Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

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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.

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.

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

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

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

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

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.

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

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

Nonlinearity and Endogeneity in Macro-Asset Pricing pp. 18: 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. 20: Pieter van der Sluis

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

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

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

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

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