Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 6, issue 4, 2003

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

Volume 6, issue 3, 2002

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

Volume 6, issue 2, 2002

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

Volume 6, issue 1, 2002

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

Volume 5, issue 4, 2002

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

Volume 5, issue 3, 2001

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

Volume 5, issue 2, 2001

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

Volume 5, issue 1, 2001

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.

Volume 4, issue 4, 2001

Time-to-Expiry Seasonalities in Eurofutures pp. 6

Ballocchi Giuseppe, Michel Dacorogna, Ramazan Gencay and Piccinato Barbara

Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models pp. 15

Tae Hwy Lee

Efficient Estimation of Dynamical Systems pp. 15

Stefano Iacus

The Formation of Inflation Expectations under Changing Inflation Regimes pp. 31

Christian Dahl and Hansen Niels L.

Volume 4, issue 3, 2000

p-Value Adjustments for Multiple Tests for Nonlinearity pp. 8

Zacharias Psaradakis

Nonlinear Models for U.K. Macroeconomic Time Series pp. 15

Öcal Nadir

On Nonlinear, Stochastic Dynamics in Economic and Financial Time Series pp. 23

Schittenkopf Christian, Dorffner Georg and Engelbert Dockner

An Algorithm for Estimating Multivariate Catastrophe Models: GEMCAT II pp. 34

Lange Rense, Oliva Terence A. and McDade Sean R.

Volume 4, issue 2, 2000

A Nonlinear Model of the Business Cycle pp. 11

Simon Potter

Seasonal Adjustment and the Business Cycle in Unemployment pp. 14

Philip Hans Franses and Paul de Bruin

Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe pp. 23

Michael Bradley and Dennis Jansen

Volume 4, issue 1, 2000

A Generalized Fast Algorithm for BDS-Type Statistics pp. 7

David Mayer-Foulkes

Time-Series Near-Neighbor Regression pp. 11

Jaditz Ted and Riddick Leigh A.

The Hodrick-Prescott Filter, a Generalization, and a New Procedure for Extracting an Empirical Cycle from a Series pp. 17

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. 18

Panagiotis Mantalos

Volume 3, issue 4, 1999

Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP pp. 12

Prasad Bidarkota

Monetary Policy with a Nonlinear Phillips Curve and Asymmetric Loss pp. 17

Demosthenes Tambakis

An Approximate Wavelet MLE of Short- and Long-Memory Parameters pp. 17

Mark Jensen

Should Policy Makers Worry about Asymmetries in the Business Cycle? pp. 20

Michael Boldin

Stability Analysis of Continuous-Time Macroeconometric Systems pp. 22

William Barnett and He Yijun

Volume 3, issue 3, 1998

A Visual Goodness-of-Fit Test for Econometric Models pp. 13

Ramazan Gencay and Faruk Selcuk

Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models pp. 18

Tommaso Proietti

Information-Theoretic Analysis of Serial Dependence and Cointegration pp. 24

Aparicio F. M. and Alvaro Escribano

Volume 3, issue 2, 1998

A Markov-Chain Sampling Algorithm for GARCH Models pp. 13

Teruo Nakatsuma

Smooth-Transition GARCH Models pp. 20

Gloria Gonzalez-Rivera

Using Long-, Medium-, and Short-Term Trends to Forecast Turning Points in the Business Cycle: Some International Evidence pp. 29

García-Ferrer Antonio and Queralt Ricardo A.

Volume 3, issue 1, 1998

Nonlinear Dynamics and European GNP Data pp. 19

Domenico Delli Gatti, Mauro Gallegati and Mignacca Domenico

The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income pp. 22

Ramsey James B. and Lampart Camille

Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? pp. 24

Simon van Norden and Robert Vigfusson