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Studies in Nonlinear Dynamics & Econometrics

1996 - 2022

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 18, issue 5, 2014

A growth model with qualities, varieties, and human capital: stability and transitional dynamics pp. 13 Downloads
Tiago Sequeira, Alexandra Lopes and Orlando Gomes
Functional cointegration: definition and nonparametric estimation pp. 14 Downloads
Anurag Banerjee and Jean-Yves Pitarakis
Nonlinearity, heterogeneity and unobserved effects in the carbon dioxide emissions-economic development relation for advanced countries pp. 21 Downloads
Antonio Musolesi and Massimiliano Mazzanti
A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets pp. 23 Downloads
Ignatieva Katja
Real vs. nominal cycles: a multistate Markov-switching bi-factor approach pp. 24 Downloads
Danilo Leiva-Leon

Volume 18, issue 4, 2014

Forecast densities for economic aggregates from disaggregate ensembles pp. 15 Downloads
Francesco Ravazzolo and Shaun Vahey
An extensive study on Markov switching models with endogenous regressors pp. 16 Downloads
Wang Xia, Shang Yuhuang and Zheng Tingguo
Construction, management, and performance of sparse Markowitz portfolios pp. 20 Downloads
Henriques Julie and Ortega Juan-Pablo
Do food commodity prices have asymmetric effects on euro-area inflation? pp. 25 Downloads
Porqueddu Mario and Fabrizio Venditti
The effect of round-off error on long memory processes pp. 38 Downloads
Gabriele La Spada and Lillo Fabrizio

Volume 18, issue 3, 2014

Inequality-growth nexus along the development process pp. 16 Downloads
Yi-Chen Lin, Ho-Chuan Huang and Yeh Chih-Chuan
Inventories, business cycles, and variable capital utilization pp. 18 Downloads
Lucas Engelhardt
The effects of the monetary policy stance on the transmission mechanism pp. 20 Downloads
Ana Galvão and Massimiliano Marcellino
Estimating VAR-MGARCH models in multiple steps pp. 27 Downloads
M. Angeles Carnero and Eratalay M. Hakan
Factor-based forecasting in the presence of outliers: Are factors better selected and estimated by the median than by the mean? pp. 30 Downloads
Johannes Kristensen
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function pp. 37 Downloads
José Da Fonseca, Grasselli Martino and Florian Ielpo

Volume 18, issue 2, 2014

Saddle-node bifurcations in an optimal growth model with preferences for wealth habit pp. 12 Downloads
Çağrı Sağlam, Turan Agah and Turan Hamide
Are income differences within the OECD diminishing? Evidence from Fourier unit root tests pp. 15 Downloads
King Alan and Ramlogan-Dobson Carlyn
Fiscal policy in the BRICs pp. 15 Downloads
Fredj Jawadi, Sushanta Mallick and Ricardo Sousa
Forecasting trading volume in the Chinese stock market based on the dynamic VWAP pp. 20 Downloads
Ye Xunyu, Yan Rui and Li Handong
Assessing the quality of volatility estimators via option pricing pp. 22 Downloads
Sanfelici Simona and Uboldi Adamo
Time-varying fiscal policy in the US pp. 28 Downloads
Manuel Pereira and Artur Silva Lopes

Volume 18, issue 1, 2014

A tractable model for indices approximating the growth optimal portfolio pp. 1-21 Downloads
Baldeaux Jan, Ignatieva Katja and Eckhard Platen
Breaks, trends and unit roots in commodity prices: a robust investigation pp. 23-40 Downloads
Atanu Ghoshray, Mohitosh Kejriwal and Mark Wohar
Time variation in an optimal asymmetric preference monetary policy model pp. 41-49 Downloads
Steven Cassou and Jesús Vázquez
Modelling nonlinearities in equity returns: the mean impact curve analysis pp. 51-72 Downloads
Vance Martin, Sarkar Saikat and Kanto Antti Jaakko
Persistence in real exchange rate convergence pp. 73-88 Downloads
Thanasis Stengos and Ege Yazgan
Herd behavior, bubbles and social interactions in financial markets pp. 89-101 Downloads
Chang Sheng-Kai

Volume 17, issue 5, 2013

Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information? pp. 483-498 Downloads
James Morley, Jeremy Piger and Pao-Lin Tien
Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns pp. 499-520 Downloads
Jouchi Nakajima
Regimes and long memory in realized volatility pp. 521-549 Downloads
Goldman Elena, Nam Jouahn, Tsurumi Hiroki and Wang Jun
Estimating C-CAPM and the equity premium over the frequency domain pp. 551-571 Downloads
Sarantis Kalyvitis and Ekaterini Panopoulou
Determining the number of global and country-specific factors in the euro area pp. 573-617 Downloads
Dias Francisco, António Rua and Maximiano Pinheiro
A maximum score test for binary response models pp. 619-639 Downloads
Mayer Walter J. and Wu Chen

Volume 17, issue 4, 2013

Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models pp. 345-372 Downloads
Martin Burda and John Maheu
Off-the-record target zones: theory with an application to Hong Kong’s currency board pp. 373-393 Downloads
Yu-Fu Chen, Michael Funke and Nicole Glanemann
Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product pp. 395-420 Downloads
Arora Siddharth, Little Max A. and Patrick McSharry
Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH pp. 421-438 Downloads
Niu Wei-Fang
A value-at-risk analysis of carry trades using skew-GARCH models pp. 439-459 Downloads
Wang Yu-Jen, Chung Huimin and Guo Jia-Hau
Income taxes and endogenous fluctuations: a generalization pp. 461-482 Downloads
Gokan Yoichi

Volume 17, issue 3, 2013

The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations pp. 239-249 Downloads
Stefan Reitz and Mark Taylor
Common large innovations across nonlinear time series pp. 251-263 Downloads
Philip Hans Franses and Richard Paap
The forward rate premium puzzle: a case of misspecification? pp. 265-279 Downloads
Stephen Hall, Amangeldi Kenjegaliev, Swamy P. A. V. B. and George Tavlas
A smooth transition long-memory model pp. 281-296 Downloads
Marcel Aloy, Charles Lai Tong, Peguin-Feissolle Anne and Gilles Dufrénot
Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study pp. 297-312 Downloads
Efthymios Pavlidis, Ivan Paya and David Peel
Threshold linkages between volatility and trading volume: evidence from developed and emerging markets pp. 313-333 Downloads
Fredj Jawadi and Ureche-Rangau Loredana
Inventory investment and the business cycle: the usual suspect pp. 335-343 Downloads
Frédérique Bec and Melika Ben Salem

Volume 17, issue 2, 2013

Stochastically weighted average conditional moment tests of functional form pp. 121-139 Downloads
Hill Jonathan B.
Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico pp. 141-165 Downloads
Luiz de Mello, Diego Moccero and Matteo Mogliani
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data pp. 167-177 Downloads
Beck Alexander, Kim Young Shin Aaron, Rachev Svetlozar, Feindt Michael and Frank Fabozzi
Quasi-maximum likelihood estimation of multivariate diffusions pp. 179-197 Downloads
Huang Xiao
Time-varying cointegration, identification, and cointegration spaces pp. 199-209 Downloads
Luis Martins and Vasco Gabriel
Noncausality and asset pricing pp. 211-220 Downloads
Matthijs Lof
State space Markov switching models using wavelets pp. 221-238 Downloads
Alencar Airlane P., Morettin Pedro A. and Toloi Clelia M.C.

Volume 17, issue 1, 2013

Forecast uncertainty and the Bank of England’s interest rate decisions pp. 1-20 Downloads
Guido Schultefrankenfeld
A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series pp. 21-46 Downloads
Christian Brownlees and Vannucci Marina
Learning under signal-to-noise ratio uncertainty pp. 47-83 Downloads
Alex Ilek
Using transfer entropy to measure information flows between financial markets pp. 85-102 Downloads
Thomas Dimpfl and Peter Franziska Julia
Computational aspects of portfolio risk estimation in volatile markets: a survey pp. 103-120 Downloads
Frank Fabozzi, Stoyanov Stoyan V. and Rachev Svetlozar T.
Page updated 2022-09-29