Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 8, issue 4, 2004

Linearizations and Equilibrium Correction Models pp. 9

Gunnar Bårdsen, Stan Hurn and Lindsay Kenneth A.

An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity pp. 11

Kurt Brännäs and Jonas Nordström

Combining Forecasts with Nonparametric Kernel Regressions pp. 18

Fuchun Li and Greg Tkacz

A Stochastic Version of Zeeman's Market Model pp. 25

Rheinlaender Thorsten and Steinkamp Marcus

A New Test of the Martingale Difference Hypothesis pp. 26

Chung-Ming Kuan and Lee Wei-Ming

Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets pp. 28

Robles-Fernandez M. Dolores, Nieto Luisa and Fernandez M. Angeles

Volume 8, issue 3, 2004

Working Time and Employment Under Uncertainty pp. 23

Yu-Fu Chen and Michael Funke

Neural Tests for Conditional Heteroskedasticity in ARCH-M Models pp. 24

Christian de Peretti and Carole Siani

A Nonparametric Dimension Test of the Term Structure pp. 28

Javier Gil-Bazo and Rubio Gonzalo

Household Income Dynamics in Two Transition Economies pp. 33

Michael Lokshin and Martin Ravallion

Nonlinear Monetary Policy Rules: Some New Evidence for the U.S pp. 34

Juan Dolado, Ramón Maria-Dolores and Francisco Ruge-Murcia

The Long Memory of the Efficient Market pp. 35

Lillo Fabrizio and J. Farmer

Volume 8, issue 2, 2004

Introduction pp. 5

Estelle Dagum and Tommaso Proietti

On the Stationarity of First-order Nonlinear Time Series Models: Some Developments pp. 9

Fonseca Giovanni

Analyzing Financial Time Series through Robust Estimators pp. 15

Luigi Grossi

Experimental Design for Time-Dependent Models with Correlated Observations pp. 16

Ucinski Dariusz and Atkinson Anthony C.

Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers pp. 17

Lee Kai Ming and Siem Jan Koopman

Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing pp. 18

Estelle Dagum and Luati Alessandra

Statistical Tests for Lyapunov Exponents of Deterministic Systems pp. 19

Wolff Rodney, Yao Qiwei and Howell Tong

Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns pp. 19

Cleveland William P.

GARCH-type Models with Generalized Secant Hyperbolic Innovations pp. 19

Palmitesta Paola and Provasi Corrado

Mixture Processes for Financial Intradaily Durations pp. 20

Giovanni De Luca and Giampiero Gallo

Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation pp. 20

Vidoni Paolo

Seasonal Specific Structural Time Series pp. 22

Tommaso Proietti

Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes pp. 23

Laurini Fabrizio

Assessing Chaos in Time Series: Statistical Aspects and Perspectives pp. 25

Simone Giannerini and Rosa Rodolfo

Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation pp. 25

Jurgen Doornik and Marius Ooms

Extensions of the Forward Search to Time Series pp. 25

Marco Riani

MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model pp. 31

Cappuccio Nunzio, Diego Lubian and Davide Raggi

Volume 8, issue 1, 2004

An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests pp. 19

Georgios Chortareas, George Kapetanios and Merih Uctum

Inferring the Forward Looking Equity Risk Premium from Derivative Prices pp. 26

Bhar Ramaprasad, Carl Chiarella and Runggaldier Wolfgang J.

Private Information and High-Frequency Stochastic Volatility pp. 30

David Kelly and Douglas Steigerwald

Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium? pp. 41

Jesús Vázquez

The ARAR Error Model for Univariate Time Series and Distributed Lag pp. 44

Richard (Robin) Carter and Arnold Zellner

Volume 7, issue 4, 2003

Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists pp. 15

Frank Westerhoff and Stefan Reitz

The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses pp. 18

Kim Sangbae and In Francis Haeuck

Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach pp. 22

Atanasova Christina

Bootstrapping Macroeconometric Models pp. 26

Ray Fair

An Information Theoretic Approach for Estimating Nonlinear Dynamic Models pp. 26

Amos Golan

Volume 7, issue 3, 2003

Long Memory Inflationary Dynamics: The Case of Brazil pp. 18

Reisen Valderio A, Cribari-Neto Francisco and Mark Jensen

Testing Serial Independence against Time Irreversibility pp. 30

Chen Yi-Ting

Determinism in Financial Time Series pp. 31

Small Michael and Chi Tse

An Empirical Evaluation of Non-Linear Trading Rules pp. 32

Andrada-Félix Julián, Fernadez-Rodriguez Fernando, Garcia-Artiles Maria-Dolores and Simon Sosvilla-Rivero

Industrial Sector Mode-Locking and Business Cycle Formation pp. 39

David Selover, Jensen Roderick V. and Kroll John

Volume 7, issue 2, 2003

Erratum pp. 4

George Kapetanios

Stochastic Growth with Increasing Returns: Stability and Path Dependence pp. 13

John Stachurski

Globally-Stabilizing Fiscal Policy Rules pp. 15

Jang-Ting Guo and Kevin Lansing

Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses pp. 16

George Kapetanios

A Nonlinear Approach to Forecasting with Leading Economic Indicators pp. 20

Jagric Timotej

Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series pp. 20

Ralph Snyder and Catherine Forbes

Volume 7, issue 1, 2003

Terror Cycles pp. 11

Joao Faria

Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series pp. 19

Jorge Belaire-Franch and Peiro Amado

Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle pp. 35

Christian Dahl and Gloria Gonzalez-Rivera

Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle pp. 40

Edward Driffill, Marzia Raybaudi and Martin Sola