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Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
Bibliographic data for series maintained by Peter Golla ().

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Volume 29, issue 2, 2025

Multiscale SUR Estimation of Systematic Risk pp. 129-145 Downloads
Michis Antonis A.
A Simulation and Empirical Study of the Maximum Likelihood Estimator for Stochastic Volatility Jump-Diffusion Models pp. 147-175 Downloads
Bégin Jean-François and Boudreault Mathieu
Core Inflation Rate for China and the ASEAN-10 Countries: Smoothed Signal for Score-Driven Local Level Plus Scale Models pp. 177-212 Downloads
Blazsek Szabolcs, Licht Adrian, Ayala Astrid and Liu Su-Ping
Diversified Reward-Risk Parity in Portfolio Construction pp. 213-233 Downloads
Choi Jaehyung, Kim Hyangju and Kim Young Shin
Time-Varying Parameter Four-Equation DSGE Model pp. 235-246 Downloads
Gupta Rangan and Sun Xiaojin
Does State Dependence Matter in Relation to Oil Price Shocks on Global Economic Conditions? pp. 247-264 Downloads
Dufrénot Gilles, Ginn William, Marc Pourroy and Sullivan Adam

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 Downloads
Bec Frédérique, Guay Alain, Nielsen Heino Bohn and Saïdi Sarra
Financial Condition Indices in an Incomplete Data Environment pp. 19-38 Downloads
Herculano Miguel C. and Punnoose Jacob
Investigating the Impact of Consumption Distribution on CRRA Estimation: Quantile-CCAPM-Based Approach pp. 39-52 Downloads
Ramos Sofia B., Taamouti Abderrahim and Veiga Helena
Controlling Chaotic Fluctuations through Monetary Policy pp. 53-69 Downloads
Asano Takao, Akihisa Shibata and Yokoo Masanori
Information Content of Inflation Expectations: A Copula-Based Model pp. 71-93 Downloads
Ardakani Omid M.
Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter pp. 95-128 Downloads
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 Downloads
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 Downloads
Yin Haiyuan and Yang Qingsong
Should You Use GARCH Models for Forecasting Volatility? A Comparison to GRU Neural Networks pp. 725-738 Downloads
Pallotta Alberto and Ciciretti Vito
Determination of the Number of Breaks in High-Dimensional Factor Models via Cross-Validation pp. 739-750 Downloads
Zhou Ruichao, Wang Lu and Wu Jianhong
Artificial Neural Networks and Time Series of Counts: A Class of Nonlinear INGARCH Models pp. 751-765 Downloads
Jahn Malte
Commitment Issues: Does the Fed Have an Inflation Incentive to Commit? pp. 767-784 Downloads
C. Scott
Volatility Forecasting Using Quasi-Score-Driven Models with an Application to the Coronavirus Pandemic Period pp. 785-805 Downloads
Astrid Ayala, Szabolcs Blazsek and Licht Adrian

Volume 28, issue 4, 2024

Age and gender differentials in unemployment and hysteresis pp. 567-581 Downloads
Amy Guisinger, Jackson Laura E. and Michael Owyang
Estimation and testing of the factor-augmented panel regression models with missing data pp. 583-604 Downloads
Xiao Difa, Wang Lu and Wu Jianhong
Multi-kernel property in high-frequency price dynamics under Hawkes model pp. 605-624 Downloads
Lee Kyungsub
Causal relationships between cryptocurrencies: the effects of sampling interval and sample size pp. 625-644 Downloads
Köse Nezir and Ünal Emre
Panel threshold model with covariate-dependent thresholds and its application to the cash flow/investment relationship pp. 645-659 Downloads
Yang Lixiong
HPX filter: a hybrid of Hodrick–Prescott filter and multiple regression pp. 661-671 Downloads
Yamada Hiroshi

Volume 28, issue 3, 2024

Welfare cost of inflation, when credit card transaction services are included among monetary services pp. 463-479 Downloads
William Barnett and Park Sohee
Co-Jumping of Treasury Yield Curve Rates pp. 481-506 Downloads
Jozef Baruník and Fišer Pavel
Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis pp. 507-530 Downloads
Karol Szafranek and Michał Rubaszek
Stability in Threshold VAR Models pp. 531-544 Downloads
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 Downloads
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 Downloads
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 Downloads
Gary Koop, Dimitris Korobilis and Ravazzolo Francesco
Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View pp. 155-176 Downloads
Herman van Dijk
Markov-Switching Models with Unknown Error Distributions: Identification and Inference Within the Bayesian Framework pp. 177-199 Downloads
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 Downloads
Hauzenberger Niko, Florian Huber and Gary Koop
Matrix autoregressive models: generalization and Bayesian estimation pp. 227-248 Downloads
Celani Alessandro and Pagnottoni Paolo
Sequential Monte Carlo with model tempering pp. 249-269 Downloads
Mlikota Marko and Schorfheide Frank
Modeling Corporate CDS Spreads Using Markov Switching Regressions pp. 271-292 Downloads
Baltodano López Ovielt, Bulfone Giacomo, Roberto Casarin and Ravazzolo Francesco
Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis pp. 293-317 Downloads
Tony Chernis
Bayesian inference for non-anonymous growth incidence curves using Bernstein polynomials: an application to academic wage dynamics pp. 319-336 Downloads
Edwin Fourrier-Nicolaï and Michel Lubrano
Bayesian Reconciliation of Return Predictability pp. 337-378 Downloads
Koval Borys, Frühwirth-Schnatter Sylvia and Sögner Leopold
A Dynamic Latent-Space Model for Asset Clustering pp. 379-402 Downloads
Roberto Casarin and Peruzzi Antonio
Posterior Manifolds over Prior Parameter Regions: Beyond Pointwise Sensitivity Assessments for Posterior Statistics from MCMC Inference pp. 403-434 Downloads
Jacobi Liana, Kwok Chun Fung, Ramírez-Hassan Andrés and Nghiem Nhung
Bayesian Flexible Local Projections pp. 435-462 Downloads
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 Downloads
Hartwig Benny
On testing for bubbles during hyperinflations pp. 25-37 Downloads
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 Downloads
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 Downloads
Szabolcs Blazsek, Alvaro Escribano and Licht Adrian
High dimensional threshold model with a time-varying threshold based on Fourier approximation pp. 83-117 Downloads
Yang Lixiong
Volatility and dependence in cryptocurrency and financial markets: a copula approach pp. 119-149 Downloads
Liu Jinan and Apostolos Serletis
Page updated 2025-05-22