Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 27, issue 5, 2023

Analysis of heterogeneous duopoly game with information asymmetry based on extrapolative mechanism pp. 635-648

Yuan Jing and Zhu Jianjun

Modelling volatility dependence with score copula models pp. 649-668

Alanya-Beltran Willy

A new test for non-linear hypotheses under distributional and local parametric misspecification pp. 669-685

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

Wu Xu, Wang Kun, Zhang Linlin and Peng Chong

Comparison of Score-Driven Equity-Gold Portfolios During the COVID-19 Pandemic Using Model Confidence Sets pp. 705-731

Astrid Ayala, Szabolcs Blazsek and Licht Adrian

Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging pp. 733-763

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

Lux Thomas

Anticipating extreme losses using score-driven shape filters pp. 449-484

Astrid Ayala, Szabolcs Blazsek and Alvaro Escribano

Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective pp. 485-518

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

Pedro Gomis-Porqueras, Shuddhasattwa Rafiq and Wenying Yao

Middle-income traps and complexity in economic development pp. 553-565

Asano Takao, Akihisa Shibata and Yokoo Masanori

Bayesian inference for order determination of double threshold variables autoregressive models pp. 567-587

Zheng Xiaobing, Xia Qiang and Liang Rubing

Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution pp. 589-634

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

Liu Jinshan, Pan Jiazhu, Xia Qiang and Xiao Li

Clean energy consumption and economic growth in China: a time-varying analysis pp. 299-313

Pejman Bahramian, Saliminezhad Andisheh and Fethi Sami

Panel data models with two threshold variables pp. 315-333

Lamadrid-Contreras Arturo and Nelson R. Ramírez-Rondán

What will drive global economic growth in the digital age? pp. 335-354

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

Saafi Sami, Nouira Ridha and Assidi Nadia

Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations pp. 377-395

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

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

Schäfers Torben and Teng Long

Financial crisis spread, economic growth and unemployment: a mathematical model pp. 147-170

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

Ioannis Papantonis, Rompolis Leonidas S., Elias Tzavalis and Agapitos Orestis

Unrestricted, restricted, and regularized models for forecasting multivariate volatility pp. 199-218

Stanislav Anatolyev and Staněk Filip

Controlling chaos in New Keynesian macroeconomics pp. 219-236

William Barnett, Bella Giovanni, Taniya Ghosh, Mattana Paolo and Venturi Beatrice

Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions pp. 237-264

Szabolcs Blazsek, Blazsek Virag and Kobor Adam

Expected, unexpected, good and bad aggregate uncertainty pp. 265-284

Jorge Uribe and Helena Chuliá

Volume 27, issue 1, 2023

Estimation and forecasting of long memory stochastic volatility models pp. 1-24

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

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

Živkov Dejan, Kovačević Jelena, Stankov Biljana and Stefanović Zoran

A threshold model for the spread pp. 67-82

Dimitris Hatzinikolaou and Sarigiannidis Georgios

A Gini estimator for regression with autocorrelated errors pp. 83-95

Ka Ndéné and Stéphane Mussard

State price density estimation with an application to the recovery theorem pp. 97-115

Sanford Anthony

Testing for random coefficient autoregressive and stochastic unit root models pp. 117-129

Nagakura Daisuke

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