Studies in Nonlinear Dynamics & Econometrics
1996 - 2025
Current editor(s): Bruce Mizrach From De Gruyter Bibliographic data for series maintained by Peter Golla (). Access Statistics for this journal.
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Volume 29, issue 2, 2025
- Multiscale SUR Estimation of Systematic Risk pp. 129-145

- Michis Antonis A.
- A Simulation and Empirical Study of the Maximum Likelihood Estimator for Stochastic Volatility Jump-Diffusion Models pp. 147-175

- 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

- Blazsek Szabolcs, Licht Adrian, Ayala Astrid and Liu Su-Ping
- Diversified Reward-Risk Parity in Portfolio Construction pp. 213-233

- Choi Jaehyung, Kim Hyangju and Kim Young Shin
- Time-Varying Parameter Four-Equation DSGE Model pp. 235-246

- Gupta Rangan and Sun Xiaojin
- Does State Dependence Matter in Relation to Oil Price Shocks on Global Economic Conditions? pp. 247-264

- 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

- 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
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