics & Econometrics

1996 - 2016

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 16, issue 5, 2012

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
Estimation of a Nonlinear Taylor Rule Using Real-Time U.S. Data pp. 1-26 Downloads
Jean-Francois Lamarche and Koustasy Zisimos
Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications pp. 1-37 Downloads
Emre Yoldas
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

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
The Fiscal Cost of Financial Instability pp. 1-29 Downloads
Carl Chiarella and Corrado Di Guilmi
Asset Pricing with Heterogeneous Investment Horizons pp. 1-38 Downloads
Mikhail Anufriev and Giulio Bottazzi
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
Introduction to the Current Issue pp. 1-1 Downloads
Lines Marji, Manzan Sebastiano and Frank Westerhoff
Microfounded Animal Spirits in the New Macroeconomic Consensus pp. 1-41 Downloads
Franke Reiner
Identification of Interaction Effects in Survey Expectations: A Cautionary Note pp. 1-23 Downloads
Simone Alfarano and Mishael Milaković

Volume 16, issue 3, 2012

A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences pp. 1-39 Downloads
Martinez Oscar and Jose Olmo
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 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
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

Introduction to the Current Issue pp. 1-1 Downloads
Giuseppe De Arcangelis and Enrico Saltari
Expectations Dynamics: Policy, Announcements and Limits to Dynamic Inconsistency pp. 1-25 Downloads
Andrew Hughes Hallett, Nicola Acocella and Giovanni Di Bartolomeo
The Convergence of Economic Developments pp. 1-23 Downloads
Caputo Michele
The Macrodynamics of External Overborrowing and Systemic Instability in a Small Open Economy pp. 1-27 Downloads
Bernardo Maggi, Eleonora Cavallaro and Marcella Mulino
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies pp. 1-38 Downloads
Carl Chiarella, Peter Flaschel, Köper Carsten, Christian Proaño and Willi Semmler
How Much Should a Nation Save? A New Answer pp. 1-36 Downloads
Olivier de La Grandville
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
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

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
Band-Limited Stochastic Processes in Discrete and Continuous Time pp. 1-29 Downloads
David Pollock
Asymmetric Unemployment Rate Dynamics in Australia pp. 1-22 Downloads
Gunnar Bårdsen, Stan Hurn and McHugh Zöe
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

Volume 15, issue 4, 2011

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

Volume 15, issue 3, 2011

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
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
Purchasing Power Parity Analyzed from a Continuous-Time Model pp. 1-26 Downloads
Nicolau João

Volume 15, issue 2, 2011

Alternative Estimators of Long-Range Dependence pp. 1-37 Downloads
Viviana Fernandez
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
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

Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach pp. 1-29 Downloads
Alicia Pérez-Alonso and Silvestro Di Sanzo
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
Testing the Martingale Property of Exchange Rates: A Replication pp. 1-19 Downloads
Jorge Belaire-Franch and Contreras Dulce
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
Spurious Regressions of Stationary AR(p) Processes with Structural Breaks pp. 1-25 Downloads
Ba Chu and Roman Kozhan
Page updated 2016-12-02