Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
Bibliographic data for series maintained by Peter Golla ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 2, issue 4, 1998

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

Volume 2, issue 3, 1997

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

Volume 2, issue 2, 1997

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

Volume 2, issue 1, 1997

Investigating Cyclical Asymmetries pp. 10

Randal Verbrugge

Inference in TAR Models pp. 16

Bruce Hansen

Volume 1, issue 4, 1997

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

Volume 1, issue 3, 1996

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

Volume 1, issue 2, 1996

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.

Volume 1, issue 1, 1996

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