Studies in Nonlinear Dynamics & Econometrics

1996 - 2018

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 22, issue 4, 2018

A New Method for Specifying the Tuning Parameter of ℓ1 Trend Filtering pp. 8

Yamada Hiroshi

Market concentration and market power of the Swedish mortgage Sector – a wavelet panel efficiency analysis pp. 16

Månsson Kristofer, Sjölander Pär and Shukur Ghazi

The Rescaled VAR Model with an Application to Mixed-Frequency Macroeconomic Forecasting pp. 16

Andrea Giusto and İşcan Talan B.

Bayesian Subset Selection for Two-Threshold Variable Autoregressive Models pp. 16

Ni Shuxia, Xia Qiang and Liu Jinshan

A hidden Markov regime-switching smooth transition model pp. 21

Elliott Robert J., Siu Tak Kuen and Lau John W.

Volume 22, issue 3, 2018

A simple solution of the spurious regression problem pp. 14

Wang Cindy Shin-Huei and Christian Hafner

Local/import – and foreign currency prices: inflation, uncertainty and pass through endogeneity pp. 17

Herwartz Helmut and Roestel Jan

Regime switching with structural breaks in output convergence pp. 17

Beylunioğlu Fuat C., Yazgan M. Ege and Thanasis Stengos

A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns pp. 27

Markus Haas and Liu Ji-Chun

Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications pp. 29

Phillip Andrew, Chan Jennifer S.K. and Peiris Shelton

Volume 22, issue 2, 2018

The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach pp. 8

Efthymios Pavlidis and Tsionas Mike

Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models pp. 15

Chow Sheung-Chi, Cunado Juncal, Rangan Gupta and Wing-Keung Wong

Estimation and inference of threshold regression models with measurement errors pp. 16

Terence Tai Leung Chong, Chen Haiqiang, Tsz-Nga Wong and Yan Isabel Kit-Ming

Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and granger causality tests pp. 16

Tipoy Christian K., Marthinus Breitenbach and Zerihun Mulatu F.

Uncertainty in the housing market: evidence from US states pp. 17

Christidou Maria and Stilianos Fountas

Markov-switching quantile autoregression: a Gibbs sampling approach

Xiaochun Liu and Richard Luger

Volume 22, issue 1, 2018

Introduction: Special Issue Honoring the Contributions of Walter Enders pp. 2

Junsoo Lee and Ma Jun

Time-varying correlations and Sharpe ratios during quantitative easing pp. 11

Jones Paul M. and O’Steen Haley

Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples pp. 11

Luiggi Donayre, Yunjong Eo and James Morley

Nonlinear Taylor rules: evidence from a large dataset pp. 14

Ma Jun, Eric Olson and Mark Wohar

Evaluating the impact of the labor market conditions index on labor market forecasts pp. 17

Connolly Laura and Sheehan Alice

Flexible Fourier form for volatility breaks pp. 19

Li Jing and Enders Walte

Nonlinear evidence on the existence of jobless recoveries pp. 19

Bradley Michael D. and Dennis Jansen

Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics pp. 19

Ardakani Omid M. and N Kishor

Public debt and economic growth conundrum: nonlinearity and inter-temporal relationship pp. 20

Vladimir Arčabić, Josip Tica, Junsoo Lee and Robert Sonora

Testing for a unit root against ESTAR stationarity pp. 29

David Harvey, Stephen Leybourne and Emily Whitehouse

Volume 21, issue 5, 2017

On the determinants of the 2008 financial crisis: a Bayesian approach to the selection of groups and variables pp. 17

Chen Ray-Bing, Lee Kuo-Jung, Chen Yi-Chi and Chu Chi-Hsiang

A new recognition algorithm for “head-and-shoulders” price patterns pp. 18

Terence Tai Leung Chong and Poon Ka-Ho

Generating prediction bands for path forecasts from SETAR models pp. 18

Grabowski Daniel, Peter Winker and Anna Staszewska-Bystrova

Multi-level factor analysis of bond risk premia pp. 19

Dukpa Kim, Yunjung Kim and Bak Yuhyeon

Interest rate pass-through: a nonlinear vector error-correction approach pp. 20

Michal Popiel

Volume 21, issue 4, 2017

Using the hybrid Phillips curve with memory to forecast US inflation pp. 16

Chu Shiou-Yen and Shane Christopher

Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models pp. 18

Reusens Peter and Croux Christophe

Time-varying persistence of inflation: evidence from a wavelet-based approach pp. 18

Boubaker Heni, Giorgio Canarella, Stephen Miller and Rangan Gupta

The reaction of stock market returns to unemployment pp. 20

Jesus Gonzalo and Taamouti Abderrahim

Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries pp. 21

Juan Cuestas and Bo Tang

Nonstationary autoregressive conditional duration models pp. 22

Mishra Anuj and Ramanathan Thekke Variyam

Volume 21, issue 3, 2017

Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach pp. 12

Stelios Bekiros, Muzaffar Ahmed T., Uddin Gazi S. and Vidal-García Javier

Detecting capital market convergence clubs pp. 14

Beylunioglu Fuat C., Thanasis Stengos and Ege Yazgan

VEC-MSF models in Bayesian analysis of short- and long-run relationships pp. 22

Anna Pajor and Justyna Wróblewska

Estimation of long memory in volatility using wavelets pp. 22

Kraicová Lucie and Jozef Baruník

Changes in persistence, spurious regressions and the Fisher hypothesis pp. 28

Kruse Robinson, Daniel Ventosa-Santaulària and Noriega Antonio E.

Volume 21, issue 2, 2017

Macroeconomic (in)stability and endogenous market structure with productive government expenditure pp. 16

Chang Cheng-Wei and Ching-chong Lai

Time elements and oscillatory fluctuations in the Keynesian macroeconomic system pp. 22

Hiroki Murakami

A Markov-switching regression model with non-Gaussian innovations: estimation and testing pp. 22

Luca De Angelis and Viroli Cinzia

Semi-global solutions to DSGE models: perturbation around a deterministic path pp. 28

Viktors Ajevskis

Forecast accuracy of a BVAR under alternative specifications of the zero lower bound pp. 29

Tim Berg

Volume 21, issue 1, 2017

Introduction: recent developments of switching models for financial data pp. 1-2

Gilles Dufrénot and Fredj Jawadi

On the estimation of regime-switching Lévy models pp. 3-29

Julien Chevallier and Stéphane Goutte

RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis pp. 31-45

Meng Ming, Junsoo Lee and James Payne

Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach pp. 47-63

Chlibi Souhir, Fredj Jawadi and Sellami Mohamed

Specification analysis in regime-switching continuous-time diffusion models for market volatility pp. 65-80

Bu Ruijun, Cheng Jie and Hadri Kaddour

A semiparametric nonlinear quantile regression model for financial returns pp. 81-97

Krenar Avdulaj and Jozef Baruník

A model of the euro-area yield curve with discrete policy rates pp. 99-116

Jean-Paul Renne