Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
Bibliographic data for series maintained by Peter Golla ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 14, issue 4, 2010

A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions pp. 23

Tucker McElroy

Covariate Measurement Error: Bias Reduction under Response-Based Sampling pp. 34

Esmeralda Ramalho

Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model pp. 38

Fuyu Yang and Roberto Leon-Gonzalez

Fundamental and Behavioural Drivers of Electricity Price Volatility pp. 42

Karakatsani Nektaria V and Bunn Derek W.

Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models pp. 43

Maki Daiki

Skew-Normal Mixture and Markov-Switching GARCH Processes pp. 56

Markus Haas

Volume 14, issue 3, 2010

Conditional Skewness, Kurtosis, and Density Specification Testing: Moment-Based versus Nonparametric Tests pp. 21

Ergun A. Tolga and Jun Jongbyung

An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns pp. 23

Herrmann Klaus and Fischer Matthias

First and Second Order Asymptotic Bias Correction of Nonlinear Estimators in a Non-Parametric Setting and an Application to the Smoothed Maximum Score Estimator pp. 30

Emma Iglesias

Estimation of Parameters in the Presence of Model Misspecification and Measurement Error pp. 35

Swamy P. A. V. B., George Tavlas, Hall Stephen G. F. and George Hondroyiannis

Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form pp. 40

Efthymios Pavlidis, Ivan Paya and David Peel

Volume 14, issue 2, 2010

Estimating the Term Premium by a Markov Switching Model with ARMA-GARCH Errors pp. 20

Byoung Hark Yoo

Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model pp. 26

Huang Dashan, Yu Baimin, Lu Zudi, Frank Fabozzi, Focardi Sergio and Fukushima Masao

Synchronization and On-Off Intermittency Phenomena in a Market Model with Complementary Goods and Adaptive Expectations pp. 31

Bignami Fernando and Anna Agliari

Testing for Asymmetric Dependence pp. 32

Manner Hans

Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk pp. 50

Dark Jonathan Graeme

Volume 14, issue 1, 2009

On Justifications for the ad hoc Black-Scholes Method of Option Pricing pp. 27

Berkowitz Jeremy

Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated Innovations pp. 31

Tara Sinclair

Nonlinear Impacts of International Business Cycles on the U.K. -- A Bayesian Smooth Transition VAR Approach pp. 33

Deborah Gefang and Rodney Strachan

The Sticky Information Macro Model: Beyond Perfect Foresight pp. 37

Orlando Gomes

Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times pp. 38

Helinä Laakkonen and Markku Lanne

Volume 13, issue 4, 2009

Changes in U.S. Inflation Persistence pp. 23

Kang Kyu Ho, Chang-Jin Kim and James Morley

Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates pp. 25

Herwartz Helmut and Roestel Jan

Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis pp. 27

Chang Sik Kim

Threshold Effects of Dismissal Protection Regulation and the Emergence of Temporary Work Agencies pp. 29

Yu-Fu Chen and Michael Funke

A Non-Parametric Investigation of Risk Premia pp. 52

Chiara Peroni

Volume 13, issue 3, 2009

Inspecting the Poverty-Trap Mechanism: A Quantile Regression Approach pp. 18

Jens Krüger

Modeling Jump and Continuous Components in the Volatility of Oil Futures pp. 30

Tseng Tseng-Chan, Chung Huimin and Huang Chin-Sheng

Mixed Exponential Power Asymmetric Conditional Heteroskedasticity pp. 32

Jeroen Rombouts and Bouaddi Mohammed

Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization pp. 35

Dermoune Azzouz, Boualem Djehiche and Nadji Rahmania

Asymmetry in Stochastic Volatility Models: Threshold or Correlation? pp. 36

Daniel Smith

Volume 13, issue 2, 2009

The J2 Status of "Chaos" in Period Macroeconomic Models pp. 12

Peter Flaschel and Christian Proaño

Nonlinearity between Inequality and Growth pp. 20

Shu-Chin Lin, Ho-Chuan Huang, Kim Dong-Hyeon and Yeh Chih-Chuan

Discovering Hidden Structures Using Mixture Models: Application to Nonlinear Time Series Processes pp. 21

Shahbaba Babak

Testing for Conditional Heteroscedasticity in the Components of Inflation pp. 30

Carmen Broto and Esther Ruiz

Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation pp. 30

Emma Iglesias

A Component GARCH Model with Time Varying Weights pp. 33

Luc Bauwens and Giuseppe Storti

Volume 13, issue 1, 2009

Modelling Good and Bad Volatility pp. 20

Matteo Pelagatti

(Un)anticipated Technological Change in an Endogenous Growth Model pp. 21

Conway Bruce A, Rina Rosenblatt-Wisch and Klaus Schenk-Hoppé

The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing pp. 24

Edward Driffill, Turalay Kenc, Martin Sola and Fabio Spagnolo

Multi-Market Direction-of-Change Modeling Using Dependence Ratios pp. 24

Stanislav Anatolyev

Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate pp. 41

Seungmoon Choi

Volume 12, issue 4, 2008

The Nonlinear Dynamics of Foreign Reserves and Currency Crises pp. 18

Terence Tai Leung Chong, Qing He and Melvin Hinich

Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life pp. 31

Lo Ming Chien

The Consumption-Wealth Ratio under Asymmetric Adjustment pp. 32

Vasco Gabriel, Fernando Alexandre and Pedro Bação

Happiness due to Consumption and its Increases, Wealth and Status pp. 34

Franz Wirl, Novak Andreas J. and Hof Franz X.

Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components pp. 35

Juan Dolado, Jesus Gonzalo and Laura Mayoral

The Dynamics of Mutual Funds and Market Timing Measurement pp. 37

Matallin-Saez Juan Carlos

Volume 12, issue 3, 2008

Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models? pp. 11

Clive Granger

Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry pp. 18

Philip Rothman

Is the Backward-Looking Component Important in a New Keynesian Phillips Curve? pp. 20

Chang-Jin Kim and Kim Yunmi

A Powerful Test for Linearity When the Order of Integration is Unknown pp. 24

David Harvey, Stephen Leybourne and Xiao Bin

Optimal Test for Markov Switching GARCH Models pp. 27

Hu Liang and Yongcheol Shin

Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths pp. 29

Hultblad Brigitta and Sune Karlsson

Markov-Switching GARCH Modelling of Value-at-Risk pp. 31

Sajjad Rasoul, Jerry Coakley and Nankervis John C

Threshold Adjustment of Deviations from the Law of One Price pp. 46

Luciana Juvenal and Mark Taylor

Volume 12, issue 2, 2008

A Video Interview with James Hamilton pp. 5

Bruce Mizrach

Unemployment and Economic Growth Cycles pp. 21

Roa Maria J, Vazquez Francisco Jose and Saura Dulce

Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps pp. 25

Wing Chan

Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market pp. 37

Edward Sun, Rachev Svetlozar, Stoyanov Stoyan V. and Frank Fabozzi

On the Robustness of Symmetry Tests for Stock Returns pp. 40

Chen Yi-Ting and Lin Chang-Ching

Option Valuation with Normal Mixture GARCH Models pp. 42

Badescu Alex, Kulperger Reg and Emese Lazar

Volume 12, issue 1, 2008

Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics pp. 18

Travis Nesmith and Barry Jones

Rank-based Entropy Tests for Serial Independence pp. 21

Cees Diks and Valentyn Panchenko

Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem pp. 21

Maringer Dietmar G. and Meyer Mark

Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series pp. 26

Kugiumtzis Dimitris

Modelling Autoregressive Processes with a Shifting Mean pp. 28

Andres Gonzalez and Timo Teräsvirta

Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle pp. 39

Mohitosh Kejriwal