Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
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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.

Volume 16, issue 5, 2012

Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity pp. 1-27

Tsong Ching-Chuan

Estimation of a Nonlinear Taylor Rule Using Real-Time U.S. Data pp. 26

Jean-Francois Lamarche and Koustasy Zisimos

Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity pp. 27

Tsong Ching-Chuan

The Transitional Dynamics of an Endogenous Growth Model: Generalizing Production Functions pp. 27

Manuel Gómez and Tiago Sequeira

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. 31

Patrick Crowley

Predicting Stock Returns Using a Variable Order Markov Tree Model pp. 33

Shmilovici Armin and Ben-Gal Irad

Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications pp. 37

Emre Yoldas

Volume 16, issue 4, 2012

Introduction to the Current Issue pp. 1

Lines Marji, Manzan Sebastiano and Frank Westerhoff

Heterogeneous Learning Dynamics and Speed of Convergence pp. 20

Michele Berardi

Identification of Interaction Effects in Survey Expectations: A Cautionary Note pp. 23

Simone Alfarano and Mishael Milaković

The Fiscal Cost of Financial Instability pp. 29

Carl Chiarella and Corrado Di Guilmi

Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations pp. 30

Lines Marji and Frank Westerhoff

Asset Pricing with Heterogeneous Investment Horizons pp. 38

Mikhail Anufriev and Giulio Bottazzi

Microfounded Animal Spirits in the New Macroeconomic Consensus pp. 41

Franke Reiner

An Experimental Study on Expectations and Learning in Overlapping Generations Models pp. 49

Heemeijer Peter, Cars Hommes, Joep Sonnemans and Jan Tuinstra

Volume 16, issue 3, 2012

A New Forecasting Model for USD/CNY Exchange Rate pp. 20

Zongwu Cai, Chen Linna and Ying Fang

A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis pp. 24

Meinl Thomas and Edward Sun

Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models pp. 33

Esther Ruiz and Pérez Ana

Borrowing Constraints and House Price Dynamics: The Case of Large Shocks pp. 36

Essi Eerola and Niku Määttänen

On the Interrelation of Capital and Labor Adjustment Costs at the Firm Level pp. 36

Athanasios Lapatinas

A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences pp. 39

Martinez Oscar and Jose Olmo

Volume 16, issue 2, 2012

Introduction to the Current Issue pp. 1

Giuseppe De Arcangelis and Enrico Saltari

The Convergence of Economic Developments pp. 23

Caputo Michele

Expectations Dynamics: Policy, Announcements and Limits to Dynamic Inconsistency pp. 25

Andrew Hughes Hallett, Nicola Acocella and Giovanni Di Bartolomeo

The Macrodynamics of External Overborrowing and Systemic Instability in a Small Open Economy pp. 27

Bernardo Maggi, Eleonora Cavallaro and Marcella Mulino

Continuous-Tme Econometrics of Structural Models pp. 28

Wymer Clifford R.

Routes to Complexity Induced by Constraints in Cournot Oligopoly Games with Linear Reaction Functions pp. 30

Gian Italo Bischi and Lamantia Fabio

Technological Adoption with Imperfect Markets in the Italian Economy pp. 30

Enrico Saltari, Wymer Clifford R., Daniela Federici and Marilena Giannetti

How Much Should a Nation Save? A New Answer pp. 36

Olivier de La Grandville

Economic Stability and the Choice of the Target Inflation Index pp. 37

Alessandro Flamini

Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies pp. 38

Carl Chiarella, Peter Flaschel, Köper Carsten, Christian Proaño and Willi Semmler

Volume 16, issue 1, 2012

Asymmetric Unemployment Rate Dynamics in Australia pp. 22

Gunnar Bårdsen, Stan Hurn and McHugh Zöe

Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges pp. 24

Kurt Brännäs, Jan G. Gooijer, Lönnbark Carl and Soultanaeva Albina

Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty pp. 27

Michael Clements

Flexible Modelling of Duration of Unemployment Using Functional Hazard Models and Penalized Splines: A Case Study Comparing Germany and the UK pp. 27

Westerheide Nina and Kauermann Goeran

Band-Limited Stochastic Processes in Discrete and Continuous Time pp. 29

David Pollock

The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach pp. 33

Chung Y. Peter and Zhou Zhong-guo