Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

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Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models pp. 25: Antonis Michis and Sapatinas Theofanis
The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change? pp. 25: Frédérique Bec and Bastien Alexia
Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules pp. 35: Basu Deepankar and Robert de Jong
Jump-and-Rest Effect of U.S. Business Cycles pp. 39: Maximo Camacho and Gabriel Perez Quiros
Movements in the Equity Premium: Evidence from a Time-Varying VAR pp. 41: Massimiliano De Santis

Complex Dynamics in the Neoclassical Growth Model with Differential Savings and Non-Constant Labor Force Growth pp. 19: Brianzoni Serena, Mammana Cristiana and Michetti Elisabetta
Wavelet Variance Analysis of Output in G-7 Countries pp. 25: Marco Gallegati and Mauro Gallegati
A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models pp. 28: Walter Enders, Falk Barry L and Pierre Siklos
Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation pp. 32: Bowden Roger J. and Zhu Jennifer Z
Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution pp. 33: Kiliç Rehim
Detecting Multiple Changes in Persistence pp. 34: Stephen Leybourne, Tae-Hwan Kim and Robert Taylor

The Dynamic Behaviour of an Endogenous Growth Model with Public Capital and Pollution pp. 12: Alfred Greiner
Change-Points in U.S. Business Cycle Durations pp. 23: Troy Davig
A Class Test for Fractional Integration pp. 24: Melvin Hinich and Terence Tai Leung Chong
Equilibrium Efficiency in the Ramsey Model with Habit Formation pp. 34: Manuel Gómez
Volatility Components and Long Memory-Effects Revisited pp. 39: Markus Haas
A Dynamic Semiparametric Proportional Hazard Model pp. 42: Gerhard Frank and Nikolaus Hautsch

Short-Run Patience and Wealth Inequality pp. 19: Lilia Maliar and Serguei Maliar
Fractionally Integrated Long Horizon Regressions pp. 20: Lee Jin
Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified pp. 29: Ma Jun, Charles Nelson and Richard Startz
Gains from Synchronization pp. 30: William Barnett and Mehmet Dalkır
Time Series Models for Forecasting: Testing or Combining? pp. 37: Zhuo Chen and Yang Yuhong
A Smooth Transition Autoregressive Conditional Duration Model pp. 39: Chiang Min-Hsien
A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests pp. 39: Liu Wei and Alex Maynard

Nonlinear Expectation Formation, Endogenous Business Cycles and Stylized Facts pp. 17: Frank Westerhoff
Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom pp. 20: Mark Taylor and Davradakis Emmanuel
Bayesian Analysis of Structural Effects in an Ordered Equation System pp. 24: Li Mingliang and Justin Tobias
Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover? pp. 26: Trifi Amine
The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment pp. 34: Alfred Haug and Pierre Siklos
Measuring the Interaction of Wage and Price Phillips Curves for the U.S. Economy pp. 35: Pu Chen and Peter Flaschel
A Switching ARCH Model for the German DAX Index pp. 37: Sylvia Kaufmann and Scheicher Martin

Randomly Modulated Periodic Signals in Alberta's Electricity Market pp. 15: Melvin Hinich and Apostolos Serletis
Analysis and Modelling of Electricity Futures Prices pp. 16: Borovkova Svetlana and Geman Helyette
Estimating Trends in Weather Series: Consequences for Pricing Derivatives pp. 17: Jewson Stephen and Penzer Jeremy
Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets pp. 20: Apostolos Serletis and Asghar Shahmoradi
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices pp. 24: Niels Haldrup and Morten Nielsen
Risk Premia in Electricity Forward Prices pp. 24: Diko Pavel, Steve Lawford and Limpens Valerie
Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market pp. 25: Stevenson Maxwell J, Moreira do Amaral Luiz Felipe and Peat Maurice
The Nature of Power Spikes: A Regime-Switch Approach pp. 28: Cyriel De Jong
Analytical Approximation for the Price Dynamics of Spark Spread Options pp. 28: Benth Fred E and Saltyte-Benth Jurate
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models pp. 36: Adam Misiorek, Stefan Trueck and Rafał Weron

Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test" pp. 6: Erdem Basci, Mehmet Caner and Yoon Gawon
Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area? pp. 21: Calza Alessandro and João Sousa
On the Power of Absolute Convergence Tests pp. 25: Romulo Chumacero
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates pp. 31: Zacharias Psaradakis, Martin Sola and Fabio Spagnolo
Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory pp. 43: Carlos Martins-Filho and Yao Feng
Unemployment and Inflation Regimes pp. 52: Anders Warne and Vredin Anders

Heterogeneous Consumption Goods, Sectoral Change, and Economic Growth pp. 18: Thomas Steger
Indexing Speculative Pressure on an Exchange Rate Regime: A Case Study of Macedonia pp. 21: King Banaian and Lo Ming Chien
Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004 pp. 23: James Davidson, David Peel and Byers J. David
On Robust Trend Function Hypothesis Testing pp. 27: David Harvey, Stephen Leybourne and Robert Taylor
Model Selection Uncertainty and Detection of Threshold Effects pp. 30: Jean-Yves Pitarakis
Non-linear Real Exchange Rate Effects in the UK Labour Market pp. 34: Costas Milas and Gabriella Legrenzi