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Studies in Nonlinear Dynamics & Econometrics

1996 - 2022

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 20, issue 5, 2016

Steady-state priors and Bayesian variable selection in VAR forecasting pp. 495-527 Downloads
Dimitrios Louzis
Dating US business cycles with macro factors pp. 529-547 Downloads
Sebastian Fossati
Effects of filtering data on testing asymmetry in threshold autoregressive models pp. 549-565 Downloads
Li Jing
The place of gold in the cross-market dependencies pp. 567-586 Downloads
Sofiane Aboura, Julien Chevallier, Jammazi Rania and Aviral Tiwari
Li-Yorke chaos in models with backward dynamics pp. 587-606 Downloads
David Stockman
Hopf bifurcation in an overlapping generations resource economy with endogenous population growth rate pp. 607-621 Downloads
Burcu Fazlıoğlu, Sağlam Hüseyin Çağrı and Mustafa Kerem Yüksel

Volume 20, issue 4, 2016

Introduction to Studies in Nonlinear Dynamics & Econometrics Issue in Honor of James B. Ramsey pp. 343-346 Downloads
Philip Rothman
Testing constancy of unconditional variance in volatility models by misspecification and specification tests pp. 347-364 Downloads
Annastiina Silvennoinen and Timo Teräsvirta
On the estimation of short memory components in long memory time series models pp. 365-375 Downloads
Baillie Richard T. and George Kapetanios
Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector pp. 377-398 Downloads
Neil Ericsson
Grain prices, oil prices, and multiple smooth breaks in a VAR pp. 399-419 Downloads
Walter Enders and Jones Paul
A non-linear forecast combination procedure for binary outcomes pp. 421-440 Downloads
Kajal Lahiri and Yang Liu
Oil-price density forecasts of US GDP pp. 441-453 Downloads
Francesco Ravazzolo and Philip Rothman
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility pp. 455-475 Downloads
Mark Jensen
Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries pp. 477-493 Downloads
Marco Gallegati, Mauro Gallegati, Ramsey James B. and Willi Semmler

Volume 20, issue 3, 2016

Structural changes in inflation dynamics: multiple breaks at different dates for different parameters pp. 211-231 Downloads
Yunjong Eo
Price discovery in the markets for credit risk: a Markov switching approach pp. 233-249 Downloads
Thomas Dimpfl and Peter Franziska J.
House prices and monetary policy pp. 251-277 Downloads
Paulo Brito, Giancarlo Marini and Alessandro Piergallini
Estimating stochastic volatility models using realized measures pp. 279-300 Downloads
Bekierman Jeremias and Gribisch Bastian
Public debt and macroeconomic activity: a predictive analysis for advanced economies pp. 301-324 Downloads
Baglan Deniz and Emre Yoldas
Information criteria for nonlinear time series models pp. 325-341 Downloads
Rinke Saskia and Philipp Sibbertsen

Volume 20, issue 2, 2016

Testing cointegration in quantile regressions with an application to the term structure of interest rates pp. 107-121 Downloads
Kuriyama Nina
Multi-criteria classification for pricing European options pp. 123-139 Downloads
Nikola Gradojevic
Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification pp. 141-157 Downloads
Wiriyawit Varang and Benjamin Wong
Common time variation of parameters in reduced-form macroeconomic models pp. 159-183 Downloads
Dalibor Stevanovic
Equilibrium pricing of currency options under a discontinuous model in a two-country economy pp. 185-198 Downloads
Xing Yu and Yang Xiaoping
Revisiting the statistical specification of near-multicollinearity in the logistic regression model pp. 199-210 Downloads
Bebonchu Atems and Jason Bergtold

Volume 20, issue 1, 2016

Are US real house prices stationary? New evidence from univariate and panel data pp. 1-18 Downloads
Jing Zhang, Robert de Jong and Donald Haurin
Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data pp. 19-36 Downloads
Lee Kyungsub
Outliers and persistence in threshold autoregressive processes pp. 37-56 Downloads
Yamin Ahmad and Luiggi Donayre
Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials pp. 57-74 Downloads
Juan Cuestas and Luis Gil-Alana
Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes pp. 75-96 Downloads
Tzagkarakis George, Dionysopoulos Thomas and Achim Alin
Selecting the tuning parameter of the ℓ1 trend filter pp. 97-105 Downloads
Yamada Hiroshi and Yoon Gawon

Volume 19, issue 5, 2015

Fourier inversion formulas for multiple-asset option pricing pp. 531-559 Downloads
Bruno Feunou and Tafolong Ernest
Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks pp. 561-584 Downloads
Nonejad Nima
Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests pp. 585-608 Downloads
Saafi Sami, Abdeljelil Farhat and Haj Mohamed Meriem Bel
Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the Euro area pp. 609-624 Downloads
Stelios Bekiros, Duc Khuong Nguyen, Gazi Uddin and Sjö Bo
Amplitude and phase synchronization of European business cycles: a wavelet approach pp. 625-655 Downloads
Joanna Bruzda
On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing pp. 657-668 Downloads
Georgios Bampinas and Theodore Panagiotidis
Stock market’s reaction to money supply: a nonparametric analysis pp. 669-689 Downloads
Abderrahim Taamouti

Volume 19, issue 4, 2015

A video interview of James Stock pp. 393-395 Downloads
Bruce Mizrach
More powerful cointegration tests with non-normal errors pp. 397-413 Downloads
Lee Hyejin, Junsoo Lee and Im Kyungso
Asset pricing with flexible beliefs pp. 415-443 Downloads
Axioglou Christos and Skouras Spyros
Improving model performance with the integrated wavelet denoising method pp. 445-467 Downloads
Chen Yi-Ting, Edward Sun and Min-Teh Yu
Noncausality and inflation persistence pp. 469-481 Downloads
Markku Lanne
A triple-threshold leverage stochastic volatility model pp. 483-500 Downloads
Wu Xin-Yu and Zhou Hai-Lin
Estimating dynamic copula dependence using intraday data pp. 501-529 Downloads
Lidan Grossmass and Ser-Huang Poon

Volume 19, issue 3, 2015

Bank characteristics and the interbank money market: a distributional approach pp. 249-283 Downloads
Giulia Iori, Kapar Burcu and Jose Olmo
State-dependent effects of fiscal policy pp. 285-315 Downloads
Steven Fazzari, James Morley and Irina Panovska
Panel conditional and multinomial logit with time-varying parameters pp. 317-337 Downloads
Myoung-jae Lee
Testing for co-nonlinearity pp. 339-353 Downloads
Håvard Hungnes
Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand pp. 355-376 Downloads
Lenard Lieb and Bertrand Candelon
Can we use seasonally adjusted variables in dynamic factor models? pp. 377-391 Downloads
Maximo Camacho, Yuliya Lovcha and Gabriel Perez Quiros

Volume 19, issue 2, 2015

Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model pp. 107-136 Downloads
Stelios Bekiros and Alessia Paccagnini
The limit distribution of evolving strategies in financial markets pp. 137-159 Downloads
Carl Chiarella and Corrado Di Guilmi
The changing dynamics of US inflation persistence: a quantile regression approach pp. 161-182 Downloads
Maik Wolters and Peter Tillmann
The effects of monetary policy regime shifts on the term structure of interest rates pp. 183-207 Downloads
Abdymomunov Azamat and Kang Kyu Ho
Endogenous technical change, employment and distribution in the Goodwin model of the growth cycle pp. 209-216 Downloads
Daniele Tavani and Luca Zamparelli
Do monetary policy shocks generate TAR or STAR dynamics in output? pp. 227-247 Downloads
Luiggi Donayre

Volume 19, issue 1, 2015

Efficient bond price approximations in non-linear equilibrium-based term structure models pp. 1-33 Downloads
Andreasen Martin M. and Pawel Zabczyk
Regime-switching cointegration pp. 35-48 Downloads
Markus Jochmann and Gary Koop
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects pp. 49-70 Downloads
Argyropoulos Efthymios and Elias Tzavalis
Factor instrumental variable quantile regression pp. 71-92 Downloads
Jau-er Chen
Non-parametric estimation of copula parameters: testing for time-varying correlation pp. 93-106 Downloads
Gong Jinguo, Shi Daimin, Weiou Wu and McMillan David
Page updated 2022-09-29