Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

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

Chen Ray-Bing, Chen Yi-Chi, Chu Chi-Hsiang and Lee Kuo-Jung

A new recognition algorithm for “head-and-shoulders” price patterns pp. 18

Terence Tai Leung Chong and Poon Ka-Ho

Generating prediction bands for path forecasts from SETAR models pp. 18

Grabowski Daniel, Anna Staszewska-Bystrova and Peter Winker

Multi-level factor analysis of bond risk premia pp. 19

Dukpa Kim, Yunjung Kim and Bak Yuhyeon

Interest rate pass-through: a nonlinear vector error-correction approach pp. 20

Michal Popiel

Volume 21, issue 4, 2017

Using the hybrid Phillips curve with memory to forecast US inflation pp. 16

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

Reusens Peter and Croux Christophe

Time-varying persistence of inflation: evidence from a wavelet-based approach pp. 18

Boubaker Heni, Giorgio Canarella, Rangan Gupta and Stephen Miller

The reaction of stock market returns to unemployment pp. 20

Jesus Gonzalo and Abderrahim Taamouti

Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries pp. 21

Juan Cuestas and Bo Tang

Nonstationary autoregressive conditional duration models pp. 22

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

Stelios Bekiros, Muzaffar Ahmed T., Uddin Gazi S. and Vidal-García Javier

Detecting capital market convergence clubs pp. 14

Beylunioglu Fuat C., Thanasis Stengos and Ege Yazgan

VEC-MSF models in Bayesian analysis of short- and long-run relationships pp. 22

Anna Pajor and Justyna Wróblewska

Estimation of long memory in volatility using wavelets pp. 22

Kraicová Lucie and Jozef Baruník

Changes in persistence, spurious regressions and the Fisher hypothesis pp. 28

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

Chang Cheng-Wei and Ching-chong Lai

Time elements and oscillatory fluctuations in the Keynesian macroeconomic system pp. 22

Hiroki Murakami

A Markov-switching regression model with non-Gaussian innovations: estimation and testing pp. 22

Luca De Angelis and Viroli Cinzia

Semi-global solutions to DSGE models: perturbation around a deterministic path pp. 28

Viktors Ajevskis

Forecast accuracy of a BVAR under alternative specifications of the zero lower bound pp. 29

Tim Berg

Volume 21, issue 1, 2017

Introduction: recent developments of switching models for financial data pp. 1-2

Gilles Dufrénot and Fredj Jawadi

On the estimation of regime-switching Lévy models pp. 3-29

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

Meng Ming, Junsoo Lee and James Payne

Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach pp. 47-63

Chlibi Souhir, Fredj Jawadi and Sellami Mohamed

Specification analysis in regime-switching continuous-time diffusion models for market volatility pp. 65-80

Bu Ruijun, Cheng Jie and Kaddour Hadri

A semiparametric nonlinear quantile regression model for financial returns pp. 81-97

Krenar Avdulaj and Jozef Baruník

A model of the euro-area yield curve with discrete policy rates pp. 99-116

Jean-Paul Renne

Volume 20, issue 5, 2016

Steady-state priors and Bayesian variable selection in VAR forecasting pp. 495-527

Dimitrios Louzis

Dating US business cycles with macro factors pp. 529-547

Sebastian Fossati

Effects of filtering data on testing asymmetry in threshold autoregressive models pp. 549-565

Li Jing

The place of gold in the cross-market dependencies pp. 567-586

Sofiane Aboura, Julien Chevallier, Jammazi Rania and Aviral Tiwari

Li-Yorke chaos in models with backward dynamics pp. 587-606

David Stockman

Hopf bifurcation in an overlapping generations resource economy with endogenous population growth rate pp. 607-621

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

Philip Rothman

Testing constancy of unconditional variance in volatility models by misspecification and specification tests pp. 347-364

Annastiina Silvennoinen and Timo Teräsvirta

On the estimation of short memory components in long memory time series models pp. 365-375

Baillie Richard T. and George Kapetanios

Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector pp. 377-398

Neil Ericsson

Grain prices, oil prices, and multiple smooth breaks in a VAR pp. 399-419

Walter Enders and Jones Paul

A non-linear forecast combination procedure for binary outcomes pp. 421-440

Kajal Lahiri and Yang Liu

Oil-price density forecasts of US GDP pp. 441-453

Francesco Ravazzolo and Philip Rothman

Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility pp. 455-475

Mark Jensen

Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries pp. 477-493

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

Yunjong Eo

Price discovery in the markets for credit risk: a Markov switching approach pp. 233-249

Thomas Dimpfl and Peter Franziska J.

House prices and monetary policy pp. 251-277

Paulo Brito, Giancarlo Marini and Alessandro Piergallini

Estimating stochastic volatility models using realized measures pp. 279-300

Bekierman Jeremias and Gribisch Bastian

Public debt and macroeconomic activity: a predictive analysis for advanced economies pp. 301-324

Baglan Deniz and Emre Yoldas

Information criteria for nonlinear time series models pp. 325-341

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

Kuriyama Nina

Multi-criteria classification for pricing European options pp. 123-139

Nikola Gradojevic

Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification pp. 141-157

Wiriyawit Varang and Benjamin Wong

Common time variation of parameters in reduced-form macroeconomic models pp. 159-183

Dalibor Stevanovic

Equilibrium pricing of currency options under a discontinuous model in a two-country economy pp. 185-198

Xing Yu and Yang Xiaoping

Revisiting the statistical specification of near-multicollinearity in the logistic regression model pp. 199-210

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

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

Lee Kyungsub

Outliers and persistence in threshold autoregressive processes pp. 37-56

Yamin Ahmad and Luiggi Donayre

Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials pp. 57-74

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

Tzagkarakis George, Dionysopoulos Thomas and Achim Alin

Selecting the tuning parameter of the ℓ1 trend filter pp. 97-105

Yamada Hiroshi and Yoon Gawon