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 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