Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 29, issue 1, 2025

Power of Unit Root Tests Against Nonlinear and Noncausal Alternatives with an Application to the Brent Crude Oil Price pp. 1-18

Bec Frédérique, Guay Alain, Nielsen Heino Bohn and Saïdi Sarra

Financial Condition Indices in an Incomplete Data Environment pp. 19-38

Herculano Miguel C. and Punnoose Jacob

Investigating the Impact of Consumption Distribution on CRRA Estimation: Quantile-CCAPM-Based Approach pp. 39-52

Ramos Sofia B., Taamouti Abderrahim and Veiga Helena

Controlling Chaotic Fluctuations through Monetary Policy pp. 53-69

Asano Takao, Akihisa Shibata and Yokoo Masanori

Information Content of Inflation Expectations: A Copula-Based Model pp. 71-93

Ardakani Omid M.

Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter pp. 95-128

Szabolcs Blazsek, Jörding August and Rai Simran

Volume 28, issue 5, 2024

Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros pp. 673-702

Blasques Francisco, Holý Vladimír and Tomanová Petra

Investor Sentiment Mining Based on Bi-LSTM Model and its Impact on Stock Price Bubbles pp. 703-724

Yin Haiyuan and Yang Qingsong

Should You Use GARCH Models for Forecasting Volatility? A Comparison to GRU Neural Networks pp. 725-738

Pallotta Alberto and Ciciretti Vito

Determination of the Number of Breaks in High-Dimensional Factor Models via Cross-Validation pp. 739-750

Zhou Ruichao, Wang Lu and Wu Jianhong

Artificial Neural Networks and Time Series of Counts: A Class of Nonlinear INGARCH Models pp. 751-765

Jahn Malte

Commitment Issues: Does the Fed Have an Inflation Incentive to Commit? pp. 767-784

C. Scott

Volatility Forecasting Using Quasi-Score-Driven Models with an Application to the Coronavirus Pandemic Period pp. 785-805

Astrid Ayala, Szabolcs Blazsek and Licht Adrian

Volume 28, issue 4, 2024

Age and gender differentials in unemployment and hysteresis pp. 567-581

Amy Guisinger, Jackson Laura E. and Michael Owyang

Estimation and testing of the factor-augmented panel regression models with missing data pp. 583-604

Xiao Difa, Wang Lu and Wu Jianhong

Multi-kernel property in high-frequency price dynamics under Hawkes model pp. 605-624

Lee Kyungsub

Causal relationships between cryptocurrencies: the effects of sampling interval and sample size pp. 625-644

Köse Nezir and Ünal Emre

Panel threshold model with covariate-dependent thresholds and its application to the cash flow/investment relationship pp. 645-659

Yang Lixiong

HPX filter: a hybrid of Hodrick–Prescott filter and multiple regression pp. 661-671

Yamada Hiroshi

Volume 28, issue 3, 2024

Welfare cost of inflation, when credit card transaction services are included among monetary services pp. 463-479

William Barnett and Park Sohee

Co-Jumping of Treasury Yield Curve Rates pp. 481-506

Jozef Baruník and Fišer Pavel

Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis pp. 507-530

Karol Szafranek and Michał Rubaszek

Stability in Threshold VAR Models pp. 531-544

Chen Pu and Semmler Willi

Examining the Impact of Energy Policies on CO2 Emissions with Information and Communication Technologies and Renewable Energy pp. 545-552

Xue Mei, Mihai Daniela, Brutu Madalina, Popescu Luigi, Sinisi Crenguta Ileana, Bansal Ajay, Mohammad Mady A. A., Muhammad Taseer and Shabbir Malik Shahzad

Interfuel Substitution and Inflation Dynamics in India pp. 553-566

Sengupta Anirban, Apostolos Serletis and Xu Libo

Volume 28, issue 2, 2024

Editorial Introduction of the Special Issue of Studies in Nonlinear Dynamics and Econometrics in Honor of Herman van Dijk pp. 151-153

Gary Koop, Dimitris Korobilis and Ravazzolo Francesco

Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View pp. 155-176

Herman van Dijk

Markov-Switching Models with Unknown Error Distributions: Identification and Inference Within the Bayesian Framework pp. 177-199

Hwu Shih-Tang and Kim Chang-Jin

Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods pp. 201-225

Hauzenberger Niko, Florian Huber and Gary Koop

Matrix autoregressive models: generalization and Bayesian estimation pp. 227-248

Celani Alessandro and Pagnottoni Paolo

Sequential Monte Carlo with model tempering pp. 249-269

Mlikota Marko and Schorfheide Frank

Modeling Corporate CDS Spreads Using Markov Switching Regressions pp. 271-292

Baltodano López Ovielt, Bulfone Giacomo, Roberto Casarin and Ravazzolo Francesco

Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis pp. 293-317

Tony Chernis

Bayesian inference for non-anonymous growth incidence curves using Bernstein polynomials: an application to academic wage dynamics pp. 319-336

Edwin Fourrier-Nicolaï and Michel Lubrano

Bayesian Reconciliation of Return Predictability pp. 337-378

Koval Borys, Frühwirth-Schnatter Sylvia and Sögner Leopold

A Dynamic Latent-Space Model for Asset Clustering pp. 379-402

Roberto Casarin and Peruzzi Antonio

Posterior Manifolds over Prior Parameter Regions: Beyond Pointwise Sensitivity Assessments for Posterior Statistics from MCMC Inference pp. 403-434

Jacobi Liana, Kwok Chun Fung, Ramírez-Hassan Andrés and Nghiem Nhung

Bayesian Flexible Local Projections pp. 435-462

Luca Brugnolini, Catania Leopoldo, Hansen Pernille and Santucci de Magistris Paolo

Volume 28, issue 1, 2024

Bayesian VARs and prior calibration in times of COVID-19 pp. 1-24

Hartwig Benny

On testing for bubbles during hyperinflations pp. 25-37

Rubens Morita, Zacharias Psaradakis, Martin Sola and Yunis Patricio

Estimating uncertainty spillover effects across euro area using a regime dependent VAR model pp. 39-59

Angelini Giovanni, Costantini Mauro and Easaw Joshy

Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility pp. 61-82

Szabolcs Blazsek, Alvaro Escribano and Licht Adrian

High dimensional threshold model with a time-varying threshold based on Fourier approximation pp. 83-117

Yang Lixiong

Volatility and dependence in cryptocurrency and financial markets: a copula approach pp. 119-149

Liu Jinan and Apostolos Serletis

Volume 27, issue 5, 2023

Analysis of heterogeneous duopoly game with information asymmetry based on extrapolative mechanism pp. 635-648

Yuan Jing and Zhu Jianjun

Modelling volatility dependence with score copula models pp. 649-668

Alanya-Beltran Willy

A new test for non-linear hypotheses under distributional and local parametric misspecification pp. 669-685

Bera Anil K., Doğan Osman and Taşpınar Süleyman

Optimization study of momentum investment strategies under asymmetric power-law distribution of return rate pp. 687-704

Wu Xu, Wang Kun, Zhang Linlin and Peng Chong

Comparison of Score-Driven Equity-Gold Portfolios During the COVID-19 Pandemic Using Model Confidence Sets pp. 705-731

Astrid Ayala, Szabolcs Blazsek and Licht Adrian

Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging pp. 733-763

Vitali Alexeev, Chen Jun and Ignatieva Katja

Volume 27, issue 4, 2023

Approximate Bayesian inference for agent-based models in economics: a case study pp. 423-447

Lux Thomas

Anticipating extreme losses using score-driven shape filters pp. 449-484

Astrid Ayala, Szabolcs Blazsek and Alvaro Escribano

Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective pp. 485-518

Ghaemi Asl Mahdi, Canarella Giorgio, Stephen Miller and Tavakkoli Hamid Reza

The impact of forward guidance and large-scale asset purchase programs on commodity markets pp. 519-551

Pedro Gomis-Porqueras, Shuddhasattwa Rafiq and Wenying Yao

Middle-income traps and complexity in economic development pp. 553-565

Asano Takao, Akihisa Shibata and Yokoo Masanori

Bayesian inference for order determination of double threshold variables autoregressive models pp. 567-587

Zheng Xiaobing, Xia Qiang and Liang Rubing

Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution pp. 589-634

Szabolcs Blazsek and Haddad Michel Ferreira Cardia

Volume 27, issue 3, 2023

On determination of the number of factors in an approximate factor model pp. 285-298

Liu Jinshan, Pan Jiazhu, Xia Qiang and Xiao Li

Clean energy consumption and economic growth in China: a time-varying analysis pp. 299-313

Pejman Bahramian, Saliminezhad Andisheh and Fethi Sami

Panel data models with two threshold variables pp. 315-333

Lamadrid-Contreras Arturo and Nelson R. Ramírez-Rondán

What will drive global economic growth in the digital age? pp. 335-354

Jakub Growiec

On the nonlinear relationships between shadow economy and the three pillars of sustainable development: new evidence from panel threshold analysis pp. 355-375

Saafi Sami, Nouira Ridha and Assidi Nadia

Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations pp. 377-395

Pan Jiazhu and He Yali

Stock price prediction using multi-scale nonlinear ensemble of deep learning and evolutionary weighted support vector regression pp. 397-421

Wang Jujie, Zhuang Zhenzhen, Gao Dongming, Li Yang and Feng Liu

Volume 27, issue 2, 2023

Asymmetry in stochastic volatility models with threshold and time-dependent correlation pp. 131-146

Schäfers Torben and Teng Long

Financial crisis spread, economic growth and unemployment: a mathematical model pp. 147-170

Tadmon Calvin and Njike Tchaptchet Eric Rostand

Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects pp. 171-198

Ioannis Papantonis, Rompolis Leonidas S., Elias Tzavalis and Agapitos Orestis

Unrestricted, restricted, and regularized models for forecasting multivariate volatility pp. 199-218

Stanislav Anatolyev and Staněk Filip

Controlling chaos in New Keynesian macroeconomics pp. 219-236

William Barnett, Bella Giovanni, Taniya Ghosh, Mattana Paolo and Venturi Beatrice

Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions pp. 237-264

Szabolcs Blazsek, Blazsek Virag and Kobor Adam

Expected, unexpected, good and bad aggregate uncertainty pp. 265-284

Jorge Uribe and Helena Chuliá

Volume 27, issue 1, 2023

Estimation and forecasting of long memory stochastic volatility models pp. 1-24

Abbara Omar and Mauricio Zevallos

Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data pp. 25-47

Gkillas Konstantinos, Rangan Gupta and Vortelinos Dimitrios I.

Bidirectional volatility transmission between stocks and bond in East Asia – The quantile estimates based on wavelets pp. 49-65

Živkov Dejan, Kovačević Jelena, Stankov Biljana and Stefanović Zoran

A threshold model for the spread pp. 67-82

Dimitris Hatzinikolaou and Sarigiannidis Georgios

A Gini estimator for regression with autocorrelated errors pp. 83-95

Ka Ndéné and Stéphane Mussard

State price density estimation with an application to the recovery theorem pp. 97-115

Sanford Anthony

Testing for random coefficient autoregressive and stochastic unit root models pp. 117-129

Nagakura Daisuke