Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

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The Nonlinear Dynamics of Foreign Reserves and Currency Crises pp. 18: Terence Tai Leung Chong, Qing He and Melvin Hinich
Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life pp. 31: Lo Ming Chien
The Consumption-Wealth Ratio under Asymmetric Adjustment pp. 32: Vasco Gabriel, Fernando Alexandre and Pedro Bação
Happiness due to Consumption and its Increases, Wealth and Status pp. 34: Franz Wirl, Novak Andreas J. and Hof Franz X.
Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components pp. 35: Juan Dolado, Jesus Gonzalo and Laura Mayoral
The Dynamics of Mutual Funds and Market Timing Measurement pp. 37: Matallin-Saez Juan Carlos

Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models? pp. 11: Clive Granger
Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry pp. 18: Philip Rothman
Is the Backward-Looking Component Important in a New Keynesian Phillips Curve? pp. 20: Chang-Jin Kim and Kim Yunmi
A Powerful Test for Linearity When the Order of Integration is Unknown pp. 24: David Harvey, Stephen Leybourne and Xiao Bin
Optimal Test for Markov Switching GARCH Models pp. 27: Hu Liang and Yongcheol Shin
Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths pp. 29: Hultblad Brigitta and Sune Karlsson
Markov-Switching GARCH Modelling of Value-at-Risk pp. 31: Sajjad Rasoul, Jerry Coakley and Nankervis John C
Threshold Adjustment of Deviations from the Law of One Price pp. 46: Luciana Juvenal and Mark Taylor

A Video Interview with James Hamilton pp. 5: Bruce Mizrach
Unemployment and Economic Growth Cycles pp. 21: Roa Maria J, Vazquez Francisco Jose and Saura Dulce
Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps pp. 25: Wing Chan
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market pp. 37: Edward Sun, Rachev Svetlozar, Stoyanov Stoyan V. and Frank Fabozzi
On the Robustness of Symmetry Tests for Stock Returns pp. 40: Chen Yi-Ting and Lin Chang-Ching
Option Valuation with Normal Mixture GARCH Models pp. 42: Badescu Alex, Kulperger Reg and Emese Lazar

Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics pp. 18: Travis Nesmith and Barry Jones
Rank-based Entropy Tests for Serial Independence pp. 21: Cees Diks and Valentyn Panchenko
Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem pp. 21: Maringer Dietmar G. and Meyer Mark
Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series pp. 26: Kugiumtzis Dimitris
Modelling Autoregressive Processes with a Shifting Mean pp. 28: Andres Gonzalez and Timo Teräsvirta
Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle pp. 39: Mohitosh Kejriwal

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