Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

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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

Volume 19, issue 5, 2015

Fourier inversion formulas for multiple-asset option pricing pp. 531-559

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

Nonejad Nima

Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests pp. 585-608

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

Stelios Bekiros, Duc Khuong Nguyen, Gazi Uddin and Sjö Bo

Amplitude and phase synchronization of European business cycles: a wavelet approach pp. 625-655

Joanna Bruzda

On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing pp. 657-668

Georgios Bampinas and Theodore Panagiotidis

Stock market’s reaction to money supply: a nonparametric analysis pp. 669-689

Abderrahim Taamouti

Volume 19, issue 4, 2015

A video interview of James Stock pp. 393-395

Bruce Mizrach

More powerful cointegration tests with non-normal errors pp. 397-413

Lee Hyejin, Junsoo Lee and Im Kyungso

Asset pricing with flexible beliefs pp. 415-443

Axioglou Christos and Skouras Spyros

Improving model performance with the integrated wavelet denoising method pp. 445-467

Chen Yi-Ting, Edward Sun and Min-Teh Yu

Noncausality and inflation persistence pp. 469-481

Markku Lanne

A triple-threshold leverage stochastic volatility model pp. 483-500

Wu Xin-Yu and Zhou Hai-Lin

Estimating dynamic copula dependence using intraday data pp. 501-529

Lidan Grossmass and Ser-Huang Poon

Volume 19, issue 3, 2015

Bank characteristics and the interbank money market: a distributional approach pp. 249-283

Giulia Iori, Kapar Burcu and Jose Olmo

State-dependent effects of fiscal policy pp. 285-315

Steven Fazzari, James Morley and Irina Panovska

Panel conditional and multinomial logit with time-varying parameters pp. 317-337

Myoung-jae Lee

Testing for co-nonlinearity pp. 339-353

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

Lenard Lieb and Bertrand Candelon

Can we use seasonally adjusted variables in dynamic factor models? pp. 377-391

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

Stelios Bekiros and Alessia Paccagnini

The limit distribution of evolving strategies in financial markets pp. 137-159

Carl Chiarella and Corrado Di Guilmi

The changing dynamics of US inflation persistence: a quantile regression approach pp. 161-182

Maik Wolters and Peter Tillmann

The effects of monetary policy regime shifts on the term structure of interest rates pp. 183-207

Abdymomunov Azamat and Kang Kyu Ho

Endogenous technical change, employment and distribution in the Goodwin model of the growth cycle pp. 209-216

Daniele Tavani and Luca Zamparelli

Do monetary policy shocks generate TAR or STAR dynamics in output? pp. 227-247

Luiggi Donayre

Volume 19, issue 1, 2015

Efficient bond price approximations in non-linear equilibrium-based term structure models pp. 1-33

Andreasen Martin M. and Pawel Zabczyk

Regime-switching cointegration pp. 35-48

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

Argyropoulos Efthymios and Elias Tzavalis

Factor instrumental variable quantile regression pp. 71-92

Jau-er Chen

Non-parametric estimation of copula parameters: testing for time-varying correlation pp. 93-106

Gong Jinguo, Weiou Wu, McMillan David and Shi Daimin