Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 18, issue 5, 2014

A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets pp. 483-505

Ignatieva Katja

Functional cointegration: definition and nonparametric estimation pp. 507-520

Anurag Banerjee and Jean-Yves Pitarakis

Nonlinearity, heterogeneity and unobserved effects in the carbon dioxide emissions-economic development relation for advanced countries pp. 521-541

Antonio Musolesi and Massimiliano Mazzanti

A growth model with qualities, varieties, and human capital: stability and transitional dynamics pp. 543-555

Tiago Sequeira, Alexandra Lopes and Orlando Gomes

Real vs. nominal cycles: a multistate Markov-switching bi-factor approach pp. 557-580

Danilo Leiva-Leon

Volume 18, issue 4, 2014

Forecast densities for economic aggregates from disaggregate ensembles pp. 367-381

Francesco Ravazzolo and Shaun Vahey

Construction, management, and performance of sparse Markowitz portfolios pp. 383-402

Henriques Julie and Ortega Juan-Pablo

An extensive study on Markov switching models with endogenous regressors pp. 403-418

Wang Xia, Shang Yuhuang and Zheng Tingguo

Do food commodity prices have asymmetric effects on euro-area inflation? pp. 419-443

Porqueddu Mario and Fabrizio Venditti

The effect of round-off error on long memory processes pp. 445-482

Gabriele La Spada and Lillo Fabrizio

Volume 18, issue 3, 2014

The effects of the monetary policy stance on the transmission mechanism pp. 217-236

Ana Galvão and Massimiliano Marcellino

Inequality-growth nexus along the development process pp. 237-252

Yi-Chen Lin, Ho-Chuan Huang and Yeh Chih-Chuan

Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function pp. 253-289

José Da Fonseca, Grasselli Martino and Florian Ielpo

Inventories, business cycles, and variable capital utilization pp. 291-308

Lucas Engelhardt

Factor-based forecasting in the presence of outliers: Are factors better selected and estimated by the median than by the mean? pp. 309-338

Johannes Kristensen

Estimating VAR-MGARCH models in multiple steps pp. 339-365

M. Angeles Carnero and Eratalay M. Hakan

Volume 18, issue 2, 2014

Assessing the quality of volatility estimators via option pricing pp. 103-124

Sanfelici Simona and Uboldi Adamo

Forecasting trading volume in the Chinese stock market based on the dynamic VWAP pp. 125-144

Ye Xunyu, Yan Rui and Li Handong

Saddle-node bifurcations in an optimal growth model with preferences for wealth habit pp. 145-156

Çağrı Sağlam, Turan Agah and Turan Hamide

Time-varying fiscal policy in the US pp. 157-184

Manuel Pereira and Artur Silva Lopes

Are income differences within the OECD diminishing? Evidence from Fourier unit root tests pp. 185-199

King Alan and Ramlogan-Dobson Carlyn

Fiscal policy in the BRICs pp. 201-215

Fredj Jawadi, Sushanta Mallick and Ricardo Sousa

Volume 18, issue 1, 2014

A tractable model for indices approximating the growth optimal portfolio pp. 1-21

Baldeaux Jan, Ignatieva Katja and Eckhard Platen

Breaks, trends and unit roots in commodity prices: a robust investigation pp. 23-40

Atanu Ghoshray, Mohitosh Kejriwal and Mark Wohar

Time variation in an optimal asymmetric preference monetary policy model pp. 41-49

Steven Cassou and Jesús Vázquez

Modelling nonlinearities in equity returns: the mean impact curve analysis pp. 51-72

Vance Martin, Sarkar Saikat and Kanto Antti Jaakko

Persistence in real exchange rate convergence pp. 73-88

Thanasis Stengos and Ege Yazgan

Herd behavior, bubbles and social interactions in financial markets pp. 89-101

Chang Sheng-Kai

Volume 17, issue 5, 2013

Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information? pp. 483-498

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

Jouchi Nakajima

Regimes and long memory in realized volatility pp. 521-549

Goldman Elena, Nam Jouahn, Tsurumi Hiroki and Wang Jun

Estimating C-CAPM and the equity premium over the frequency domain pp. 551-571

Sarantis Kalyvitis and Ekaterini Panopoulou

Determining the number of global and country-specific factors in the euro area pp. 573-617

Dias Francisco, Maximiano Pinheiro and António Rua

A maximum score test for binary response models pp. 619-639

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

Martin Burda and John Maheu

Off-the-record target zones: theory with an application to Hong Kong’s currency board pp. 373-393

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

Arora Siddharth, Little Max A. and Patrick McSharry

Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH pp. 421-438

Niu Wei-Fang

A value-at-risk analysis of carry trades using skew-GARCH models pp. 439-459

Wang Yu-Jen, Chung Huimin and Guo Jia-Hau

Income taxes and endogenous fluctuations: a generalization pp. 461-482

Gokan Yoichi

Volume 17, issue 3, 2013

The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations pp. 239-249

Stefan Reitz and Mark Taylor

Common large innovations across nonlinear time series pp. 251-263

Philip Hans Franses and Richard Paap

The forward rate premium puzzle: a case of misspecification?1) pp. 265-279

Stephen Hall, Amangeldi Kenjegaliev, Swamy P. A. V. B. and George Tavlas

A smooth transition long-memory model pp. 281-296

Marcel Aloy, Gilles Dufrénot, Charles Lai Tong and Peguin-Feissolle Anne

Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study pp. 297-312

Efthymios Pavlidis, Ivan Paya and David Peel

Threshold linkages between volatility and trading volume: evidence from developed and emerging markets pp. 313-333

Fredj Jawadi and Ureche-Rangau Loredana

Inventory investment and the business cycle: the usual suspect pp. 335-343

Frédérique Bec and Melika Ben Salem

Volume 17, issue 2, 2013

Stochastically weighted average conditional moment tests of functional form pp. 121-139

Hill Jonathan B.

Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico pp. 141-165

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

Beck Alexander, Kim Young Shin Aaron, Rachev Svetlozar, Feindt Michael and Frank Fabozzi

Quasi-maximum likelihood estimation of multivariate diffusions pp. 179-197

Huang Xiao

Time-varying cointegration, identification, and cointegration spaces pp. 199-209

Luis Martins and Vasco Gabriel

Noncausality and asset pricing pp. 211-220

Matthijs Lof

State space Markov switching models using wavelets pp. 221-238

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

Guido Schultefrankenfeld

A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series pp. 21-46

Christian Brownlees and Vannucci Marina

Learning under signal-to-noise ratio uncertainty pp. 47-83

Alex Ilek

Using transfer entropy to measure information flows between financial markets pp. 85-102

Thomas Dimpfl and Peter Franziska Julia

Computational aspects of portfolio risk estimation in volatile markets: a survey pp. 103-120

Frank Fabozzi, Stoyanov Stoyan V. and Rachev Svetlozar T.