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Studies in Nonlinear Dynamics & Econometrics

1996 - 2022

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 16, issue 5, 2012

Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity pp. 1-27 Downloads
Tsong Ching-Chuan
Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity pp. 1-27 Downloads
Tsong Ching-Chuan
The Transitional Dynamics of an Endogenous Growth Model: Generalizing Production Functions pp. 1-27 Downloads
Manuel Gómez and Tiago Sequeira
Predicting Stock Returns Using a Variable Order Markov Tree Model pp. 1-33 Downloads
Shmilovici Armin and Ben-Gal Irad
How Do You Make A Time Series Sing Like a Choir? Extracting Embedded Frequencies from Economic and Financial Time Series using Empirical Mode Decomposition pp. 1-31 Downloads
Patrick Crowley
Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications pp. 1-37 Downloads
Emre Yoldas
Estimation of a Nonlinear Taylor Rule Using Real-Time U.S. Data pp. 1-26 Downloads
Jean-Francois Lamarche and Koustasy Zisimos

Volume 16, issue 4, 2012

Microfounded Animal Spirits in the New Macroeconomic Consensus pp. 1-41 Downloads
Franke Reiner
An Experimental Study on Expectations and Learning in Overlapping Generations Models pp. 1-49 Downloads
Heemeijer Peter, Cars Hommes, Joep Sonnemans and Jan Tuinstra
The Fiscal Cost of Financial Instability pp. 1-29 Downloads
Carl Chiarella and Corrado Di Guilmi
Identification of Interaction Effects in Survey Expectations: A Cautionary Note pp. 1-23 Downloads
Simone Alfarano and Mishael Milaković
Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations pp. 1-30 Downloads
Lines Marji and Frank Westerhoff
Introduction to the Current Issue pp. 1-1 Downloads
Lines Marji, Manzan Sebastiano and Frank Westerhoff
Asset Pricing with Heterogeneous Investment Horizons pp. 1-38 Downloads
Mikhail Anufriev and Giulio Bottazzi
Heterogeneous Learning Dynamics and Speed of Convergence pp. 1-20 Downloads
Michele Berardi

Volume 16, issue 3, 2012

Borrowing Constraints and House Price Dynamics: The Case of Large Shocks pp. 1-36 Downloads
Essi Eerola and Niku Määttänen
On the Interrelation of Capital and Labor Adjustment Costs at the Firm Level pp. 1-36 Downloads
Athanasios Lapatinas
A New Forecasting Model for USD/CNY Exchange Rate pp. 1-20 Downloads
Zongwu Cai, Chen Linna and Ying Fang
A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis pp. 1-24 Downloads
Meinl Thomas and Edward Sun
A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences pp. 1-39 Downloads
Martinez Oscar and Jose Olmo
Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models pp. 1-33 Downloads
Esther Ruiz and Pérez Ana

Volume 16, issue 2, 2012

The Macrodynamics of External Overborrowing and Systemic Instability in a Small Open Economy pp. 1-27 Downloads
Bernardo Maggi, Eleonora Cavallaro and Marcella Mulino
The Convergence of Economic Developments pp. 1-23 Downloads
Caputo Michele
Economic Stability and the Choice of the Target Inflation Index pp. 1-37 Downloads
Alessandro Flamini
Expectations Dynamics: Policy, Announcements and Limits to Dynamic Inconsistency pp. 1-25 Downloads
Andrew Hughes Hallett, Nicola Acocella and Giovanni Di Bartolomeo
Introduction to the Current Issue pp. 1-1 Downloads
Giuseppe De Arcangelis and Enrico Saltari
Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies pp. 1-38 Downloads
Carl Chiarella, Peter Flaschel, Köper Carsten, Christian Proaño and Willi Semmler
How Much Should a Nation Save? A New Answer pp. 1-36 Downloads
Olivier de La Grandville
Continuous-Tme Econometrics of Structural Models pp. 1-28 Downloads
Wymer Clifford R.
Routes to Complexity Induced by Constraints in Cournot Oligopoly Games with Linear Reaction Functions pp. 1-30 Downloads
Gian Italo Bischi and Lamantia Fabio
Technological Adoption with Imperfect Markets in the Italian Economy pp. 1-30 Downloads
Enrico Saltari, Wymer Clifford R., Daniela Federici and Marilena Giannetti

Volume 16, issue 1, 2012

Asymmetric Unemployment Rate Dynamics in Australia pp. 1-22 Downloads
Gunnar Bårdsen, Stan Hurn and McHugh Zöe
Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges pp. 1-24 Downloads
Kurt Brännäs, Jan G. Gooijer, Lönnbark Carl and Soultanaeva Albina
The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach pp. 1-33 Downloads
Chung Y. Peter and Zhou Zhong-guo
Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty pp. 1-27 Downloads
Michael Clements
Flexible Modelling of Duration of Unemployment Using Functional Hazard Models and Penalized Splines: A Case Study Comparing Germany and the UK pp. 1-27 Downloads
Westerheide Nina and Kauermann Goeran
Band-Limited Stochastic Processes in Discrete and Continuous Time pp. 1-29 Downloads
David Pollock

Volume 15, issue 4, 2011

Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis pp. 1-32 Downloads
Monica Billio and Roberto Casarin
Constrained k-class Estimators in the Presence of Weak Instruments pp. 1-13 Downloads
Emma Iglesias
Panel Cointegration Rank Testing with Cross-Section Dependence pp. 1-43 Downloads
Josep Carrion-i-Silvestre and Surdeanu Laura
Stages of Economic Development in an Innovation-Education Growth Model pp. 1-25 Downloads
Manuel Gómez
A Computationally Practical Robust Simulation Estimator for Dynamic Panel Tobit Models pp. 1-21 Downloads
Chang Sheng-Kai
Early Detection Techniques for Market Risk Failure pp. 1-55 Downloads
Jose Olmo and William Pouliot

Volume 15, issue 3, 2011

Purchasing Power Parity Analyzed from a Continuous-Time Model pp. 1-26 Downloads
Nicolau João
Extracting the Cyclical Component in Hours Worked pp. 1-28 Downloads
Mauro Bernardi, Della Corte Giuseppe and Tommaso Proietti
International Output Convergence, Breaks, and Asymmetric Adjustment pp. 1-33 Downloads
Dimitris Christopoulos and Miguel Leon-Ledesma
Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions pp. 1-21 Downloads
Minxian Yang
Semi-Parametric Forecasting of Realized Volatility pp. 1-23 Downloads
Becker Ralf, Adam Clements and Stan Hurn
Debt Sustainability in Selected Euro Area Countries: Empirical Evidence Estimating Time-Varying Parameters pp. 1-23 Downloads
Fincke Bettina and Greiner Alfred

Volume 15, issue 2, 2011

Real-Time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty pp. 1-43 Downloads
Alessandro Flamini and Costas Milas
Alternative Estimators of Long-Range Dependence pp. 1-37 Downloads
Viviana Fernandez
Contemporaneous-Threshold Smooth Transition GARCH Models pp. 1-25 Downloads
Michael Dueker, Zacharias Psaradakis, Martin Sola and Fabio Spagnolo
Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods pp. 1-25 Downloads
Karagianni Stella and Catherine Kyrtsou
Filtering Time Series with Penalized Splines pp. 1-28 Downloads
Kauermann Goeran, Krivobokova Tatyana and Willi Semmler
Nonparametric Testing for Linearity in Cointegrated Error-Correction Models pp. 1-28 Downloads
Seo Byeongseon

Volume 15, issue 1, 2010

The Determinants of International Financial Integration Revisited: The Role of Networks and Geographic Neutrality pp. 1-55 Downloads
Iván Arribas, Francisco Perez and Emili Tortosa-Ausina
Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach pp. 1-29 Downloads
Alicia Pérez-Alonso and Silvestro Di Sanzo
Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding pp. 1-12 Downloads
Aparicio Teresa, Pozo Eduardo F. and Saura Dulce
Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency pp. 1-43 Downloads
Lee Jihyun, Kim Tong S and Lee Hoe Kyung
Spurious Regressions of Stationary AR(p) Processes with Structural Breaks pp. 1-25 Downloads
Ba Chu and Roman Kozhan
Testing the Martingale Property of Exchange Rates: A Replication pp. 1-19 Downloads
Jorge Belaire-Franch and Contreras Dulce
Page updated 2022-09-26