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Studies in Nonlinear Dynamics & Econometrics

1996 - 2022

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 9, issue 4, 2005

Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches pp. 1-15 Downloads
Melvin Hinich, Mendes Eduardo M and Stone Lewi
The International CAPM and a Wavelet-Based Decomposition of Value at Risk pp. 1-37 Downloads
Viviana Fernandez
Forecasting Stock Market Volatility with Regime-Switching GARCH Models pp. 1-55 Downloads
Juri Marcucci
Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test pp. 1-21 Downloads
Erdem Basci and Mehmet Caner
Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance pp. 1-38 Downloads
Christian Conrad and Karanasos Menelaos
Can GARCH Models Capture Long-Range Dependence? pp. 1-43 Downloads
John Maheu

Volume 9, issue 3, 2005

Bayesian Modeling of School Effects Using Hierarchical Models with Smoothing Priors pp. 1-33 Downloads
Li Mingliang and Justin Tobias
Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression Model pp. 1-43 Downloads
Derek Bond, Harrison Michael J. and Edward O'Brien
Comment on "Investigating Nonlinearity" pp. 1-10 Downloads
James Hamilton
An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes pp. 1-14 Downloads
Hakan Berument, Akdi Yilmaz and Atakan Cemal
Some New Results on Industrial Sector Mode-Locking and Business Cycle Formation pp. 1-35 Downloads
Bernd Süssmuth and Ulrich Woitek

Volume 9, issue 2, 2005

A Test of the Martingale Hypothesis pp. 1-32 Downloads
Joon Park and Yoon-Jae Whang
A Note on the Hiemstra-Jones Test for Granger Non-causality pp. 1-9 Downloads
Cees Diks and Valentyn Panchenko
What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study pp. 1-24 Downloads
Marie Bessec and Bouabdallah Othman
Economic Growth and Revealed Social Preference pp. 1-18 Downloads
Day Richard H. and Chengyu Yang
Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity pp. 1-30 Downloads
Aaron Smallwood
Solving Ramsey Problems with Nonlinear Projection Methods pp. 1-38 Downloads
Gapen Michael T. and Thomas Cosimano
Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model pp. 1-38 Downloads
Goldman Elena and Tsurumi Hiroki

Volume 9, issue 1, 2005

Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices pp. 1-15 Downloads
Hristova Daniela
Inflation Dynamics of Turkey: A Structural Estimation pp. 1-15 Downloads
Ege Yazgan and Hakan Yilmazkuday
A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis pp. 1-36 Downloads
Ivanov Ventzislav and Lutz Kilian
Wavelet Transforms and Commodity Prices pp. 1-22 Downloads
Connor Jeff and Rossiter Rosemary
Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures pp. 1-20 Downloads
Joaquim Ramalho
Transitional Dynamics in an Endogenous Growth Model with Physical Capital, Human Capital and R&D pp. 1-20 Downloads
Manuel Gómez
A Video Interview of Buz Brock pp. 1-5 Downloads
Bruce Mizrach
Nonlinear Error-Correction Models for the FF/DM Rate pp. 1-43 Downloads
Baghli Mustapha

Volume 8, issue 4, 2004

Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets pp. 1-28 Downloads
Robles-Fernandez M. Dolores, Nieto Luisa and Fernandez M. Angeles
An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity pp. 1-11 Downloads
Kurt Brännäs and Jonas Nordström
Combining Forecasts with Nonparametric Kernel Regressions pp. 1-18 Downloads
Fuchun Li and Greg Tkacz
A New Test of the Martingale Difference Hypothesis pp. 1-26 Downloads
Chung-Ming Kuan and Lee Wei-Ming
A Stochastic Version of Zeeman's Market Model pp. 1-25 Downloads
Rheinlaender Thorsten and Steinkamp Marcus
Linearizations and Equilibrium Correction Models pp. 1-9 Downloads
Gunnar Bårdsen, Stan Hurn and Lindsay Kenneth A.

Volume 8, issue 3, 2004

A Nonparametric Dimension Test of the Term Structure pp. 1-28 Downloads
Javier Gil-Bazo and Rubio Gonzalo
Working Time and Employment Under Uncertainty pp. 1-23 Downloads
Yu-Fu Chen and Michael Funke
Household Income Dynamics in Two Transition Economies pp. 1-33 Downloads
Michael Lokshin and Martin Ravallion
The Long Memory of the Efficient Market pp. 1-35 Downloads
Lillo Fabrizio and J. Farmer
Nonlinear Monetary Policy Rules: Some New Evidence for the U.S pp. 1-34 Downloads
Juan Dolado, Ramón Maria-Dolores and Francisco Ruge-Murcia
Neural Tests for Conditional Heteroskedasticity in ARCH-M Models pp. 1-24 Downloads
Christian de Peretti and Carole Siani

Volume 8, issue 2, 2004

Analyzing Financial Time Series through Robust Estimators pp. 1-15 Downloads
Luigi Grossi
Seasonal Specific Structural Time Series pp. 1-22 Downloads
Tommaso Proietti
Experimental Design for Time-Dependent Models with Correlated Observations pp. 1-16 Downloads
Ucinski Dariusz and Atkinson Anthony C.
On the Stationarity of First-order Nonlinear Time Series Models: Some Developments pp. 1-9 Downloads
Fonseca Giovanni
Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes pp. 1-23 Downloads
Laurini Fabrizio
MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model pp. 1-31 Downloads
Cappuccio Nunzio, Diego Lubian and Davide Raggi
Statistical Tests for Lyapunov Exponents of Deterministic Systems pp. 1-19 Downloads
Wolff Rodney, Yao Qiwei and Howell Tong
Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns pp. 1-19 Downloads
Cleveland William P.
GARCH-type Models with Generalized Secant Hyperbolic Innovations pp. 1-19 Downloads
Palmitesta Paola and Provasi Corrado
Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing pp. 1-18 Downloads
Estelle Dagum and Luati Alessandra
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers pp. 1-17 Downloads
Lee Kai Ming and Siem Jan Koopman
Assessing Chaos in Time Series: Statistical Aspects and Perspectives pp. 1-25 Downloads
Simone Giannerini and Rosa Rodolfo
Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation pp. 1-25 Downloads
Jurgen Doornik and Marius Ooms
Extensions of the Forward Search to Time Series pp. 1-25 Downloads
Marco Riani
Mixture Processes for Financial Intradaily Durations pp. 1-20 Downloads
Giovanni De Luca and Giampiero Gallo
Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation pp. 1-20 Downloads
Vidoni Paolo
Introduction pp. 1-5 Downloads
Estelle Dagum and Tommaso Proietti

Volume 8, issue 1, 2004

Inferring the Forward Looking Equity Risk Premium from Derivative Prices pp. 1-26 Downloads
Bhar Ramaprasad, Carl Chiarella and Runggaldier Wolfgang J.
Private Information and High-Frequency Stochastic Volatility pp. 1-30 Downloads
David Kelly and Douglas Steigerwald
The ARAR Error Model for Univariate Time Series and Distributed Lag pp. 1-44 Downloads
Richard (Robin) Carter and Arnold Zellner
An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests pp. 1-19 Downloads
Georgios Chortareas, George Kapetanios and Merih Uctum
Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium? pp. 1-41 Downloads
Jesús Vázquez
Page updated 2022-09-25