Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

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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

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