Studies in Nonlinear Dynamics & Econometrics
1996 - 2022
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 26, issue 3, 2022
- Multivariate Markov-switching score-driven models: an application to the global crude oil market pp. 313-335

- Szabolcs Blazsek, Alvaro Escribano and Licht Adrian
- Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity pp. 337-359

- Li Mengheng and Ivan Mendieta-Muñoz
- Regulated seasonal unit root process pp. 361-385

- Eroğlu Burak Alparslan and Pehlivan Ayşe Özgür
- Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration pp. 387-415

- Yasutomo Murasawa
- Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states pp. 417-435

- Kontana Dimitra and Stilianos Fountas
- Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers–Satchell volatility measure with asymmetric bilinear CARR model pp. 437-474

- Tan Shay Kee, Chan Jennifer So Kuen and Kok Haur Ng
- The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks? pp. 475-497

- Li Leon and Francis Scrimgeour
Volume 26, issue 2, 2022
- Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach pp. 173-190

- Jules Clement Mba and Mwambetania Mwambi Sutene
- Testing for stationarity with covariates: more powerful tests with non-normal errors pp. 191-203

- Nazlioglu Saban, Lee Junsoo, Karul Cagin and You Yu
- The non-linear effects of the Fed asset purchases pp. 205-218

- Alessio Anzuini
- Multiple structural breaks in cointegrating regressions: a model selection approach pp. 219-254

- Schmidt Alexander and Schweikert Karsten
- Time-varying threshold cointegration with an application to the Fisher hypothesis pp. 257-274

- Yang Lixiong
- A new bivariate Archimedean copula with application to the evaluation of VaR pp. 273-285

- Topcu Guloksuz Cigdem and Kumar Pranesh
- The effect of price discrimination on dynamic duopoly games with bounded rationality pp. 287-311

- Song Qi-Qing, Zhang Wei-li, Jiang Yi-Rong and Geng Juan
Volume 26, issue 1, 2022
- Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models pp. 1-24

- Kaldorf Matthias and Dominik Wied
- Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries pp. 25-34

- Jaiswal Shivam, Anoop Chaturvedi and Muhammad Bhatti
- Openness-inflation Nexus in alternative monetary regimes pp. 35-53

- Lin Pei-Chien, Huang Ho-Chuan and Liu Xiaojian
- Bayesian bandwidth estimation for local linear fitting in nonparametric regression models pp. 55-71

- Han Lin Shang and Zhang Xibin
- Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data pp. 73-98

- Segnon Mawuli, Bernd Wilfling, Chi Keung Lau and Rangan Gupta
- Choosing between identification schemes in noisy-news models pp. 99-136

- Joshua Chan, Eric Eisenstat and Koop Gary
- Hysteresis and sources of aggregate employment inertia pp. 137-154

- Mota Paulo R. and Vasconcelos Paulo B.
- Asymmetric dynamics between uncertainty and unemployment flows in the United States pp. 155-172

- Ahmed Ali, Granberg Mark, Gazi Uddin and Victor Troster
Volume 25, issue 5, 2021
- Recovering cointegration via wavelets in the presence of non-linear patterns pp. 255-265

- Martínez Compains Jorge, Gençay Ramazan, Rodríguez Carreño Ignacio, Trani Tommaso and Ramos Vilardell Daniel
- Buffered vector error-correction models: an application to the U.S. Treasury bond rates pp. 267-287

- Lu Renjie and Yu Philip L. H.
- Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation pp. 289-310

- Boubaker Heni, Canarella Giorgio, Stephen Miller and Rangan Gupta
- Modeling time-varying parameters using artificial neural networks: a GARCH illustration pp. 311-343

- Donfack Morvan Nongni and Dufays Arnaud
- Variable elasticity of substitution and economic growth in the neoclassical model pp. 345-364

- Manuel Gómez
- Fiscal austerity in emerging market economies pp. 365-391

- Chetan Dave, Chetan Ghate, Pawan Gopalakrishnan and Tarafdar Suchismita
- Selecting between causal and noncausal models with quantile autoregressions pp. 393-416

- Alain Hecq and Sun Li
Volume 25, issue 4, 2021
- Forecasting Japanese inflation with a news-based leading indicator of economic activities pp. 111-133

- Goshima Keiichi, Ishijima Hiroshi, Shintani Mototsugu and Yamamoto Hiroki
- Air pollution, mortality, at-risk population, new entry and life expectancy of the frail elderly in three U.S. cities pp. 135-142

- Murray Christian J. and Lipfert Frederick W.
- Fast maximum likelihood estimation of parameters for square root and Bessel processes pp. 143-170

- Fergusson Kevin
- A monitoring procedure for detecting structural breaks in factor copula models pp. 171-192

- Manner Hans, Stark Florian and Dominik Wied
- Construction of leading economic index for recession prediction using vine copulas pp. 193-212

- Kajal Lahiri and Yang Liu
- Financial integration in emerging economies: an application of threshold cointegration pp. 213-228

- Ali Sajid, Rehman Mobeen Ur, Vinh Vo Xuan, Shahzad Syed Jawad Hussain and Raza Naveed
- When is discretionary fiscal policy effective? pp. 229-254

- Steven Fazzari, James Morley and Irina Panovska
Volume 25, issue 3, 2020
- Economic dynamics of epidemiological bifurcations pp. 1-18

- David Aadland, David Finnoff and Huang Kevin X.D.
- Statistical characteristics of price impact in high-frequency trading pp. 19-34

- Jia Can, Zhou Tianmin and Li Handong
- Learning for infinitely divisible GARCH models in option pricing pp. 35-62

- Zhu Fumin, Bianchi Michele Leonardo, Kim Young Shin, Fabozzi Frank J. and Wu Hengyu
- The discontinuation of the EUR/CHF minimum exchange rate: information from option-implied break probabilities pp. 63-79

- Michael Funke, Loermann Julius and Richhild Moessner
- Finding correct elasticities in log-linear and exponential models allowing heteroskedasticity pp. 81-91

- Myoung-jae Lee
- Dynamics between the budget deficit and the government debt in the United States: a nonlinear analysis pp. 93-109

- Ahmed Haydory Akbar
Volume 25, issue 2, 2021
- An effcient exact Bayesian method For state space models with stochastic volatility pp. 10

- Huang Yu-Fan
- A Strategy for the Use of the Cross Recurrence Quantification Analysis pp. 14

- Aparicio Teresa, Saura Dulce and Pozo Eduardo F.
- Application of grey relational analysis and artificial neural networks on currency exchange-traded notes (ETNs) pp. 17

- Chen Jo-Hui and Diaz John Francis T.
- Stochastic model specification in Markov switching vector error correction models pp. 17

- Niko Hauzenberger, Florian Huber, Michael Pfarrhofer and Zörner Thomas O.
- Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model pp. 19

- Dhaoui Abderrazak, Julien Chevallier and Ma Feng
- Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals pp. 20

- Vitali Alexeev, Ignatieva Katja and Liyanage Thusitha
- Macroeconomic uncertainty and forecasting macroeconomic aggregates pp. 20

- Magnus Reif
Volume 25, issue 1, 2021
- How do volatility regimes affect the pricing of quality and liquidity in the stock market? pp. 17

- Bazgour Tarik, Heuchenne Cedric, Georges Hübner and Sougné Danielle
- The European growth synchronization through crises and structural changes pp. 17

- Uctum Merih, Remzi Uctum and Vijverberg Chu-Ping C.
- Disentangling the source of non-stationarity in a panel of seasonal data pp. 18

- Hsu Shih-Hsun
- Outliers and misleading leverage effect in asymmetric GARCH-type models pp. 19

- M. Angeles Carnero and Pérez Ana
- What model for the target rate pp. 23

- Bruno Feunou, Fontaine Jean-Sébastien and Jin Jianjian
- Computational Methods for Production-Based Asset Pricing Models with Recursive Utility pp. 26

- Aldrich Eric Mark and Kung Howard
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