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Studies in Nonlinear Dynamics & Econometrics

1996 - 2022

Current editor(s): Bruce Mizrach

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

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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