Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
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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

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