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Studies in Nonlinear Dynamics & Econometrics

1996 - 2017

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 17, issue 5, 2013

Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information? pp. 483-498 Downloads
James Morley, Jeremy Piger and Pao-Lin Tien
Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns pp. 499-520 Downloads
Jouchi Nakajima
Regimes and long memory in realized volatility pp. 521-549 Downloads
Goldman Elena, Nam Jouahn, Tsurumi Hiroki and Wang Jun
Estimating C-CAPM and the equity premium over the frequency domain pp. 551-571 Downloads
Sarantis Kalyvitis and Ekaterini Panopoulou
Determining the number of global and country-specific factors in the euro area pp. 573-617 Downloads
Dias Francisco, António Rua and Maximiano Pinheiro
A maximum score test for binary response models pp. 619-639 Downloads
Mayer Walter J. and Wu Chen

Volume 17, issue 4, 2013

Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models pp. 345-372 Downloads
Martin Burda and John Maheu
Off-the-record target zones: theory with an application to Hong Kong’s currency board pp. 373-393 Downloads
Yu-Fu Chen, Michael Funke and Nicole Glanemann
Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product pp. 395-420 Downloads
Arora Siddharth, Little Max A. and Patrick McSharry
Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH pp. 421-438 Downloads
Niu Wei-Fang
A value-at-risk analysis of carry trades using skew-GARCH models pp. 439-459 Downloads
Wang Yu-Jen, Chung Huimin and Guo Jia-Hau
Income taxes and endogenous fluctuations: a generalization pp. 461-482 Downloads
Gokan Yoichi

Volume 17, issue 3, 2013

The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations pp. 239-249 Downloads
Stefan Reitz and Taylor Mark P.
Common large innovations across nonlinear time series pp. 251-263 Downloads
Philip Hans Franses and Richard Paap
The forward rate premium puzzle: a case of misspecification? pp. 265-279 Downloads
Stephen Hall, Amangeldi Kenjegaliev, Swamy P. A. V. B. and George Tavlas
A smooth transition long-memory model pp. 281-296 Downloads
Marcel Aloy, Tong Charles Lai, Anne Peguin-Feissolle and Gilles Dufrénot
Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study pp. 297-312 Downloads
Efthymios Pavlidis, Ivan Paya and David Peel
Threshold linkages between volatility and trading volume: evidence from developed and emerging markets pp. 313-333 Downloads
Fredj Jawadi and Ureche-Rangau Loredana
Inventory investment and the business cycle: the usual suspect pp. 335-343 Downloads
Frédérique Bec and Melika Ben Salem

Volume 17, issue 2, 2013

Stochastically weighted average conditional moment tests of functional form pp. 121-139 Downloads
Jonathan Hill
Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico pp. 141-165 Downloads
Luiz de Mello, Diego Moccero and Matteo Mogliani
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data pp. 167-177 Downloads
Beck Alexander, Kim Young Shin Aaron, Rachev Svetlozar, Feindt Michael and Frank Fabozzi
Quasi-maximum likelihood estimation of multivariate diffusions pp. 179-197 Downloads
Huang Xiao
Time-varying cointegration, identification, and cointegration spaces pp. 199-209 Downloads
Luis Martins and Vasco Gabriel
Noncausality and asset pricing pp. 211-220 Downloads
Matthijs Lof
State space Markov switching models using wavelets pp. 221-238 Downloads
Alencar Airlane P., Morettin Pedro A. and Toloi Clelia M.C.

Volume 17, issue 1, 2013

Forecast uncertainty and the Bank of England’s interest rate decisions pp. 1-20 Downloads
Guido Schultefrankenfeld
A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series pp. 21-46 Downloads
Christian Brownlees and Vannucci Marina
Learning under signal-to-noise ratio uncertainty pp. 47-83 Downloads
Ilek Alex
Using transfer entropy to measure information flows between financial markets pp. 85-102 Downloads
Dimpfl Thomas and Peter Franziska Julia
Computational aspects of portfolio risk estimation in volatile markets: a survey pp. 103-120 Downloads
Frank Fabozzi, Stoyanov Stoyan V. and Rachev Svetlozar T.

Volume 16, issue 5, 2012

Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity pp. 1-27 Downloads
Tsong Ching-Chuan
Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity pp. 1-27 Downloads
Tsong Ching-Chuan
The Transitional Dynamics of an Endogenous Growth Model: Generalizing Production Functions pp. 1-27 Downloads
Gómez Manuel A. and Tiago Sequeira
Estimation of a Nonlinear Taylor Rule Using Real-Time U.S. Data pp. 1-26 Downloads
Jean-Francois Lamarche and Koustasy Zisimos
Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications pp. 1-37 Downloads
Emre Yoldas
How Do You Make A Time Series Sing Like a Choir? Extracting Embedded Frequencies from Economic and Financial Time Series using Empirical Mode Decomposition pp. 1-31 Downloads
Patrick Crowley
Predicting Stock Returns Using a Variable Order Markov Tree Model pp. 1-33 Downloads
Shmilovici Armin and Ben-Gal Irad

Volume 16, issue 4, 2012

Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations pp. 1-30 Downloads
Lines Marji and Frank Westerhoff
Identification of Interaction Effects in Survey Expectations: A Cautionary Note pp. 1-23 Downloads
Simone Alfarano and Mishael Milaković
Heterogeneous Learning Dynamics and Speed of Convergence pp. 1-20 Downloads
Michele Berardi
Asset Pricing with Heterogeneous Investment Horizons pp. 1-38 Downloads
Mikhail Anufriev and Giulio Bottazzi
The Fiscal Cost of Financial Instability pp. 1-29 Downloads
Carl Chiarella and Corrado Di Guilmi
Introduction to the Current Issue pp. 1-1 Downloads
Lines Marji, Manzan Sebastiano and Frank Westerhoff
Microfounded Animal Spirits in the New Macroeconomic Consensus pp. 1-41 Downloads
Franke Reiner
An Experimental Study on Expectations and Learning in Overlapping Generations Models pp. 1-49 Downloads
Heemeijer Peter, Cars Hommes, Joep Sonnemans and Jan Tuinstra

Volume 16, issue 3, 2012

A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis pp. 1-24 Downloads
Meinl Thomas and Edward Sun
Borrowing Constraints and House Price Dynamics: The Case of Large Shocks pp. 1-36 Downloads
Essi Eerola and Niku Määttänen
On the Interrelation of Capital and Labor Adjustment Costs at the Firm Level pp. 1-36 Downloads
Athanasios Lapatinas
Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models pp. 1-33 Downloads
Esther Ruiz and Pérez Ana
A New Forecasting Model for USD/CNY Exchange Rate pp. 1-20 Downloads
Zongwu Cai, Chen Linna and Ying Fang
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences pp. 1-39 Downloads
Martinez Oscar and Jose Olmo

Volume 16, issue 2, 2012

Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies pp. 1-38 Downloads
Carl Chiarella, Peter Flaschel, Köper Carsten, Christian Proaño and Willi Semmler
The Macrodynamics of External Overborrowing and Systemic Instability in a Small Open Economy pp. 1-27 Downloads
Bernardo Maggi, Eleonora Cavallaro and Marcella Mulino
Introduction to the Current Issue pp. 1-1 Downloads
Giuseppe De Arcangelis and Enrico Saltari
Expectations Dynamics: Policy, Announcements and Limits to Dynamic Inconsistency pp. 1-25 Downloads
Andrew Hughes Hallett, Nicola Acocella and Giovanni Di Bartolomeo
How Much Should a Nation Save? A New Answer pp. 1-36 Downloads
Olivier de La Grandville
Routes to Complexity Induced by Constraints in Cournot Oligopoly Games with Linear Reaction Functions pp. 1-30 Downloads
Gian Italo Bischi and Lamantia Fabio
Technological Adoption with Imperfect Markets in the Italian Economy pp. 1-30 Downloads
Enrico Saltari, Wymer Clifford R., Daniela Federici and Giannetti Marilena
Continuous-Tme Econometrics of Structural Models pp. 1-28 Downloads
Wymer Clifford R.
Economic Stability and the Choice of the Target Inflation Index pp. 1-37 Downloads
Alessandro Flamini
The Convergence of Economic Developments pp. 1-23 Downloads
Caputo Michele

Volume 16, issue 1, 2012

The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach pp. 1-33 Downloads
Chung Y. Peter and Zhou Zhong-guo
Band-Limited Stochastic Processes in Discrete and Continuous Time pp. 1-29 Downloads
David Pollock
Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty pp. 1-27 Downloads
Michael Clements
Flexible Modelling of Duration of Unemployment Using Functional Hazard Models and Penalized Splines: A Case Study Comparing Germany and the UK pp. 1-27 Downloads
Westerheide Nina and Kauermann Goeran
Asymmetric Unemployment Rate Dynamics in Australia pp. 1-22 Downloads
Gunnar Bårdsen, Stan Hurn and McHugh Zöe
Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges pp. 1-24 Downloads
Kurt Brännäs, Jan G. Gooijer, Lönnbark Carl and Soultanaeva Albina
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