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Studies in Nonlinear Dynamics & Econometrics

1996 - 2019

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 23, issue 4, 2019

Business cycles and indeterminacy in economic models: a special issue in Honor of Professor Kazuo Nishimura pp. 2 Downloads
Ippei Fujiwara and Yano Makoto
Two-sided altruism as a motive for intergenerational transfer pp. 8 Downloads
Fujiu Hiroshi and Yano Makoto
Two-sided altruism and time inconsistency pp. 10 Downloads
Aoki Takaaki, Yano Makoto and Kazuo Nishimura
A new route to the rapid growth of the service sector: rise of the standard of living pp. 13 Downloads
Harutaka Takahashi and Otsubo Kansho Piotr
Competitive equilibrium cycles for small discounting in discrete-time two-sector optimal growth models pp. 14 Downloads
Alain Venditti
Pollution, carrying capacity and the Allee effect pp. 15 Downloads
Bosi Stefano and Desmarchelier David
Bubble on real estate: the role of altruism and fiscal policy pp. 18 Downloads
Clain-Chamosset-Yvrard Lise and Seegmuller Thomas
Optimal growth in the Robinson-Shinkai-Leontief model: the case of capital-intensive consumption goods pp. 18 Downloads
Deng Liuchun, Fujio Minako and Khan M. Ali
Hopf bifurcation and the existence and stability of closed orbits in three-sector models of optimal endogenous growth pp. 21 Downloads
Kazuo Nishimura and Shigoka Tadashi

Volume 23, issue 3, 2019

Gamification of global climate change: an experimental analysis pp. 8 Downloads
Nastis Stefanos A. and Pagoni Eirini Grammatiki
An efficient sequential learning algorithm in regime-switching environments pp. 13 Downloads
Kim Jaeho and Lee Sunhyung
Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data pp. 17 Downloads
Aviral Tiwari, Cunado Juncal, Rangan Gupta and Mark Wohar
Flexible HAR model for realized volatility pp. 22 Downloads
Francesco Audrino, Huang Chen and Okhrin Ostap
What cycles? Data detrending in DSGE models pp. 23 Downloads
Sun Xiaojin and Tsang Kwok Ping

Volume 23, issue 2, 2019

A parametric stationarity test with smooth breaks pp. 14 Downloads
Tsong Ching-Chuan, Lee Cheng-Feng and Tsai Li Ju
A unified framework jointly explaining business conditions, stock returns, volatility and “volatility feedback news” effects pp. 14 Downloads
Kim Chang-Jin and Kim Yunmi
Foster-Hart optimization for currency portfolios pp. 15 Downloads
Kurosaki Tetsuo and Kim Young Shin
Regression discontinuity designs with unknown state-dependent discontinuity points: estimation and testing pp. 18 Downloads
Yang Lixiong
Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models pp. 22 Downloads
Chan Jennifer So Kuen, Nitithumbundit Thanakorn, Peiris Shelton and Kok Haur Ng
Asymmetric impact of uncertainty in recessions: are emerging countries more vulnerable? pp. 27 Downloads
Chatterjee Pratiti

Volume 23, issue 1, 2019

Investment on human capital in a dynamic contest model pp. 15 Downloads
Kerim Keskin and Çağrı Sağlam
A non-linear Keynesian Goodwin-type endogenous model of the cycle: Bayesian evidence for the USA pp. 16 Downloads
Theodore Mariolis, Konstantinos Konstantakis, Panayotis Michaelides and Mike Tsionas
Think again: volatility asymmetry and volatility persistence pp. 19 Downloads
Baur Dirk G. and Thomas Dimpfl
A regime switching skew-normal model of contagion pp. 24 Downloads
Joshua Chan, Renee Fry-McKibbin and Hsiao Cody Yu-Ling
Methods for strengthening a weak instrument in the case of a persistent treatment pp. 30 Downloads
Berthélemy Michel, Petyo Bonev, Dussaux Damien and Magnus Söderberg
A nonlinear model of asset returns with multiple shocks pp. 44 Downloads
Kahra Hannu, Martin Vance L. and Sarkar Saikat

Volume 22, issue 5, 2018

An Interview with Timo Teräsvirta pp. 5 Downloads
Fredj Jawadi
Testing for misspecification in the short-run component of GARCH-type models pp. 17 Downloads
Thomas Chuffart, Emmanuel Flachaire and Péguin-Feissolle Anne
Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule pp. 17 Downloads
Anh Nguyen, Efthymios Pavlidis and David Peel
Can a Taylor rule better explain the Fed’s monetary policy through the 1920s and 1930s? A nonlinear cliometric analysis pp. 18 Downloads
Olivier Damette, Fredj Jawadi and Antoine Parent
Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market pp. 19 Downloads
Alvaro Escribano and Torrado María
Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach pp. 19 Downloads
Kotz Hans-Helmut, Willi Semmler and Tahri Ibrahim
Time-varying asymmetry and tail thickness in long series of daily financial returns pp. 21 Downloads
Mazur Błażej and Mateusz Pipień
Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE pp. 25 Downloads
Prono Todd
Modeling time-variation over the business cycle (1960–2017): an international perspective pp. 25 Downloads
Martínez-García Enrique
P-star model for India: a nonlinear approach pp. 28 Downloads
Aditi Chaubal

Volume 22, issue 4, 2018

A New Method for Specifying the Tuning Parameter of ℓ1 Trend Filtering pp. 8 Downloads
Yamada Hiroshi
Market concentration and market power of the Swedish mortgage Sector – a wavelet panel efficiency analysis pp. 16 Downloads
Månsson Kristofer, Sjölander Pär and Ghazi Shukur
The Rescaled VAR Model with an Application to Mixed-Frequency Macroeconomic Forecasting pp. 16 Downloads
Andrea Giusto and İşcan Talan B.
Bayesian Subset Selection for Two-Threshold Variable Autoregressive Models pp. 16 Downloads
Ni Shuxia, Xia Qiang and Liu Jinshan
A hidden Markov regime-switching smooth transition model pp. 21 Downloads
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 Downloads
Wang Cindy Shin-Huei and Christian Hafner
Local/import – and foreign currency prices: inflation, uncertainty and pass through endogeneity pp. 17 Downloads
Herwartz Helmut and Roestel Jan
Regime switching with structural breaks in output convergence pp. 17 Downloads
Beylunioğlu Fuat C., Ege Yazgan and Thanasis Stengos
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns pp. 27 Downloads
Markus Haas and Liu Ji-Chun
Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications pp. 29 Downloads
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 Downloads
Efthymios Pavlidis and Mike Tsionas
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 Downloads
Chow Sheung-Chi, Cunado Juncal, Rangan Gupta and Wing-Keung Wong
Estimation and inference of threshold regression models with measurement errors pp. 16 Downloads
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 Downloads
Tipoy Christian K., Marthinus Breitenbach and Mulatu Fekadu Zerihun
Uncertainty in the housing market: evidence from US states pp. 17 Downloads
Christidou Maria and Stilianos Fountas
Markov-switching quantile autoregression: a Gibbs sampling approach Downloads
Xiaochun Liu and Richard Luger

Volume 22, issue 1, 2018

Introduction: Special Issue Honoring the Contributions of Walter Enders pp. 2 Downloads
Junsoo Lee and Ma Jun
Time-varying correlations and Sharpe ratios during quantitative easing pp. 11 Downloads
Jones Paul M. and O’Steen Haley
Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples pp. 11 Downloads
Luiggi Donayre, Yunjong Eo and James Morley
Nonlinear Taylor rules: evidence from a large dataset pp. 14 Downloads
Ma Jun, Eric Olson and Mark Wohar
Evaluating the impact of the labor market conditions index on labor market forecasts pp. 17 Downloads
Connolly Laura and Sheehan Alice
Flexible Fourier form for volatility breaks pp. 19 Downloads
Li Jing and Walter Enders
Nonlinear evidence on the existence of jobless recoveries pp. 19 Downloads
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 Downloads
Ardakani Omid M. and N Kishor
Public debt and economic growth conundrum: nonlinearity and inter-temporal relationship pp. 20 Downloads
Vladimir Arčabić, Josip Tica, Junsoo Lee and Robert Sonora
Testing for a unit root against ESTAR stationarity pp. 29 Downloads
David Harvey, Stephen Leybourne and Emily Whitehouse
Page updated 2019-10-20