Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

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Volume 26, issue 5, 2022

Transition from the Taylor rule to the zero lower bound pp. 635-647

Stan Hurn, Johnson Nicholas, Annastiina Silvennoinen and Timo Teräsvirta

A note on change in persistence of U.S. city prices pp. 649-653

Jorge Belaire-Franch

Instability in regime switching models pp. 655-674

Chen Pu, Hsiao Chih-Ying and Semmler Willi

Testing for exuberance in house prices using data sampled at different frequencies pp. 675-691

Jesus Otero, Theodore Panagiotidis and Georgios Papapanagiotou

Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach pp. 693-703

Ricardo Quineche

A family of nonparametric unit root tests for processes driven by infinite variance innovations pp. 705-721

Gogebakan Kemal Caglar

Prediction of stock index of two-scale long short-term memory model based on multiscale nonlinear integration pp. 723-735

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

Neto Alberto Ronchi and Osvaldo Candido

Forecasting transaction counts with integer-valued GARCH models pp. 529-539

Aknouche Abdelhakim, Almohaimeed Bader S. and Dimitrakopoulos Stefanos

Asymmetries in the monetary policy reaction function: evidence from India pp. 541-558

Shah Irfan Ahmad and Srikanta Kundu

A mixture autoregressive model based on Gaussian and Student’s t-distributions pp. 559-580

Virolainen Savi

Time-specific average estimation of dynamic panel regressions pp. 581-616

Ba Chu

Rescaled variance tests for seasonal stationarity pp. 617-633

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

Szabolcs Blazsek, Alvaro Escribano and Licht Adrian

Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity pp. 337-359

Mengheng Li and Ivan Mendieta-Muñoz

Regulated seasonal unit root process pp. 361-385

Eroğlu Burak Alparslan and Pehlivan Ayşe Özgür

Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration pp. 387-415

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

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

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

Leon Li and Francis Scrimgeour

Volume 26, issue 2, 2022

Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach pp. 173-190

Jules Clement Mba and Mwambetania Mwambi Sutene

Testing for stationarity with covariates: more powerful tests with non-normal errors pp. 191-203

Saban Nazlioglu, Junsoo Lee, Cagin Karul and You Yu

The non-linear effects of the Fed asset purchases pp. 205-218

Alessio Anzuini

Multiple structural breaks in cointegrating regressions: a model selection approach pp. 219-254

Schmidt Alexander and Schweikert Karsten

Time-varying threshold cointegration with an application to the Fisher hypothesis pp. 257-274

Yang Lixiong

A new bivariate Archimedean copula with application to the evaluation of VaR pp. 273-285

Topcu Guloksuz Cigdem and Kumar Pranesh

The effect of price discrimination on dynamic duopoly games with bounded rationality pp. 287-311

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

Matthias Kaldorf and Dominik Wied

Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries pp. 25-34

Jaiswal Shivam, Anoop Chaturvedi and Muhammad Bhatti

Openness-inflation Nexus in alternative monetary regimes pp. 35-53

Lin Pei-Chien, Huang Ho-Chuan and Liu Xiaojian

Bayesian bandwidth estimation for local linear fitting in nonparametric regression models pp. 55-71

Han Lin Shang and Xibin Zhang

Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data pp. 73-98

Segnon Mawuli, Chi Keung Lau, Bernd Wilfling and Rangan Gupta

Choosing between identification schemes in noisy-news models pp. 99-136

Joshua Chan, Eric Eisenstat and Gary Koop

Hysteresis and sources of aggregate employment inertia pp. 137-154

Mota Paulo R. and Vasconcelos Paulo B.

Asymmetric dynamics between uncertainty and unemployment flows in the United States pp. 155-172

Ahmed Ali, Granberg Mark, Victor Troster and Gazi Uddin

Volume 25, issue 5, 2021

Recovering cointegration via wavelets in the presence of non-linear patterns pp. 255-265

Martínez Compains Jorge, Rodríguez Carreño Ignacio, Ramazan Gencay, Tommaso Trani and Ramos Vilardell Daniel

Buffered vector error-correction models: an application to the U.S. Treasury bond rates pp. 267-287

Lu Renjie and Yu Philip L. H.

Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation pp. 289-310

Boubaker Heni, Canarella Giorgio, Rangan Gupta and Stephen Miller

Modeling time-varying parameters using artificial neural networks: a GARCH illustration pp. 311-343

Donfack Morvan Nongni and Arnaud Dufays

Variable elasticity of substitution and economic growth in the neoclassical model pp. 345-364

Manuel Gómez

Fiscal austerity in emerging market economies pp. 365-391

Chetan Dave, Chetan Ghate, Pawan Gopalakrishnan and Tarafdar Suchismita

Selecting between causal and noncausal models with quantile autoregressions pp. 393-416

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

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

Murray Christian J. and Lipfert Frederick W.

Fast maximum likelihood estimation of parameters for square root and Bessel processes pp. 143-170

Fergusson Kevin

A monitoring procedure for detecting structural breaks in factor copula models pp. 171-192

Manner Hans, Stark Florian and Dominik Wied

Construction of leading economic index for recession prediction using vine copulas pp. 193-212

Kajal Lahiri and Yang Liu

Financial integration in emerging economies: an application of threshold cointegration pp. 213-228

Ali Sajid, Rehman Mobeen Ur, Syed Jawad Hussain Shahzad, Raza Naveed and Vinh Vo Xuan

When is discretionary fiscal policy effective? pp. 229-254

Steven Fazzari, James Morley and Irina Panovska

Volume 25, issue 3, 2020

Economic dynamics of epidemiological bifurcations pp. 1-18

David Aadland, David Finnoff and Huang Kevin X.D.

Statistical characteristics of price impact in high-frequency trading pp. 19-34

Jia Can, Zhou Tianmin and Li Handong

Learning for infinitely divisible GARCH models in option pricing pp. 35-62

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

Michael Funke, Loermann Julius and Richhild Moessner

Finding correct elasticities in log-linear and exponential models allowing heteroskedasticity pp. 81-91

Myoung-jae Lee

Dynamics between the budget deficit and the government debt in the United States: a nonlinear analysis pp. 93-109

Ahmed Haydory Akbar

Volume 25, issue 2, 2021

An effcient exact Bayesian method For state space models with stochastic volatility pp. 10

Huang Yu-Fan

A Strategy for the Use of the Cross Recurrence Quantification Analysis pp. 14

Aparicio Teresa, Pozo Eduardo F. and Saura Dulce

Application of grey relational analysis and artificial neural networks on currency exchange-traded notes (ETNs) pp. 17

Chen Jo-Hui and Diaz John Francis T.

Stochastic model specification in Markov switching vector error correction models pp. 17

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

Dhaoui Abderrazak, Julien Chevallier and Ma Feng

Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals pp. 20

Vitali Alexeev, Ignatieva Katja and Liyanage Thusitha

Macroeconomic uncertainty and forecasting macroeconomic aggregates pp. 20

Magnus Reif

Volume 25, issue 1, 2021

How do volatility regimes affect the pricing of quality and liquidity in the stock market? pp. 17

Bazgour Tarik, Heuchenne Cedric, Georges Hübner and Sougné Danielle

The European growth synchronization through crises and structural changes pp. 17

Merih Uctum, Remzi Uctum and Vijverberg Chu-Ping C.

Disentangling the source of non-stationarity in a panel of seasonal data pp. 18

Hsu Shih-Hsun

Outliers and misleading leverage effect in asymmetric GARCH-type models pp. 19

M. Angeles Carnero and Pérez Ana

What model for the target rate pp. 23

Bruno Feunou, Jean-Sebastien Fontaine and Jin Jianjian

Computational Methods for Production-Based Asset Pricing Models with Recursive Utility pp. 26

Aldrich Eric Mark and Kung Howard