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Studies in Nonlinear Dynamics & Econometrics

1996 - 2020

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 24, issue 5, 2020

An interview with Howell Tong pp. 8 Downloads
Jawadi Fredj
Capital mobility in commodity-exporting economies pp. 10 Downloads
Polbin Andrey, Zubarev Andrey and Rybak Konstantin
Money growth variability and output: evidence with credit card-augmented Divisia monetary aggregates pp. 11 Downloads
Liu Jinan and Apostolos Serletis
Unconventional monetary policy in a nonlinear quadratic model pp. 19 Downloads
Faulwasser Timm, Gross Marco, Loungani Prakash and Semmler Willi
The role of the threshold effect for the dynamics of futures and spot prices of energy commodities pp. 20 Downloads
Rubaszek Michal, Karolak Zuzanna, Kwas Marek and Uddin Gazi Salah
Causal relationships between inflation and inflation uncertainty pp. 26 Downloads
Barnett William A., Jawadi Fredj and Ftiti Zied
Exchange rates in India: current account monetarism in a nonlinear context pp. 27 Downloads
Chaubal Aditi

Volume 24, issue 4, 2020

Unconventional monetary policy reaction functions: evidence from the US pp. 18 Downloads
Agnello Luca, Castro Vitor, Gilles Dufrénot, Fredj Jawadi and Ricardo Sousa
Dissecting skewness under affine jump-diffusions pp. 19 Downloads
Fang Zhen and Zhang Jin E.
The nonlinear effects of uncertainty shocks pp. 19 Downloads
Jackson Laura E., Kevin Kliesen and Michael Owyang
Uncertainty and Forecasts of U.S. Recessions pp. 20 Downloads
Christian Pierdzioch and Rangan Gupta
The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach pp. 23 Downloads
Avdoulas Christos, Stelios Bekiros and Lucey Brian
Bayesian analysis of periodic asymmetric power GARCH models pp. 24 Downloads
Aknouche Abdelhakim, Demmouche Nacer, Dimitrakopoulos Stefanos and Touche Nassim

Volume 24, issue 3, 2020

Income Inequality and Economic Growth: Heterogeneity and Nonlinearity pp. 15 Downloads
Hailemariam Abebe and Ratbek Dzhumashev
A wavelet-based variance ratio unit root test for a system of equations pp. 16 Downloads
Ali Abdul Aziz, Shukur Ghazi and Månsson Kristofer
Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions pp. 17 Downloads
Christou Christina, Ruthira Naraidoo and Rangan Gupta
Combining sign and parametric restrictions in SVARs by utilising Givens rotations pp. 19 Downloads
Fisher Lance A. and Hyeon-seung Huh
Nonlinear interest rate-setting behaviour of German commercial banks pp. 28 Downloads
Heinzelmann Ludwig and Missong Martin
The role of uncertainty on agricultural futures markets momentum trading and volatility pp. 39 Downloads
Robert Czudaj

Volume 24, issue 2, 2020

A threshold mixed count time series model: estimation and application pp. 18 Downloads
Dungey Mardi, Martin Vance L., Chrismin Tang and Andrew Tremayne
Forecasting the unemployment rate over districts with the use of distinct methods pp. 20 Downloads
Wozniak Marcin
Temporal aggregation of random walk processes and implications for economic analysis pp. 20 Downloads
Ahmad Yamin S and Paya Ivan
Risk shocks with time-varying higher moments pp. 20 Downloads
Dorofeenko Victor, Gabriel Lee, Kevin Salyer and Strobel Johannes
“Animal spirits” and bank’s lending behaviour, a disequilibrium approach pp. 21 Downloads
Chiarella Carl, Corrado Di Guilmi and Zhi Tianhao
Constrained interest rates and changing dynamics at the zero lower bound pp. 26 Downloads
Bäurle Gregor, Daniel Kaufmann, Sylvia Kaufmann and Rodney Strachan
Fiscal policy uncertainty and US output pp. 26 Downloads
Michal Popiel

Volume 24, issue 1, 2020

Bond risk premia and the return forecasting factor pp. 12 Downloads
Gutierrez Agustin, Constantino Hevia and Martin Sola
On the performance of information criteria for model identification of count time series pp. 16 Downloads
Weiß Christian H. and Feld Martin H.-J.M.
A model for ordinal responses with heterogeneous status quo outcomes pp. 16 Downloads
Andrei Sirchenko
Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks pp. 18 Downloads
Lovcha Yuliya and Alejandro Perez-Laborda
Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence pp. 27 Downloads
Feng Lingbing and Shi Yanlin
Testing for cointegration with threshold adjustment in the presence of structural breaks pp. 28 Downloads
Schweikert Karsten

Volume 23, issue 5, 2019

An explicit formula for the smoother weights of the Hodrick–Prescott filter pp. 10 Downloads
Yamada Hiroshi and Jahra Fatima Tuj
An intuitive skewness-based symmetry test applicable to stationary time series data pp. 17 Downloads
Luke Hartigan
Smart or stupid depends on who is your counterpart: a cobweb model with heterogeneous expectations pp. 17 Downloads
Guo Feng, Liu Chong and Shi Qingling
Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules pp. 17 Downloads
Zhu Yanli, Chen Haiqiang and Lin Ming
An elementary business cycle mechanism: learning from Harrod and Kaldor pp. 18 Downloads
Franke Reiner
Variance reduction estimation for return models with jumps using gamma asymmetric kernels pp. 38 Downloads
Song Yuping, Hou Weijie and Zhou Shengyi

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 Makoto Yano
Two-sided altruism as a motive for intergenerational transfer pp. 8 Downloads
Fujiu Hiroshi and Makoto Yano
Two-sided altruism and time inconsistency pp. 10 Downloads
Aoki Takaaki, Makoto Yano 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 David Desmarchelier
Bubble on real estate: the role of altruism and fiscal policy pp. 18 Downloads
Lise Clain-Chamosset-Yvrard 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 M. Khan
Hopf bifurcation and the existence and stability of closed orbits in three-sector models of optimal endogenous growth pp. 21 Downloads
Kazuo Nishimura and Tadashi Shigoka

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
Jaeho Kim 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, Juncal Cuñado, 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
Jennifer Chan, 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
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