Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 23, issue 5, 2019

An explicit formula for the smoother weights of the Hodrick–Prescott filter pp. 10

Yamada Hiroshi and Jahra Fatima Tuj

An intuitive skewness-based symmetry test applicable to stationary time series data pp. 17

Luke Hartigan

Smart or stupid depends on who is your counterpart: a cobweb model with heterogeneous expectations pp. 17

Guo Feng, Liu Chong and Shi Qingling

Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules pp. 17

Zhu Yanli, Chen Haiqiang and Lin Ming

An elementary business cycle mechanism: learning from Harrod and Kaldor pp. 18

Franke Reiner

Variance reduction estimation for return models with jumps using gamma asymmetric kernels pp. 38

Song Yuping, Hou Weijie and Zhou Shengyi

Volume 23, issue 4, 2019

Business cycles and indeterminacy in economic models: a special issue in Honor of Professor Kazuo Nishimura pp. 2

Ippei Fujiwara and Yano Makoto

Two-sided altruism as a motive for intergenerational transfer pp. 8

Fujiu Hiroshi and Makoto Yano

Two-sided altruism and time inconsistency pp. 10

Aoki Takaaki, Kazuo Nishimura and Yano Makoto

A new route to the rapid growth of the service sector: rise of the standard of living pp. 13

Harutaka Takahashi and Otsubo Kansho Piotr

Competitive equilibrium cycles for small discounting in discrete-time two-sector optimal growth models pp. 14

Alain Venditti

Pollution, carrying capacity and the Allee effect pp. 15

Bosi Stefano and David Desmarchelier

Bubble on real estate: the role of altruism and fiscal policy pp. 18

Lise Clain-Chamosset-Yvrard and Seegmuller Thomas

Optimal growth in the Robinson-Shinkai-Leontief model: the case of capital-intensive consumption goods pp. 18

Deng Liuchun, Fujio Minako and M. Khan

Hopf bifurcation and the existence and stability of closed orbits in three-sector models of optimal endogenous growth pp. 21

Kazuo Nishimura and Tadashi Shigoka

Volume 23, issue 3, 2019

Gamification of global climate change: an experimental analysis pp. 8

Nastis Stefanos A. and Pagoni Eirini Grammatiki

An efficient sequential learning algorithm in regime-switching environments pp. 13

Kim Jaeho and Lee Sunhyung

Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data pp. 17

Aviral Tiwari, Juncal Cuñado, Rangan Gupta and Mark Wohar

Flexible HAR model for realized volatility pp. 22

Francesco Audrino, Huang Chen and Ostap Okhrin

What cycles? Data detrending in DSGE models pp. 23

Xiaojin Sun and Kwok Ping Tsang

Volume 23, issue 2, 2019

A parametric stationarity test with smooth breaks pp. 14

Tsong Ching-Chuan, Lee Cheng-Feng and Tsai Li Ju

A unified framework jointly explaining business conditions, stock returns, volatility and “volatility feedback news” effects pp. 14

Kim Chang-Jin and Kim Yunmi

Foster-Hart optimization for currency portfolios pp. 15

Kurosaki Tetsuo and Kim Young Shin

Regression discontinuity designs with unknown state-dependent discontinuity points: estimation and testing pp. 18

Yang Lixiong

Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models pp. 22

Jennifer Chan, Kok Haur Ng, Nitithumbundit Thanakorn and Peiris Shelton

Asymmetric impact of uncertainty in recessions: are emerging countries more vulnerable? pp. 27

Pratiti Chatterjee

Volume 23, issue 1, 2019

Investment on human capital in a dynamic contest model pp. 15

Kerim Keskin and Çağrı Sağlam

A non-linear Keynesian Goodwin-type endogenous model of the cycle: Bayesian evidence for the USA pp. 16

Theodore Mariolis, Konstantinos Konstantakis, Panayotis Michaelides and Mike Tsionas

Think again: volatility asymmetry and volatility persistence pp. 19

Baur Dirk G. and Thomas Dimpfl

A regime switching skew-normal model of contagion pp. 24

Joshua Chan, Renee Fry-McKibbin and Cody Yu-Ling Hsiao

Methods for strengthening a weak instrument in the case of a persistent treatment pp. 30

Berthélemy Michel, Petyo Bonev, Dussaux Damien and Magnus Söderberg

A nonlinear model of asset returns with multiple shocks pp. 44

Kahra Hannu, Vance Martin and Sarkar Saikat

Volume 22, issue 5, 2018

An Interview with Timo Teräsvirta pp. 5

Fredj Jawadi

Testing for misspecification in the short-run component of GARCH-type models pp. 17

Thomas Chuffart, Emmanuel Flachaire and Péguin-Feissolle Anne

Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule pp. 17

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

Olivier Damette, Fredj Jawadi and Antoine Parent

Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market pp. 19

Alvaro Escribano and Torrado María

Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach pp. 19

Kotz Hans-Helmut, Willi Semmler and Tahri Ibrahim

Time-varying asymmetry and tail thickness in long series of daily financial returns pp. 21

Mazur Błażej and Mateusz Pipień

Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE pp. 25

Prono Todd

Modeling time-variation over the business cycle (1960–2017): an international perspective pp. 25

Martínez-García Enrique

P-star model for India: a nonlinear approach pp. 28

Aditi Chaubal

Volume 22, issue 4, 2018

A New Method for Specifying the Tuning Parameter of ℓ1 Trend Filtering pp. 8

Yamada Hiroshi

Market concentration and market power of the Swedish mortgage Sector – a wavelet panel efficiency analysis pp. 16

Månsson Kristofer, Sjölander Pär and Ghazi Shukur

The Rescaled VAR Model with an Application to Mixed-Frequency Macroeconomic Forecasting pp. 16

Andrea Giusto and İşcan Talan B.

Bayesian Subset Selection for Two-Threshold Variable Autoregressive Models pp. 16

Ni Shuxia, Xia Qiang and Liu Jinshan

A hidden Markov regime-switching smooth transition model pp. 21

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

Wang Cindy Shin-Huei and Christian Hafner

Local/import – and foreign currency prices: inflation, uncertainty and pass through endogeneity pp. 17

Herwartz Helmut and Roestel Jan

Regime switching with structural breaks in output convergence pp. 17

Beylunioğlu Fuat C., Thanasis Stengos and Ege Yazgan

A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns pp. 27

Markus Haas and Liu Ji-Chun

Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications pp. 29

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

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

Nikolai Sheung-Chi Chow, Cunado Juncal, Rangan Gupta and Wing-Keung Wong

Estimation and inference of threshold regression models with measurement errors pp. 16

Terence Tai Leung Chong, Chen Haiqiang, Russell Wong and Yan Isabel Kit-Ming

Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and granger causality tests pp. 16

Tipoy Christian K., Marthinus Breitenbach and Zerihun Mulatu F.

Uncertainty in the housing market: evidence from US states pp. 17

Christidou Maria and Stilianos Fountas

Markov-switching quantile autoregression: a Gibbs sampling approach

Xiaochun Liu and Richard Luger

Volume 22, issue 1, 2018

Introduction: Special Issue Honoring the Contributions of Walter Enders pp. 2

Junsoo Lee and Ma Jun

Time-varying correlations and Sharpe ratios during quantitative easing pp. 11

Jones Paul M. and O’Steen Haley

Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples pp. 11

Luiggi Donayre, Yunjong Eo and James Morley

Nonlinear Taylor rules: evidence from a large dataset pp. 14

Ma Jun, Eric Olson and Mark Wohar

Evaluating the impact of the labor market conditions index on labor market forecasts pp. 17

Connolly Laura and Alice Sheehan

Flexible Fourier form for volatility breaks pp. 19

Li Jing and Walter Enders

Nonlinear evidence on the existence of jobless recoveries pp. 19

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

Omid Ardakani and N Kishor

Public debt and economic growth conundrum: nonlinearity and inter-temporal relationship pp. 20

Vladimir Arčabić, Josip Tica, Junsoo Lee and Robert Sonora

Testing for a unit root against ESTAR stationarity pp. 29

David Harvey, Stephen Leybourne and Emily Whitehouse