Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

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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

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

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

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

An Assessment of International Business Cycle Asymmetries using Clements and Krolzig's Parametric Approach pp. 11: Jorge Belaire-Franch and Contreras Dulce
Time-Varying Betas Help in Asset Pricing: The Threshold CAPM pp. 18: Akdeniz Levent, Aslihan Salih and Mehmet Caner
The Asymmetric Reverting Property of Stock Returns pp. 18: Nam Kiseok

Erratum pp. 3: Claudio Morana
Power Properties of Nonlinearity Tests for Time Series with Markov Regimes pp. 16: Zacharias Psaradakis and Nicola Spagnolo
On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach pp. 21: Ana Iregui, Costas Milas and Jesus Otero
Wavelets in Economics and Finance: Past and Future pp. 29: Ramsey James B.
Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation pp. 40: Claudio Morana

My Experiences with Nonlinear Dynamic Models in Economics pp. 18: Arnold Zellner
Tests for Serial Independence and Linearity Based on Correlation Integrals pp. 22: Cees Diks and Manzan Sebastiano
Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks pp. 22: Frédérique Bec, Melika Ben Salem and Fabrice Collard

Characterizing the Degree of Stability of Non-linear Dynamic Models pp. 19: Mikael Bask and Xavier de Luna
Nonlinear Trends and Co-trending in Canadian Money Demand pp. 29: David Cushman
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data pp. 39: Carl Chiarella, Willi Semmler, Stefan Mittnik and Zhu Peiyuan
Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space pp. 55: Xiaohong Chen and Halbert White

Macrostructures in Microeconomic Dynamics pp. 13: Takuya Iimura
Growth, Saving, Financial Markets, and Markov Switching Regimes pp. 20: Jacobson Tor, Thomas Lindh and Anders Warne
Nonlinearities and Inactivity in Aggregate Investment: Some Theoretical Analysis and Time-Series Evidence pp. 21: Luisa Corrado, Sean Holly and Paul Turner
Microeconomic Models for Long Memory in the Volatility of Financial Time Series pp. 23: Alan Kirman and Teyssière Gilles

Energy Shocks and Financial Markets: Nonlinear Linkages pp. 11: Ciner Cetin
Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective pp. 25: Jerry Coakley, Ana-Maria Fuertes and Gylfi Zoega
Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis pp. 26: Mark Taylor and Lucio Sarno
EVIM: A Software Package for Extreme Value Analysis in MATLAB pp. 29: Ramazan Gencay, Faruk Selcuk and Ulugülyagci Abdurrahman

Estimating ARMA Models Efficiently pp. 14: Romulo Chumacero
Detecting Equilibrium Correction with Smoothly Time-Varying Strength pp. 19: Eliasson Ann-Charlotte
Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market pp. 22: Garrett Ian and Nick Taylor

On Impossibility of Limit Cycles in Certain Two-Dimensional Continuous-Time Growth Mode pp. 9: Sergey Slobodyan
Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series pp. 13: Klaus Schenk-Hoppé
Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator pp. 15: Greg Tkacz
The Inflationary Consequences of Fiscal Policy In Brazil: An Empirical Investigation with Regime Switches and Time-Varying Probabilities pp. 17: Salomon Marcelo F.
Wavelet Analysis of the Cost-of-Carry Model pp. 17: Lin Shinn-Juh and Stevenson Maxwell
Nonlinearity in High-Frequency Financial Data and Hierarchical Models pp. 18: McCulloch Robert E. and Tsay Ruey S.
Stabilizing Endogenous Fluctuations with Fiscal Policies: Global Analysis on Piecewise Continuous Dynamical Systems pp. 18: Emmanuelle Augeraud-Véron and Augier L.