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Studies in Nonlinear Dynamics & Econometrics

1996 - 2024

Current editor(s): Bruce Mizrach

From De Gruyter
Bibliographic data for series maintained by Peter Golla ().

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Volume 28, issue 1, 2024

Bayesian VARs and prior calibration in times of COVID-19 pp. 1-24 Downloads
Hartwig Benny
On testing for bubbles during hyperinflations pp. 25-37 Downloads
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 Downloads
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 Downloads
Szabolcs Blazsek, Licht Adrian and Alvaro Escribano
High dimensional threshold model with a time-varying threshold based on Fourier approximation pp. 83-117 Downloads
Yang Lixiong
Volatility and dependence in cryptocurrency and financial markets: a copula approach pp. 119-149 Downloads
Liu Jinan and Apostolos Serletis

Volume 27, issue 5, 2023

Analysis of heterogeneous duopoly game with information asymmetry based on extrapolative mechanism pp. 635-648 Downloads
Yuan Jing and Zhu Jianjun
Modelling volatility dependence with score copula models pp. 649-668 Downloads
Alanya-Beltran Willy
A new test for non-linear hypotheses under distributional and local parametric misspecification pp. 669-685 Downloads
Bera Anil K., Doğan Osman and Taşpınar Süleyman
Optimization study of momentum investment strategies under asymmetric power-law distribution of return rate pp. 687-704 Downloads
Wu Xu, Zhang Linlin, Peng Chong and Wang Kun
Comparison of Score-Driven Equity-Gold Portfolios During the COVID-19 Pandemic Using Model Confidence Sets pp. 705-731 Downloads
Ayala Astrid, Szabolcs Blazsek and Licht Adrian
Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging pp. 733-763 Downloads
Vitali Alexeev, Chen Jun and Ignatieva Katja

Volume 27, issue 4, 2023

Approximate Bayesian inference for agent-based models in economics: a case study pp. 423-447 Downloads
Lux Thomas
Anticipating extreme losses using score-driven shape filters pp. 449-484 Downloads
Ayala Astrid, Szabolcs Blazsek and Alvaro Escribano
Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective pp. 485-518 Downloads
Ghaemi Asl Mahdi, Canarella Giorgio, Stephen Miller and Tavakkoli Hamid Reza
The impact of forward guidance and large-scale asset purchase programs on commodity markets pp. 519-551 Downloads
Pedro Gomis-Porqueras, Shuddhasattwa Rafiq and Wenying Yao
Middle-income traps and complexity in economic development pp. 553-565 Downloads
Asano Takao, Yokoo Masanori and Akihisa Shibata
Bayesian inference for order determination of double threshold variables autoregressive models pp. 567-587 Downloads
Zheng Xiaobing, Xia Qiang and Liang Rubing
Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution pp. 589-634 Downloads
Szabolcs Blazsek and Haddad Michel Ferreira Cardia

Volume 27, issue 3, 2023

On determination of the number of factors in an approximate factor model pp. 285-298 Downloads
Liu Jinshan, Pan Jiazhu, Xia Qiang and Xiao Li
Clean energy consumption and economic growth in China: a time-varying analysis pp. 299-313 Downloads
Pejman Bahramian, Saliminezhad Andisheh and Fethi Sami
Panel data models with two threshold variables pp. 315-333 Downloads
Lamadrid-Contreras Arturo and Nelson R. Ramírez-Rondán
What will drive global economic growth in the digital age? pp. 335-354 Downloads
Jakub Growiec
On the nonlinear relationships between shadow economy and the three pillars of sustainable development: new evidence from panel threshold analysis pp. 355-375 Downloads
Saafi Sami, Nouira Ridha and Assidi Nadia
Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations pp. 377-395 Downloads
Pan Jiazhu and He Yali
Stock price prediction using multi-scale nonlinear ensemble of deep learning and evolutionary weighted support vector regression pp. 397-421 Downloads
Wang Jujie, Zhuang Zhenzhen, Gao Dongming, Li Yang and Feng Liu

Volume 27, issue 2, 2023

Asymmetry in stochastic volatility models with threshold and time-dependent correlation pp. 131-146 Downloads
Schäfers Torben and Teng Long
Financial crisis spread, economic growth and unemployment: a mathematical model pp. 147-170 Downloads
Tadmon Calvin and Njike Tchaptchet Eric Rostand
Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects pp. 171-198 Downloads
Ioannis Papantonis, Elias Tzavalis, Agapitos Orestis and Rompolis Leonidas S.
Unrestricted, restricted, and regularized models for forecasting multivariate volatility pp. 199-218 Downloads
Stanislav Anatolyev and Staněk Filip
Controlling chaos in New Keynesian macroeconomics pp. 219-236 Downloads
William Barnett, Bella Giovanni, Mattana Paolo, Venturi Beatrice and Taniya Ghosh
Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions pp. 237-264 Downloads
Szabolcs Blazsek, Blazsek Virag and Kobor Adam
Expected, unexpected, good and bad aggregate uncertainty pp. 265-284 Downloads
Jorge Uribe and Helena Chuliá

Volume 27, issue 1, 2023

Estimation and forecasting of long memory stochastic volatility models pp. 1-24 Downloads
Abbara Omar and Mauricio Zevallos
Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data pp. 25-47 Downloads
Gkillas Konstantinos, Rangan Gupta and Vortelinos Dimitrios I.
Bidirectional volatility transmission between stocks and bond in East Asia – The quantile estimates based on wavelets pp. 49-65 Downloads
Živkov Dejan, Stankov Biljana, Kovačević Jelena and Stefanović Zoran
A threshold model for the spread pp. 67-82 Downloads
Hatzinikolaou Dimitris and Sarigiannidis Georgios
A Gini estimator for regression with autocorrelated errors pp. 83-95 Downloads
Ka Ndéné and Stéphane Mussard
State price density estimation with an application to the recovery theorem pp. 97-115 Downloads
Sanford Anthony
Testing for random coefficient autoregressive and stochastic unit root models pp. 117-129 Downloads
Nagakura Daisuke

Volume 26, issue 5, 2022

Transition from the Taylor rule to the zero lower bound pp. 635-647 Downloads
Stan Hurn, Johnson Nicholas, Silvennoinen Annastiina and Timo Teräsvirta
A note on change in persistence of U.S. city prices pp. 649-653 Downloads
Jorge Belaire-Franch
Instability in regime switching models pp. 655-674 Downloads
Chen Pu, Hsiao Chih-Ying and Semmler Willi
Testing for exuberance in house prices using data sampled at different frequencies pp. 675-691 Downloads
Jesus Otero, Theodore Panagiotidis and Georgios Papapanagiotou
Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach pp. 693-703 Downloads
Quineche Ricardo
A family of nonparametric unit root tests for processes driven by infinite variance innovations pp. 705-721 Downloads
Gogebakan Kemal Caglar
Prediction of stock index of two-scale long short-term memory model based on multiscale nonlinear integration pp. 723-735 Downloads
Tang Decai, Pan Zhiwei and Bethel Brandon J.

Volume 26, issue 4, 2022

What does Google say about credit developments in Brazil? pp. 499-527 Downloads
Neto Alberto Ronchi and Osvaldo Candido
Forecasting transaction counts with integer-valued GARCH models pp. 529-539 Downloads
Aknouche Abdelhakim, Almohaimeed Bader S. and Dimitrakopoulos Stefanos
Asymmetries in the monetary policy reaction function: evidence from India pp. 541-558 Downloads
Shah Irfan Ahmad and Srikanta Kundu
A mixture autoregressive model based on Gaussian and Student’s t-distributions pp. 559-580 Downloads
Virolainen Savi
Time-specific average estimation of dynamic panel regressions pp. 581-616 Downloads
Ba Chu
Rescaled variance tests for seasonal stationarity pp. 617-633 Downloads
Gogebakan Kemal Caglar

Volume 26, issue 3, 2022

Multivariate Markov-switching score-driven models: an application to the global crude oil market pp. 313-335 Downloads
Szabolcs Blazsek, Alvaro Escribano and Licht Adrian
Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity pp. 337-359 Downloads
Mengheng Li and Ivan Mendieta-Muñoz
Regulated seasonal unit root process pp. 361-385 Downloads
Eroğlu Burak Alparslan and Pehlivan Ayşe Özgür
Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration pp. 387-415 Downloads
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 Downloads
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 Downloads
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 Downloads
Leon Li and Francis Scrimgeour

Volume 26, issue 2, 2022

Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach pp. 173-190 Downloads
Jules Clement Mba and Mwambetania Mwambi Sutene
Testing for stationarity with covariates: more powerful tests with non-normal errors pp. 191-203 Downloads
Saban Nazlioglu, Junsoo Lee, Cagin Karul and You Yu
The non-linear effects of the Fed asset purchases pp. 205-218 Downloads
Alessio Anzuini
Multiple structural breaks in cointegrating regressions: a model selection approach pp. 219-254 Downloads
Schmidt Alexander and Schweikert Karsten
Time-varying threshold cointegration with an application to the Fisher hypothesis pp. 257-274 Downloads
Yang Lixiong
A new bivariate Archimedean copula with application to the evaluation of VaR pp. 273-285 Downloads
Topcu Guloksuz Cigdem and Kumar Pranesh
The effect of price discrimination on dynamic duopoly games with bounded rationality pp. 287-311 Downloads
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 Downloads
Matthias Kaldorf and Dominik Wied
Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries pp. 25-34 Downloads
Jaiswal Shivam, Anoop Chaturvedi and Muhammad Bhatti
Openness-inflation Nexus in alternative monetary regimes pp. 35-53 Downloads
Lin Pei-Chien, Huang Ho-Chuan and Liu Xiaojian
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models pp. 55-71 Downloads
Han Lin Shang and Xibin Zhang
Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data pp. 73-98 Downloads
Segnon Mawuli, Bernd Wilfling, Chi Keung Lau and Rangan Gupta
Choosing between identification schemes in noisy-news models pp. 99-136 Downloads
Joshua Chan, Eric Eisenstat and Gary Koop
Hysteresis and sources of aggregate employment inertia pp. 137-154 Downloads
Mota Paulo R. and Vasconcelos Paulo B.
Asymmetric dynamics between uncertainty and unemployment flows in the United States pp. 155-172 Downloads
Ahmed Ali, Granberg Mark, Gazi Uddin and Victor Troster
Page updated 2024-04-18