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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 4, issue 4, 2001

Time-to-Expiry Seasonalities in Eurofutures pp. 1-6 Downloads
Ballocchi Giuseppe, Michel Dacorogna, Ramazan Gencay and Piccinato Barbara
The Formation of Inflation Expectations under Changing Inflation Regimes pp. 1-31 Downloads
Christian Dahl and Hansen Niels L.
Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models pp. 1-15 Downloads
Tae Hwy Lee
Efficient Estimation of Dynamical Systems pp. 1-15 Downloads
Stefano Iacus

Volume 4, issue 3, 2000

p-Value Adjustments for Multiple Tests for Nonlinearity pp. 1-8 Downloads
Zacharias Psaradakis
Nonlinear Models for U.K. Macroeconomic Time Series pp. 1-15 Downloads
Öcal Nadir
An Algorithm for Estimating Multivariate Catastrophe Models: GEMCAT II pp. 1-34 Downloads
Lange Rense, Oliva Terence A. and McDade Sean R.
On Nonlinear, Stochastic Dynamics in Economic and Financial Time Series pp. 1-23 Downloads
Schittenkopf Christian, Dorffner Georg and Engelbert Dockner

Volume 4, issue 2, 2000

Seasonal Adjustment and the Business Cycle in Unemployment pp. 1-14 Downloads
Philip Hans Franses and Paul de Bruin
A Nonlinear Model of the Business Cycle pp. 1-11 Downloads
Simon Potter
Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe pp. 1-23 Downloads
Michael Bradley and Dennis Jansen

Volume 4, issue 1, 2000

The Hodrick-Prescott Filter, a Generalization, and a New Procedure for Extracting an Empirical Cycle from a Series pp. 1-17 Downloads
Reeves Jonathan J., Blyth Conrad A., Triggs Christopher M. and Small John P.
A Graphical Investigation of the Size and Power of the Granger-Causality Tests in Integrated-Cointegrated VAR Systems pp. 1-18 Downloads
Panagiotis Mantalos
Time-Series Near-Neighbor Regression pp. 1-11 Downloads
Jaditz Ted and Riddick Leigh A.
A Generalized Fast Algorithm for BDS-Type Statistics pp. 1-7 Downloads
David Mayer-Foulkes

Volume 3, issue 4, 1999

Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP pp. 1-12 Downloads
Prasad Bidarkota
Stability Analysis of Continuous-Time Macroeconometric Systems pp. 1-22 Downloads
William Barnett and He Yijun
Should Policy Makers Worry about Asymmetries in the Business Cycle? pp. 1-20 Downloads
Michael Boldin
Monetary Policy with a Nonlinear Phillips Curve and Asymmetric Loss pp. 1-17 Downloads
Demosthenes Tambakis
An Approximate Wavelet MLE of Short- and Long-Memory Parameters pp. 1-17 Downloads
Mark Jensen

Volume 3, issue 3, 1998

A Visual Goodness-of-Fit Test for Econometric Models pp. 1-13 Downloads
Ramazan Gencay and Faruk Selcuk
Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models pp. 1-18 Downloads
Tommaso Proietti
Information-Theoretic Analysis of Serial Dependence and Cointegration pp. 1-24 Downloads
Aparicio F. M. and Alvaro Escribano

Volume 3, issue 2, 1998

A Markov-Chain Sampling Algorithm for GARCH Models pp. 1-13 Downloads
Teruo Nakatsuma
Using Long-, Medium-, and Short-Term Trends to Forecast Turning Points in the Business Cycle: Some International Evidence pp. 1-29 Downloads
García-Ferrer Antonio and Queralt Ricardo A.
Smooth-Transition GARCH Models pp. 1-20 Downloads
Gloria Gonzalez-Rivera

Volume 3, issue 1, 1998

Nonlinear Dynamics and European GNP Data pp. 1-19 Downloads
Domenico Delli Gatti, Mauro Gallegati and Mignacca Domenico
The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income pp. 1-22 Downloads
Ramsey James B. and Lampart Camille
Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? pp. 1-24 Downloads
Simon van Norden and Robert Vigfusson

Volume 2, issue 4, 1998

The Current Depth-of-Recession and Unemployment-Rate Forecasts pp. 1-10 Downloads
Parker Randall E. and Philip Rothman
Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods pp. 1-16 Downloads
John Chao and Chiao Chaoshin
Forecasting Exchange Rates Using Neural Networks for Technical Trading Rules pp. 1-8 Downloads
Philip Hans Franses and Kasper van Griensven
Early News is Good News: The Effects of Market Opening on Market Volatility pp. 1-19 Downloads
Giampiero Gallo and Pacini Barbara
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model pp. 1-19 Downloads
Ghysels Eric and Joann Jasiak
Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets pp. 1-21 Downloads
Zeng Tian and Norman Swanson

Volume 2, issue 3, 1997

Nonlinearity and Endogeneity in Macro-Asset Pricing pp. 1-18 Downloads
Hiemstra Craig and Charles Kramer
EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments pp. 1-20 Downloads
Pieter van der Sluis

Volume 2, issue 2, 1997

A Fast Algorithm for the BDS Statistic pp. 1-9 Downloads
Blake Lebaron
Technical Trading Rules and the Size of the Risk Premium in Security Returns pp. 1-14 Downloads
Ramazan Gencay and Thanasis Stengos
Finite Sample Properties of the Efficient Method of Moments pp. 1-19 Downloads
Romulo Chumacero

Volume 2, issue 1, 1997

Inference in TAR Models pp. 1-16 Downloads
Bruce Hansen
Investigating Cyclical Asymmetries pp. 1-10 Downloads
Randal Verbrugge

Volume 1, issue 4, 1997

Endogenous Cycles in Competitive Models: An Overview pp. 1-13 Downloads
Pietro Reichlin
FORTRAN Programs for Running the TR Test: A Guide and Examples pp. 1-8 Downloads
Philip Rothman
A Nonlinear Analysis of Forward Premium and Volatility pp. 1-17 Downloads
Hsu Chiente and Kugler Peter

Volume 1, issue 3, 1996

Tests for Nonlinearity in EMS Exchange Rates pp. 1-16 Downloads
Jon Vilasuso and Steven Cunningham
The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms pp. 1-12 Downloads
Ramazan Gencay and Dechert W. Davis
Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances pp. 1-15 Downloads
Kim Jeong-Ryeol, Stefan Mittnik and Rachev Svetlozar T.
SIMANN: A Global Optimization Algorithm using Simulated Annealing pp. 1-9 Downloads
Goffe William L.

Volume 1, issue 2, 1996

A Kernel Test for Neglected Nonlinearity pp. 1-14 Downloads
Bradley Ralph and Robert McClelland
A Random Walk or Color Chaos on the Stock Market? Time-Frequency Analysis of S&P Indexes pp. 1-19 Downloads
Chen Ping
Saddle Path Stability, Fluctuations, and Indeterminacy in Economic Growth pp. 1-16 Downloads
Greiner Alfred and Willi Semmler
If Nonlinear Models Cannot Forecast, What Use Are They? pp. 1-24 Downloads
Ramsey James B.

Volume 1, issue 1, 1996

On Cycles and Chaos in Economics pp. 1-4 Downloads
Jess Benhabib
A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle pp. 1-14 Downloads
Michael Boldin
Power Properties of Linearity Tests for Time Series pp. 1-10 Downloads
Timo Teräsvirta
Optimal Cycles and Chaos: A Survey pp. 1-20 Downloads
Kazuo Nishimura and Gerhard Sorger
Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data pp. 1-20 Downloads
Norman Swanson
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code pp. 1-8 Downloads
Jon Danielsson
Page updated 2022-09-29