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Studies in Nonlinear Dynamics & Econometrics

1996 - 2022

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 22, issue 5, 2018

An Interview with Timo Teräsvirta pp. 5 Downloads
Fredj Jawadi
Testing for misspecification in the short-run component of GARCH-type models pp. 17 Downloads
Thomas Chuffart, Emmanuel Flachaire and Péguin-Feissolle Anne
Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule pp. 17 Downloads
Anh Nguyen, Efthymios Pavlidis and David Peel
Can a Taylor rule better explain the Fed’s monetary policy through the 1920s and 1930s? A nonlinear cliometric analysis pp. 18 Downloads
Olivier Damette, Fredj Jawadi and Antoine Parent
Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market pp. 19 Downloads
Alvaro Escribano and Torrado María
Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach pp. 19 Downloads
Kotz Hans-Helmut, Willi Semmler and Tahri Ibrahim
Time-varying asymmetry and tail thickness in long series of daily financial returns pp. 21 Downloads
Mazur Błażej and Mateusz Pipień
Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE pp. 25 Downloads
Prono Todd
Modeling time-variation over the business cycle (1960–2017): an international perspective pp. 25 Downloads
Martínez-García Enrique
P-star model for India: a nonlinear approach pp. 28 Downloads
Aditi Chaubal

Volume 22, issue 4, 2018

A New Method for Specifying the Tuning Parameter of ℓ1 Trend Filtering pp. 8 Downloads
Yamada Hiroshi
Market concentration and market power of the Swedish mortgage Sector – a wavelet panel efficiency analysis pp. 16 Downloads
Månsson Kristofer, Sjölander Pär and Ghazi Shukur
The Rescaled VAR Model with an Application to Mixed-Frequency Macroeconomic Forecasting pp. 16 Downloads
Andrea Giusto and İşcan Talan B.
Bayesian Subset Selection for Two-Threshold Variable Autoregressive Models pp. 16 Downloads
Ni Shuxia, Xia Qiang and Liu Jinshan
A hidden Markov regime-switching smooth transition model pp. 21 Downloads
Elliott Robert J., Tak Kuen Siu and Lau John W.

Volume 22, issue 3, 2018

A simple solution of the spurious regression problem pp. 14 Downloads
Wang Cindy Shin-Huei and Christian Hafner
Local/import – and foreign currency prices: inflation, uncertainty and pass through endogeneity pp. 17 Downloads
Herwartz Helmut and Roestel Jan
Regime switching with structural breaks in output convergence pp. 17 Downloads
Beylunioğlu Fuat C., Ege Yazgan and Thanasis Stengos
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns pp. 27 Downloads
Markus Haas and Liu Ji-Chun
Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications pp. 29 Downloads
Phillip Andrew, Chan Jennifer S.K. and Peiris Shelton

Volume 22, issue 2, 2018

The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach pp. 8 Downloads
Efthymios Pavlidis and Mike Tsionas
Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models pp. 15 Downloads
Nikolai Sheung-Chi Chow, Cunado Juncal, Rangan Gupta and Wing-Keung Wong
Estimation and inference of threshold regression models with measurement errors pp. 16 Downloads
Terence Tai Leung Chong, Chen Haiqiang, Tsz-Nga Wong and Yan Isabel Kit-Ming
Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and granger causality tests pp. 16 Downloads
Tipoy Christian K., Marthinus Breitenbach and Zerihun Mulatu F.
Uncertainty in the housing market: evidence from US states pp. 17 Downloads
Christidou Maria and Stilianos Fountas
Markov-switching quantile autoregression: a Gibbs sampling approach Downloads
Xiaochun Liu and Richard Luger

Volume 22, issue 1, 2018

Introduction: Special Issue Honoring the Contributions of Walter Enders pp. 2 Downloads
Junsoo Lee and Ma Jun
Time-varying correlations and Sharpe ratios during quantitative easing pp. 11 Downloads
Jones Paul M. and O’Steen Haley
Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples pp. 11 Downloads
Luiggi Donayre, Yunjong Eo and James Morley
Nonlinear Taylor rules: evidence from a large dataset pp. 14 Downloads
Ma Jun, Eric Olson and Mark Wohar
Evaluating the impact of the labor market conditions index on labor market forecasts pp. 17 Downloads
Connolly Laura and Sheehan Alice
Flexible Fourier form for volatility breaks pp. 19 Downloads
Li Jing and Walter Enders
Nonlinear evidence on the existence of jobless recoveries pp. 19 Downloads
Bradley Michael D. and Dennis Jansen
Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics pp. 19 Downloads
Omid Ardakani and N Kishor
Public debt and economic growth conundrum: nonlinearity and inter-temporal relationship pp. 20 Downloads
Vladimir Arčabić, Josip Tica, Junsoo Lee and Robert Sonora
Testing for a unit root against ESTAR stationarity pp. 29 Downloads
David Harvey, Stephen Leybourne and Emily Whitehouse

Volume 21, issue 5, 2017

On the determinants of the 2008 financial crisis: a Bayesian approach to the selection of groups and variables pp. 17 Downloads
Chen Ray-Bing, Lee Kuo-Jung, Chen Yi-Chi and Chu Chi-Hsiang
A new recognition algorithm for “head-and-shoulders” price patterns pp. 18 Downloads
Terence Tai Leung Chong and Poon Ka-Ho
Generating prediction bands for path forecasts from SETAR models pp. 18 Downloads
Grabowski Daniel, Peter Winker and Anna Staszewska-Bystrova
Multi-level factor analysis of bond risk premia pp. 19 Downloads
Dukpa Kim, Yunjung Kim and Bak Yuhyeon
Interest rate pass-through: a nonlinear vector error-correction approach pp. 20 Downloads
Michal Popiel

Volume 21, issue 4, 2017

Using the hybrid Phillips curve with memory to forecast US inflation pp. 16 Downloads
Chu Shiou-Yen and Shane Christopher
Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models pp. 18 Downloads
Reusens Peter and Croux Christophe
Time-varying persistence of inflation: evidence from a wavelet-based approach pp. 18 Downloads
Boubaker Heni, Giorgio Canarella, Stephen Miller and Rangan Gupta
The reaction of stock market returns to unemployment pp. 20 Downloads
Jesus Gonzalo and Abderrahim Taamouti
Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries pp. 21 Downloads
Juan Cuestas and Bo Tang
Nonstationary autoregressive conditional duration models pp. 22 Downloads
Mishra Anuj and Ramanathan Thekke Variyam

Volume 21, issue 3, 2017

Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach pp. 12 Downloads
Stelios Bekiros, Muzaffar Ahmed T., Uddin Gazi S. and Vidal-García Javier
Detecting capital market convergence clubs pp. 14 Downloads
Beylunioglu Fuat C., Thanasis Stengos and Ege Yazgan
VEC-MSF models in Bayesian analysis of short- and long-run relationships pp. 22 Downloads
Anna Pajor and Justyna Wróblewska
Estimation of long memory in volatility using wavelets pp. 22 Downloads
Kraicová Lucie and Jozef Baruník
Changes in persistence, spurious regressions and the Fisher hypothesis pp. 28 Downloads
Robinson Kruse, Daniel Ventosa-Santaulària and Antonio Noriega

Volume 21, issue 2, 2017

Macroeconomic (in)stability and endogenous market structure with productive government expenditure pp. 16 Downloads
Chang Cheng-Wei and Ching-chong Lai
Time elements and oscillatory fluctuations in the Keynesian macroeconomic system pp. 22 Downloads
Hiroki Murakami
A Markov-switching regression model with non-Gaussian innovations: estimation and testing pp. 22 Downloads
Luca De Angelis and Viroli Cinzia
Semi-global solutions to DSGE models: perturbation around a deterministic path pp. 28 Downloads
Viktors Ajevskis
Forecast accuracy of a BVAR under alternative specifications of the zero lower bound pp. 29 Downloads
Tim Berg

Volume 21, issue 1, 2017

Introduction: recent developments of switching models for financial data pp. 1-2 Downloads
Gilles Dufrénot and Fredj Jawadi
On the estimation of regime-switching Lévy models pp. 3-29 Downloads
Julien Chevallier and Stéphane Goutte
RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis pp. 31-45 Downloads
Meng Ming, Junsoo Lee and James Payne
Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach pp. 47-63 Downloads
Chlibi Souhir, Fredj Jawadi and Sellami Mohamed
Specification analysis in regime-switching continuous-time diffusion models for market volatility pp. 65-80 Downloads
Bu Ruijun, Cheng Jie and Kaddour Hadri
A semiparametric nonlinear quantile regression model for financial returns pp. 81-97 Downloads
Krenar Avdulaj and Jozef Baruník
A model of the euro-area yield curve with discrete policy rates pp. 99-116 Downloads
Jean-Paul Renne
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