Studies in Nonlinear Dynamics & Econometrics

1996 - 2020

Current editor(s): Bruce Mizrach

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

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 24, issue 5, 2020

An interview with Howell Tong pp. 8

Jawadi Fredj

Capital mobility in commodity-exporting economies pp. 10

Polbin Andrey, Zubarev Andrey and Rybak Konstantin

Money growth variability and output: evidence with credit card-augmented Divisia monetary aggregates pp. 11

Liu Jinan and Apostolos Serletis

Unconventional monetary policy in a nonlinear quadratic model pp. 19

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

Rubaszek Michal, Karolak Zuzanna, Kwas Marek and Uddin Gazi Salah

Causal relationships between inflation and inflation uncertainty pp. 26

Barnett William A., Jawadi Fredj and Ftiti Zied

Exchange rates in India: current account monetarism in a nonlinear context pp. 27

Chaubal Aditi

Volume 24, issue 4, 2020

Unconventional monetary policy reaction functions: evidence from the US pp. 18

Agnello Luca, Castro Vitor, Gilles Dufrénot, Fredj Jawadi and Ricardo Sousa

Dissecting skewness under affine jump-diffusions pp. 19

Fang Zhen and Zhang Jin E.

The nonlinear effects of uncertainty shocks pp. 19

Jackson Laura E., Kevin Kliesen and Michael Owyang

Uncertainty and Forecasts of U.S. Recessions pp. 20

Christian Pierdzioch and Rangan Gupta

The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach pp. 23

Avdoulas Christos, Stelios Bekiros and Lucey Brian

Bayesian analysis of periodic asymmetric power GARCH models pp. 24

Aknouche Abdelhakim, Demmouche Nacer, Dimitrakopoulos Stefanos and Touche Nassim

Volume 24, issue 3, 2020

Income Inequality and Economic Growth: Heterogeneity and Nonlinearity pp. 15

Hailemariam Abebe and Ratbek Dzhumashev

A wavelet-based variance ratio unit root test for a system of equations pp. 16

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

Christou Christina, Ruthira Naraidoo and Rangan Gupta

Combining sign and parametric restrictions in SVARs by utilising Givens rotations pp. 19

Fisher Lance A. and Hyeon-seung Huh

Nonlinear interest rate-setting behaviour of German commercial banks pp. 28

Heinzelmann Ludwig and Missong Martin

The role of uncertainty on agricultural futures markets momentum trading and volatility pp. 39

Robert Czudaj

Volume 24, issue 2, 2020

A threshold mixed count time series model: estimation and application pp. 18

Dungey Mardi, Martin Vance L., Chrismin Tang and Andrew Tremayne

Forecasting the unemployment rate over districts with the use of distinct methods pp. 20

Wozniak Marcin

Temporal aggregation of random walk processes and implications for economic analysis pp. 20

Ahmad Yamin S and Paya Ivan

Risk shocks with time-varying higher moments pp. 20

Dorofeenko Victor, Gabriel Lee, Kevin Salyer and Strobel Johannes

“Animal spirits” and bank’s lending behaviour, a disequilibrium approach pp. 21

Chiarella Carl, Corrado Di Guilmi and Zhi Tianhao

Constrained interest rates and changing dynamics at the zero lower bound pp. 26

Bäurle Gregor, Daniel Kaufmann, Sylvia Kaufmann and Rodney Strachan

Fiscal policy uncertainty and US output pp. 26

Michal Popiel

Volume 24, issue 1, 2020

Bond risk premia and the return forecasting factor pp. 12

Gutierrez Agustin, Constantino Hevia and Martin Sola

On the performance of information criteria for model identification of count time series pp. 16

Weiß Christian H. and Feld Martin H.-J.M.

A model for ordinal responses with heterogeneous status quo outcomes pp. 16

Andrei Sirchenko

Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks pp. 18

Lovcha Yuliya and Alejandro Perez-Laborda

Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence pp. 27

Feng Lingbing and Shi Yanlin

Testing for cointegration with threshold adjustment in the presence of structural breaks pp. 28

Schweikert Karsten

Volume 23, issue 5, 2019

An explicit formula for the smoother weights of the Hodrick–Prescott filter pp. 10

Yamada Hiroshi and Jahra Fatima Tuj

An intuitive skewness-based symmetry test applicable to stationary time series data pp. 17

Luke Hartigan

Smart or stupid depends on who is your counterpart: a cobweb model with heterogeneous expectations pp. 17

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

Zhu Yanli, Chen Haiqiang and Lin Ming

An elementary business cycle mechanism: learning from Harrod and Kaldor pp. 18

Franke Reiner

Variance reduction estimation for return models with jumps using gamma asymmetric kernels pp. 38

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

Ippei Fujiwara and Makoto Yano

Two-sided altruism as a motive for intergenerational transfer pp. 8

Fujiu Hiroshi and Makoto Yano

Two-sided altruism and time inconsistency pp. 10

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

Harutaka Takahashi and Otsubo Kansho Piotr

Competitive equilibrium cycles for small discounting in discrete-time two-sector optimal growth models pp. 14

Alain Venditti

Pollution, carrying capacity and the Allee effect pp. 15

Bosi Stefano and David Desmarchelier

Bubble on real estate: the role of altruism and fiscal policy pp. 18

Lise Clain-Chamosset-Yvrard and Seegmuller Thomas

Optimal growth in the Robinson-Shinkai-Leontief model: the case of capital-intensive consumption goods pp. 18

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

Kazuo Nishimura and Tadashi Shigoka

Volume 23, issue 3, 2019

Gamification of global climate change: an experimental analysis pp. 8

Nastis Stefanos A. and Pagoni Eirini Grammatiki

An efficient sequential learning algorithm in regime-switching environments pp. 13

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

Aviral Tiwari, Juncal Cuñado, Rangan Gupta and Mark Wohar

Flexible HAR model for realized volatility pp. 22

Francesco Audrino, Huang Chen and Okhrin Ostap

What cycles? Data detrending in DSGE models pp. 23

Sun Xiaojin and Tsang Kwok Ping

Volume 23, issue 2, 2019

A parametric stationarity test with smooth breaks pp. 14

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

Kim Chang-Jin and Kim Yunmi

Foster-Hart optimization for currency portfolios pp. 15

Kurosaki Tetsuo and Kim Young Shin

Regression discontinuity designs with unknown state-dependent discontinuity points: estimation and testing pp. 18

Yang Lixiong

Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models pp. 22

Jennifer Chan, Nitithumbundit Thanakorn, Peiris Shelton and Kok Haur Ng

Asymmetric impact of uncertainty in recessions: are emerging countries more vulnerable? pp. 27

Chatterjee Pratiti

Volume 23, issue 1, 2019

Investment on human capital in a dynamic contest model pp. 15

Kerim Keskin and Çağrı Sağlam

A non-linear Keynesian Goodwin-type endogenous model of the cycle: Bayesian evidence for the USA pp. 16

Theodore Mariolis, Konstantinos Konstantakis, Panayotis Michaelides and Mike Tsionas

Think again: volatility asymmetry and volatility persistence pp. 19

Baur Dirk G. and Thomas Dimpfl

A regime switching skew-normal model of contagion pp. 24

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

Berthélemy Michel, Petyo Bonev, Dussaux Damien and Magnus Söderberg

A nonlinear model of asset returns with multiple shocks pp. 44

Kahra Hannu, Martin Vance L. and Sarkar Saikat