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Studies in Nonlinear Dynamics & Econometrics

1996 - 2023

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 12, issue 4, 2008

The Nonlinear Dynamics of Foreign Reserves and Currency Crises pp. 1-18 Downloads
Terence Tai Leung Chong, Qing He and Melvin Hinich
Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components pp. 1-35 Downloads
Juan Dolado, Jesus Gonzalo and Laura Mayoral
The Dynamics of Mutual Funds and Market Timing Measurement pp. 1-37 Downloads
Matallin-Saez Juan Carlos
The Consumption-Wealth Ratio under Asymmetric Adjustment pp. 1-32 Downloads
Vasco Gabriel, Fernando Alexandre and Pedro Bação
Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life pp. 1-31 Downloads
Lo Ming Chien
Happiness due to Consumption and its Increases, Wealth and Status pp. 1-34 Downloads
Franz Wirl, Novak Andreas J. and Hof Franz X.

Volume 12, issue 3, 2008

Is the Backward-Looking Component Important in a New Keynesian Phillips Curve? pp. 1-20 Downloads
Chang-Jin Kim and Kim Yunmi
Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths pp. 1-29 Downloads
Hultblad Brigitta and Sune Karlsson
A Powerful Test for Linearity When the Order of Integration is Unknown pp. 1-24 Downloads
David Harvey, Stephen Leybourne and Xiao Bin
Threshold Adjustment of Deviations from the Law of One Price pp. 1-46 Downloads
Luciana Juvenal and Mark Taylor
Optimal Test for Markov Switching GARCH Models pp. 1-27 Downloads
Hu Liang and Yongcheol Shin
Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry pp. 1-18 Downloads
Philip Rothman
Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models? pp. 1-11 Downloads
Clive Granger
Markov-Switching GARCH Modelling of Value-at-Risk pp. 1-31 Downloads
Sajjad Rasoul, Jerry Coakley and Nankervis John C

Volume 12, issue 2, 2008

On the Robustness of Symmetry Tests for Stock Returns pp. 1-40 Downloads
Chen Yi-Ting and Lin Chang-Ching
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market pp. 1-37 Downloads
Edward Sun, Rachev Svetlozar, Stoyanov Stoyan V. and Frank Fabozzi
Option Valuation with Normal Mixture GARCH Models pp. 1-42 Downloads
Badescu Alex, Kulperger Reg and Lazar Emese
Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps pp. 1-25 Downloads
Wing Chan
A Video Interview with James Hamilton pp. 1-5 Downloads
Bruce Mizrach
Unemployment and Economic Growth Cycles pp. 1-21 Downloads
Roa Maria J, Vazquez Francisco Jose and Saura Dulce

Volume 12, issue 1, 2008

Rank-based Entropy Tests for Serial Independence pp. 1-21 Downloads
Cees Diks and Valentyn Panchenko
Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem pp. 1-21 Downloads
Maringer Dietmar G. and Meyer Mark
Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics pp. 1-18 Downloads
Travis Nesmith and Barry Jones
Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series pp. 1-26 Downloads
Kugiumtzis Dimitris
Modelling Autoregressive Processes with a Shifting Mean pp. 1-28 Downloads
Andres Gonzalez and Timo Teräsvirta
Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle pp. 1-39 Downloads
Mohitosh Kejriwal

Volume 11, issue 4, 2007

Movements in the Equity Premium: Evidence from a Time-Varying VAR pp. 1-41 Downloads
Massimiliano De Santis
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
Jump-and-Rest Effect of U.S. Business Cycles pp. 1-39 Downloads
Maximo Camacho and Gabriel Perez Quiros

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
Wavelet Variance Analysis of Output in G-7 Countries pp. 1-25 Downloads
Marco Gallegati and Mauro Gallegati
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

Volume 11, issue 2, 2007

A Class Test for Fractional Integration pp. 1-24 Downloads
Melvin Hinich and Terence Tai Leung Chong
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
The Dynamic Behaviour of an Endogenous Growth Model with Public Capital and Pollution pp. 1-12 Downloads
Greiner Alfred
Equilibrium Efficiency in the Ramsey Model with Habit Formation pp. 1-34 Downloads
Manuel Gómez
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
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