Economics at your fingertips  

Studies in Nonlinear Dynamics & Econometrics

1996 - 2022

Current editor(s): Bruce Mizrach

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

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 11, issue 4, 2007

Jump-and-Rest Effect of U.S. Business Cycles pp. 1-39 Downloads
Maximo Camacho and Gabriel Perez Quiros
Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules pp. 1-35 Downloads
Basu Deepankar and Robert de Jong
Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models pp. 1-25 Downloads
Antonis Michis and Sapatinas Theofanis
The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change? pp. 1-25 Downloads
Frédérique Bec and Bastien Alexia
Movements in the Equity Premium: Evidence from a Time-Varying VAR pp. 1-41 Downloads
Massimiliano De Santis

Volume 11, issue 3, 2007

Complex Dynamics in the Neoclassical Growth Model with Differential Savings and Non-Constant Labor Force Growth pp. 1-19 Downloads
Brianzoni Serena, Mammana Cristiana and Michetti Elisabetta
A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models pp. 1-28 Downloads
Walter Enders, Falk Barry L and Pierre Siklos
Detecting Multiple Changes in Persistence pp. 1-34 Downloads
Stephen Leybourne, Tae-Hwan Kim and Robert Taylor
Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation pp. 1-32 Downloads
Bowden Roger J. and Zhu Jennifer Z
Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution pp. 1-33 Downloads
Kiliç Rehim
Wavelet Variance Analysis of Output in G-7 Countries pp. 1-25 Downloads
Marco Gallegati and Mauro Gallegati

Volume 11, issue 2, 2007

The Dynamic Behaviour of an Endogenous Growth Model with Public Capital and Pollution pp. 1-12 Downloads
Greiner Alfred
Volatility Components and Long Memory-Effects Revisited pp. 1-39 Downloads
Markus Haas
A Dynamic Semiparametric Proportional Hazard Model pp. 1-42 Downloads
Gerhard Frank and Nikolaus Hautsch
Equilibrium Efficiency in the Ramsey Model with Habit Formation pp. 1-34 Downloads
Manuel Gómez
A Class Test for Fractional Integration pp. 1-24 Downloads
Melvin Hinich and Terence Tai Leung Chong
Change-Points in U.S. Business Cycle Durations pp. 1-23 Downloads
Troy Davig

Volume 11, issue 1, 2007

Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified pp. 1-27 Downloads
Ma Jun, Charles Nelson and Richard Startz
Gains from Synchronization pp. 28-55 Downloads
William Barnett and Mehmet Dalkır
Time Series Models for Forecasting: Testing or Combining? pp. 56-90 Downloads
Zhuo Chen and Yang Yuhong
Short-Run Patience and Wealth Inequality pp. 91-107 Downloads
Lilia Maliar and Serguei Maliar
A Smooth Transition Autoregressive Conditional Duration Model pp. 108-144 Downloads
Chiang Min-Hsien
Fractionally Integrated Long Horizon Regressions pp. 145-162 Downloads
Lee Jin
A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests pp. 163-199 Downloads
Liu Wei and Alex Maynard

Volume 10, issue 4, 2006

The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment pp. 1-34 Downloads
Alfred Haug and Pierre Siklos
Measuring the Interaction of Wage and Price Phillips Curves for the U.S. Economy pp. 1-35 Downloads
Pu Chen and Peter Flaschel
Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom pp. 1-20 Downloads
Mark Taylor and Davradakis Emmanuel
Bayesian Analysis of Structural Effects in an Ordered Equation System pp. 1-24 Downloads
Li Mingliang and Justin Tobias
Nonlinear Expectation Formation, Endogenous Business Cycles and Stylized Facts pp. 1-17 Downloads
Frank Westerhoff
A Switching ARCH Model for the German DAX Index pp. 1-37 Downloads
Sylvia Kaufmann and Scheicher Martin
Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover? pp. 1-26 Downloads
Trifi Amine

Volume 10, issue 3, 2006

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices pp. 1-24 Downloads
Niels Haldrup and Morten Nielsen
Risk Premia in Electricity Forward Prices pp. 1-24 Downloads
Diko Pavel, Steve Lawford and Limpens Valerie
Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets pp. 1-20 Downloads
Apostolos Serletis and Asghar Shahmoradi
Analysis and Modelling of Electricity Futures Prices pp. 1-16 Downloads
Borovkova Svetlana and Geman Helyette
Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market pp. 1-25 Downloads
Stevenson Maxwell J, Moreira do Amaral Luiz Felipe and Peat Maurice
Estimating Trends in Weather Series: Consequences for Pricing Derivatives pp. 1-17 Downloads
Jewson Stephen and Penzer Jeremy
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models pp. 1-36 Downloads
Adam Misiorek, Stefan Trueck and Rafał Weron
Randomly Modulated Periodic Signals in Alberta's Electricity Market pp. 1-15 Downloads
Melvin Hinich and Apostolos Serletis
The Nature of Power Spikes: A Regime-Switch Approach pp. 1-28 Downloads
Cyriel De Jong
Analytical Approximation for the Price Dynamics of Spark Spread Options pp. 1-28 Downloads
Benth Fred E and Saltyte-Benth Jurate

Volume 10, issue 2, 2006

Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory pp. 1-43 Downloads
Carlos Martins-Filho and Yao Feng
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates pp. 1-31 Downloads
Zacharias Psaradakis, Martin Sola and Fabio Spagnolo
Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area? pp. 1-21 Downloads
Calza Alessandro and João Sousa
Unemployment and Inflation Regimes pp. 1-52 Downloads
Anders Warne and Vredin Anders
Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test" pp. 1-6 Downloads
Erdem Basci, Mehmet Caner and Yoon Gawon
On the Power of Absolute Convergence Tests pp. 1-25 Downloads
Romulo Chumacero

Volume 10, issue 1, 2006

On Robust Trend Function Hypothesis Testing pp. 1-27 Downloads
David Harvey, Stephen Leybourne and Robert Taylor
Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004 pp. 1-23 Downloads
James Davidson, David Peel and Byers J. David
Model Selection Uncertainty and Detection of Threshold Effects pp. 1-30 Downloads
Jean-Yves Pitarakis
Non-linear Real Exchange Rate Effects in the UK Labour Market pp. 1-34 Downloads
Costas Milas and Gabriella Legrenzi
Indexing Speculative Pressure on an Exchange Rate Regime: A Case Study of Macedonia pp. 1-21 Downloads
King Banaian and Lo Ming Chien
Heterogeneous Consumption Goods, Sectoral Change, and Economic Growth pp. 1-18 Downloads
Thomas Steger
Page updated 2022-09-29