Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

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

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

Volume 15, issue 4, 2011

Constrained k-class Estimators in the Presence of Weak Instruments pp. 13

Emma Iglesias

A Computationally Practical Robust Simulation Estimator for Dynamic Panel Tobit Models pp. 21

Chang Sheng-Kai

Stages of Economic Development in an Innovation-Education Growth Model pp. 25

Manuel Gómez

Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis pp. 32

Monica Billio and Roberto Casarin

Panel Cointegration Rank Testing with Cross-Section Dependence pp. 43

Josep Carrion-i-Silvestre and Surdeanu Laura

Early Detection Techniques for Market Risk Failure pp. 55

Jose Olmo and William Pouliot

Volume 15, issue 3, 2011

Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions pp. 21

Minxian Yang

Semi-Parametric Forecasting of Realized Volatility pp. 23

Becker Ralf, Adam Clements and Stan Hurn

Debt Sustainability in Selected Euro Area Countries: Empirical Evidence Estimating Time-Varying Parameters pp. 23

Fincke Bettina and Alfred Greiner

Purchasing Power Parity Analyzed from a Continuous-Time Model pp. 26

Nicolau João

Extracting the Cyclical Component in Hours Worked pp. 28

Mauro Bernardi, Della Corte Giuseppe and Tommaso Proietti

International Output Convergence, Breaks, and Asymmetric Adjustment pp. 33

Dimitris Christopoulos and Miguel Leon-Ledesma

Volume 15, issue 2, 2011

Contemporaneous-Threshold Smooth Transition GARCH Models pp. 25

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. 25

Karagianni Stella and Catherine Kyrtsou

Filtering Time Series with Penalized Splines pp. 28

Kauermann Goeran, Krivobokova Tatyana and Willi Semmler

Nonparametric Testing for Linearity in Cointegrated Error-Correction Models pp. 28

Seo Byeongseon

Alternative Estimators of Long-Range Dependence pp. 37

Viviana Fernandez

Real-Time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty pp. 43

Alessandro Flamini and Costas Milas

Volume 15, issue 1, 2010

Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding pp. 12

Aparicio Teresa, Pozo Eduardo F. and Saura Dulce

Testing the Martingale Property of Exchange Rates: A Replication pp. 19

Jorge Belaire-Franch and Contreras Dulce

Spurious Regressions of Stationary AR(p) Processes with Structural Breaks pp. 25

Ba Chu and Roman Kozhan

Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach pp. 29

Alicia Pérez-Alonso and Silvestro Di Sanzo

Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency pp. 43

Lee Jihyun, Kim Tong S and Lee Hoe Kyung

The Determinants of International Financial Integration Revisited: The Role of Networks and Geographic Neutrality pp. 55

Iván Arribas, Francisco Perez and Emili Tortosa-Ausina