Studies in Nonlinear Dynamics & Econometrics

1996 - 2026

Current editor(s): Bruce Mizrach

From De Gruyter
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A Multivariate Nonlinear Analysis of China’s GDP and World Oil Price and Its Implications pp. 159-173: Jawadi Fredj and Tsay Ruey S.
Estimation of High-Dimensional Matrix Factor Models with Change Points pp. 175-196: Peng Lijie, Zou Guchu and Wu Jianhong
Identifying Shock Propagation Mechanisms in Global Equity Markets pp. 197-231: Martin Vance L. and Sarkar Saikat
Environmental Tax and Macroeconomic Dynamics under Vertical Production Structure pp. 233-250: Zhang Pengqing and Jiancai Pi
Another Look into Tail Risk Connectedness Using Network Modelling: Evidence from European Stock Markets pp. 251-264: Mattera Raffaele and Sanchez-Garcia Javier
Two-Step Optimal Prediction Under Phillips Triangular Cointegrated System pp. 265-294: Kim Yun-Yeong

Fama–French Five-Factor Modeling: New Evidence from a Nonparametric Method pp. 1-21: Hou Zihao, Manahov Viktor and Stafylas Dimitrios
Realized Probability Index is a Better Market Timing Indicator pp. 23-36: Xie Haibin, Wu Boyao, Sun Yuying and Wang Shouyang
Ripple Effects of the US-China Tension on Asian Emerging and Frontier Markets with Portfolio Implications pp. 37-62: Khan Naveed, Siddiqui Ozair, Yaya OlaOluwa S. and Vo Xuan Vinh
Factor Modeling for High-Dimensional Interval-Valued Data pp. 63-72: Guo Yan, Zou Guchu and Wu Jianhong
Monetary Policy and Growth at Risk: The Role of Financial Conditions pp. 73-89: Zhang Licheng
Macroeconomic Imbalances and Financial Stress Among BRICS: Analysis of Frequency-Dependent and Asymmetric Causal Nexuses pp. 91-140: Armah Mohammed, Anarfo Ebenezer Bugri, Gyamfi Emmanuel Numapau and Amewu Godfred
A Time-Based Pricing Game Considering Echelon Utilization in the Battery Leasing Market pp. 141-157: Ma Junhai, Ding Xue, Zhao Li and Wang Xiaoyan

To Bag is to Prune pp. 669-697: Goulet Coulombe Philippe
A Nonparametric Model for High-Frequency Energy Prices pp. 699-726: Gudkov Nikolay and Ignatieva Katja
Asymptotic Properties of ReLU FFN Sieve Estimators pp. 727-752: Fabozzi Frank J., Fallahgoul Hasan, Franstianto Vincentius and Loeper Grégoire
Sectoral Dependence and Financial Contagion in the BRICS Grouping: An Application of the R-Vine Copulas pp. 753-767: Lumengo Bonga-Bonga and Hendriks Johannes J.
Heterogeneous Volatility Information Content for the Realized GARCH Modeling and Forecasting Volatility pp. 769-785: Xu Wen, Aschakulporn Pakorn and Zhang Jin E.
Dynamic Panel Threshold Spatial Durbin Model with an Application to the Relationship between Financial Development and Green Growth pp. 787-804: Wei Lili and Zhang Chunli

Which Global Cycle? A Stochastic Factor Selection Approach for Global Macro-Financial Cycles pp. 541-559: Berger Tino and Hienzsch Sebastian
Likelihood-Ratio-Based Confidence Intervals for Multiple Threshold Parameters pp. 561-573: Donayre Luiggi
Impact of Disaggregated External Debt on Economic Growth: Evidence from Asian Developing Economies pp. 575-598: Dawood Muhammad, Feng Zhao Rui and Ilyas Muhammad
Determination of the Number of Breaks in Heterogeneous Panel Data Models pp. 599-620: Wang Lu and Hu Shuke
Heterogeneity, Jumps and Co-Movements in Transmission of Volatility Spillovers Among Cryptocurrencies pp. 621-649: Gkillas Konstantinos, Tantoula Maria and Tzagarakis Manolis
Non-Linear Impact of Income Inequality on Mental Health: Evidence from Low and Middle-Income Countries pp. 651-667: Ankita Mishra, Abebe Hailemariam, Srivastava Preety and Maheshwari Greeni

From Model Misspecification to Multidimensional Welfare: A Conversation with Professor Esfandiar Maasoumi pp. 405-424: Fredj Jawadi
A Test for Time-Varying Smooth Transition Conditional Covariance Models in Multivariate Time Series pp. 425-436: Bilel Sanhaji
Quasi-Maximum Likelihood for Estimating Structural Models pp. 437-446: Ben-Abdellatif Malek, Ben-Ameur Hatem, Chérif Rim and Fakhfakh Tarek
Monetary Policy Uncertainty in the United States and Investment Sentiment in Advanced Economies pp. 447-467: Azad Nahiyan Faisal and Apostolos Serletis
Inflation: Demand Pull or Cost Push? A Markov Switching Approach pp. 469-481: Chen Pu and Willi Semmler
Divisia Monetary Aggregates for India pp. 483-509: Sengupta Anirban, Apostolos Serletis and Xu Libo
Introducing sspaneltvp: A Code to Estimating State-Space Time-Varying Parameter Models in Panels. An Application to Okun’s Law pp. 511-539: Mariam Camarero, Sapena Juan and Cecilio Tamarit

Multivariate Stochastic Volatility with Co-Heteroscedasticity pp. 265-300: Joshua Chan, Doucet Arnaud, Roberto Leon-Gonzalez and Rodney Strachan
Extreme Return Spillover Between the WTI, the VIX, and Six Latin American Stock Markets: A Quantile Connectedness Approach pp. 301-316: Kruel Maximiliano and Ceretta Paulo Sergio
A Regression-based Method for Estimating Generalised Entropy and Atkinson Inequality Indices and their Standard Errors pp. 317-322: Sriram Shankar
Homogeneity Pursuit in the Functional-Coefficient Quantile Regression Model for Panel Data with Censored Data pp. 323-348: Li Lu, Xia Yue, Ren Shuyi and Yang Xiaorong
Asymptotic Efficiency of Joint Estimator Relative to Two-Stage Estimator Under Misspecified Likelihoods pp. 349-366: Kim Doosoo
Chinese Crude Oil Futures and Sectoral Stocks: Copula-Based Dependence Structure and Connectedness pp. 367-404: Imran Zulfiqar A., Ahad Muhammad, Ahmad Mobeen and Hameed Imran

Multiscale SUR Estimation of Systematic Risk pp. 129-145: Antonis Michis
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: Szabolcs Blazsek, 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

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: Sofia Ramos, Taamouti Abderrahim and Helena Veiga
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: Omid Ardakani
Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter pp. 95-128: Szabolcs Blazsek, Jörding August and Rai Simran