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Studies in Nonlinear Dynamics & Econometrics

1996 - 2022

Current editor(s): Bruce Mizrach

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

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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
Li Mengheng 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
Li Leon 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
Nazlioglu Saban, Lee Junsoo, Karul Cagin 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
Kaldorf Matthias 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 Zhang Xibin
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 Koop Gary
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

Volume 25, issue 5, 2021

Recovering cointegration via wavelets in the presence of non-linear patterns pp. 255-265 Downloads
Martínez Compains Jorge, Gençay Ramazan, Rodríguez Carreño Ignacio, Trani Tommaso and Ramos Vilardell Daniel
Buffered vector error-correction models: an application to the U.S. Treasury bond rates pp. 267-287 Downloads
Lu Renjie and Yu Philip L. H.
Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation pp. 289-310 Downloads
Boubaker Heni, Canarella Giorgio, Stephen Miller and Rangan Gupta
Modeling time-varying parameters using artificial neural networks: a GARCH illustration pp. 311-343 Downloads
Donfack Morvan Nongni and Dufays Arnaud
Variable elasticity of substitution and economic growth in the neoclassical model pp. 345-364 Downloads
Manuel Gómez
Fiscal austerity in emerging market economies pp. 365-391 Downloads
Chetan Dave, Chetan Ghate, Pawan Gopalakrishnan and Tarafdar Suchismita
Selecting between causal and noncausal models with quantile autoregressions pp. 393-416 Downloads
Alain Hecq and Sun Li

Volume 25, issue 4, 2021

Forecasting Japanese inflation with a news-based leading indicator of economic activities pp. 111-133 Downloads
Goshima Keiichi, Ishijima Hiroshi, Shintani Mototsugu and Yamamoto Hiroki
Air pollution, mortality, at-risk population, new entry and life expectancy of the frail elderly in three U.S. cities pp. 135-142 Downloads
Murray Christian J. and Lipfert Frederick W.
Fast maximum likelihood estimation of parameters for square root and Bessel processes pp. 143-170 Downloads
Fergusson Kevin
A monitoring procedure for detecting structural breaks in factor copula models pp. 171-192 Downloads
Manner Hans, Stark Florian and Dominik Wied
Construction of leading economic index for recession prediction using vine copulas pp. 193-212 Downloads
Kajal Lahiri and Yang Liu
Financial integration in emerging economies: an application of threshold cointegration pp. 213-228 Downloads
Ali Sajid, Rehman Mobeen Ur, Vinh Vo Xuan, Shahzad Syed Jawad Hussain and Raza Naveed
When is discretionary fiscal policy effective? pp. 229-254 Downloads
Steven Fazzari, James Morley and Irina Panovska

Volume 25, issue 3, 2020

Economic dynamics of epidemiological bifurcations pp. 1-18 Downloads
David Aadland, David Finnoff and Huang Kevin X.D.
Statistical characteristics of price impact in high-frequency trading pp. 19-34 Downloads
Jia Can, Zhou Tianmin and Li Handong
Learning for infinitely divisible GARCH models in option pricing pp. 35-62 Downloads
Zhu Fumin, Bianchi Michele Leonardo, Kim Young Shin, Fabozzi Frank J. and Wu Hengyu
The discontinuation of the EUR/CHF minimum exchange rate: information from option-implied break probabilities pp. 63-79 Downloads
Michael Funke, Loermann Julius and Richhild Moessner
Finding correct elasticities in log-linear and exponential models allowing heteroskedasticity pp. 81-91 Downloads
Myoung-jae Lee
Dynamics between the budget deficit and the government debt in the United States: a nonlinear analysis pp. 93-109 Downloads
Ahmed Haydory Akbar

Volume 25, issue 2, 2021

An effcient exact Bayesian method For state space models with stochastic volatility pp. 10 Downloads
Huang Yu-Fan
A Strategy for the Use of the Cross Recurrence Quantification Analysis pp. 14 Downloads
Aparicio Teresa, Saura Dulce and Pozo Eduardo F.
Application of grey relational analysis and artificial neural networks on currency exchange-traded notes (ETNs) pp. 17 Downloads
Chen Jo-Hui and Diaz John Francis T.
Stochastic model specification in Markov switching vector error correction models pp. 17 Downloads
Niko Hauzenberger, Florian Huber, Michael Pfarrhofer and Zörner Thomas O.
Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model pp. 19 Downloads
Dhaoui Abderrazak, Julien Chevallier and Ma Feng
Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals pp. 20 Downloads
Vitali Alexeev, Ignatieva Katja and Liyanage Thusitha
Macroeconomic uncertainty and forecasting macroeconomic aggregates pp. 20 Downloads
Magnus Reif

Volume 25, issue 1, 2021

How do volatility regimes affect the pricing of quality and liquidity in the stock market? pp. 17 Downloads
Bazgour Tarik, Heuchenne Cedric, Georges Hübner and Sougné Danielle
The European growth synchronization through crises and structural changes pp. 17 Downloads
Uctum Merih, Remzi Uctum and Vijverberg Chu-Ping C.
Disentangling the source of non-stationarity in a panel of seasonal data pp. 18 Downloads
Hsu Shih-Hsun
Outliers and misleading leverage effect in asymmetric GARCH-type models pp. 19 Downloads
M. Angeles Carnero and Pérez Ana
What model for the target rate pp. 23 Downloads
Bruno Feunou, Fontaine Jean-Sébastien and Jin Jianjian
Computational Methods for Production-Based Asset Pricing Models with Recursive Utility pp. 26 Downloads
Aldrich Eric Mark and Kung Howard
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