Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

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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

Rangan Gupta 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

Frédérique Bec, 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