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Studies in Nonlinear Dynamics & Econometrics

1996 - 2023

Current editor(s): Bruce Mizrach

From De Gruyter
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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

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
Zhang Jing, 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
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