Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 25, issue 5, 2021

Recovering cointegration via wavelets in the presence of non-linear patterns pp. 255-265

Martínez Compains Jorge, Rodríguez Carreño Ignacio, Ramazan Gencay, Tommaso Trani and Ramos Vilardell Daniel

Buffered vector error-correction models: an application to the U.S. Treasury bond rates pp. 267-287

Lu Renjie and Yu Philip L. H.

Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation pp. 289-310

Boubaker Heni, Canarella Giorgio, Rangan Gupta and Stephen Miller

Modeling time-varying parameters using artificial neural networks: a GARCH illustration pp. 311-343

Donfack Morvan Nongni and Arnaud Dufays

Variable elasticity of substitution and economic growth in the neoclassical model pp. 345-364

Manuel Gómez

Fiscal austerity in emerging market economies pp. 365-391

Chetan Dave, Chetan Ghate, Pawan Gopalakrishnan and Tarafdar Suchismita

Selecting between causal and noncausal models with quantile autoregressions pp. 393-416

Alain Hecq and Sun Li

Volume 25, issue 4, 2021

Forecasting Japanese inflation with a news-based leading indicator of economic activities pp. 111-133

Goshima Keiichi, Ishijima Hiroshi, Shintani Mototsugu and Yamamoto Hiroki

Air pollution, mortality, at-risk population, new entry and life expectancy of the frail elderly in three U.S. cities pp. 135-142

Murray Christian J. and Lipfert Frederick W.

Fast maximum likelihood estimation of parameters for square root and Bessel processes pp. 143-170

Fergusson Kevin

A monitoring procedure for detecting structural breaks in factor copula models pp. 171-192

Manner Hans, Stark Florian and Dominik Wied

Construction of leading economic index for recession prediction using vine copulas pp. 193-212

Kajal Lahiri and Yang Liu

Financial integration in emerging economies: an application of threshold cointegration pp. 213-228

Ali Sajid, Rehman Mobeen Ur, Syed Jawad Hussain Shahzad, Raza Naveed and Vinh Vo Xuan

When is discretionary fiscal policy effective? pp. 229-254

Steven Fazzari, James Morley and Irina Panovska

Volume 25, issue 3, 2020

Economic dynamics of epidemiological bifurcations pp. 1-18

David Aadland, David Finnoff and Huang Kevin X.D.

Statistical characteristics of price impact in high-frequency trading pp. 19-34

Jia Can, Zhou Tianmin and Li Handong

Learning for infinitely divisible GARCH models in option pricing pp. 35-62

Zhu Fumin, Bianchi Michele Leonardo, Kim Young Shin, Fabozzi Frank J. and Wu Hengyu

The discontinuation of the EUR/CHF minimum exchange rate: information from option-implied break probabilities pp. 63-79

Michael Funke, Loermann Julius and Richhild Moessner

Finding correct elasticities in log-linear and exponential models allowing heteroskedasticity pp. 81-91

Myoung-jae Lee

Dynamics between the budget deficit and the government debt in the United States: a nonlinear analysis pp. 93-109

Ahmed Haydory Akbar

Volume 25, issue 2, 2021

An effcient exact Bayesian method For state space models with stochastic volatility pp. 10

Huang Yu-Fan

A Strategy for the Use of the Cross Recurrence Quantification Analysis pp. 14

Aparicio Teresa, Pozo Eduardo F. and Saura Dulce

Application of grey relational analysis and artificial neural networks on currency exchange-traded notes (ETNs) pp. 17

Chen Jo-Hui and Diaz John Francis T.

Stochastic model specification in Markov switching vector error correction models pp. 17

Niko Hauzenberger, Florian Huber, Michael Pfarrhofer and Zörner Thomas O.

Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model pp. 19

Dhaoui Abderrazak, Julien Chevallier and Ma Feng

Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals pp. 20

Vitali Alexeev, Ignatieva Katja and Liyanage Thusitha

Macroeconomic uncertainty and forecasting macroeconomic aggregates pp. 20

Magnus Reif

Volume 25, issue 1, 2021

How do volatility regimes affect the pricing of quality and liquidity in the stock market? pp. 17

Bazgour Tarik, Heuchenne Cedric, Georges Hübner and Sougné Danielle

The European growth synchronization through crises and structural changes pp. 17

Merih Uctum, Remzi Uctum and Vijverberg Chu-Ping C.

Disentangling the source of non-stationarity in a panel of seasonal data pp. 18

Hsu Shih-Hsun

Outliers and misleading leverage effect in asymmetric GARCH-type models pp. 19

M. Angeles Carnero and Pérez Ana

What model for the target rate pp. 23

Bruno Feunou, Jean-Sebastien Fontaine and Jin Jianjian

Computational Methods for Production-Based Asset Pricing Models with Recursive Utility pp. 26

Aldrich Eric Mark and Kung Howard

Volume 24, issue 5, 2020

An interview with Howell Tong pp. 8

Fredj Jawadi

Capital mobility in commodity-exporting economies pp. 10

Andrey Polbin, Rybak Konstantin and Andrey Zubarev

Money growth variability and output: evidence with credit card-augmented Divisia monetary aggregates pp. 11

Liu Jinan and Apostolos Serletis

Unconventional monetary policy in a nonlinear quadratic model pp. 19

Faulwasser Timm, Gross Marco, Willi Semmler and Prakash Loungani

The role of the threshold effect for the dynamics of futures and spot prices of energy commodities pp. 20

Michał Rubaszek, Karolak Zuzanna, Kwas Marek and Gazi Uddin

Causal relationships between inflation and inflation uncertainty pp. 26

William Barnett, Fredj Jawadi and Zied Ftiti

Exchange rates in India: current account monetarism in a nonlinear context pp. 27

Aditi Chaubal

Volume 24, issue 4, 2020

Unconventional monetary policy reaction functions: evidence from the US pp. 18

Agnello Luca, Vitor Castro, Gilles Dufrénot, Fredj Jawadi and Ricardo Sousa

Dissecting skewness under affine jump-diffusions pp. 19

Fang Zhen and Zhang Jin E.

The nonlinear effects of uncertainty shocks pp. 19

Jackson Laura E., Kevin Kliesen and Michael Owyang

Uncertainty and Forecasts of U.S. Recessions pp. 20

Christian Pierdzioch and Rangan Gupta

The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach pp. 23

Avdoulas Christos, Stelios Bekiros and Brian Lucey

Bayesian analysis of periodic asymmetric power GARCH models pp. 24

Aknouche Abdelhakim, Demmouche Nacer, Dimitrakopoulos Stefanos and Touche Nassim

Volume 24, issue 3, 2020

Income Inequality and Economic Growth: Heterogeneity and Nonlinearity pp. 15

Abebe Hailemariam and Ratbek Dzhumashev

A wavelet-based variance ratio unit root test for a system of equations pp. 16

Ali Abdul Aziz, Månsson Kristofer and Ghazi Shukur

A wavelet-based variance ratio unit root test for a system of equations pp. 16

Ali Abdul Aziz, Ghazi Shukur and Månsson Kristofer

Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions pp. 17

Christou Christina, Ruthira Naraidoo and Rangan Gupta

Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions pp. 17

Christou Christina, Ruthira Naraidoo and Rangan Gupta

Combining sign and parametric restrictions in SVARs by utilising Givens rotations pp. 19

Fisher Lance A. and Huh Hyeon-seung

Combining sign and parametric restrictions in SVARs by utilising Givens rotations pp. 19

Fisher Lance A. and Hyeon-seung Huh

Nonlinear interest rate-setting behaviour of German commercial banks pp. 28

Heinzelmann Ludwig and Missong Martin

Nonlinear interest rate-setting behaviour of German commercial banks pp. 28

Heinzelmann Ludwig and Missong Martin

The role of uncertainty on agricultural futures markets momentum trading and volatility pp. 39

Robert Czudaj

The role of uncertainty on agricultural futures markets momentum trading and volatility pp. 39

Robert Czudaj

Volume 24, issue 2, 2020

A threshold mixed count time series model: estimation and application pp. 18

Mardi Dungey, Vance Martin, Chrismin Tang and Andrew Tremayne

Forecasting the unemployment rate over districts with the use of distinct methods pp. 20

Wozniak Marcin

Temporal aggregation of random walk processes and implications for economic analysis pp. 20

Yamin Ahmad and Ivan Paya

Risk shocks with time-varying higher moments pp. 20

Dorofeenko Victor, Gabriel Lee, Kevin Salyer and Johannes Strobel

“Animal spirits” and bank’s lending behaviour, a disequilibrium approach pp. 21

Carl Chiarella, Corrado Di Guilmi and Zhi Tianhao

Constrained interest rates and changing dynamics at the zero lower bound pp. 26

Bäurle Gregor, Daniel Kaufmann, Sylvia Kaufmann and Rodney Strachan

Fiscal policy uncertainty and US output pp. 26

Michal Popiel

Volume 24, issue 1, 2020

Bond risk premia and the return forecasting factor pp. 12

Gutierrez Agustin, Constantino Hevia and Martin Sola

On the performance of information criteria for model identification of count time series pp. 16

Weiß Christian H. and Feld Martin H.-J.M.

A model for ordinal responses with heterogeneous status quo outcomes pp. 16

Andrei Sirchenko

Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks pp. 18

Lovcha Yuliya and Alejandro Perez-Laborda

Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence pp. 27

Feng Lingbing and Shi Yanlin

Testing for cointegration with threshold adjustment in the presence of structural breaks pp. 28

Schweikert Karsten