Studies in Nonlinear Dynamics & Econometrics

1996 - 2022

Current editor(s): Bruce Mizrach

From De Gruyter
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Volume 7, issue 4, 2003

Bootstrapping Macroeconometric Models pp. 1-26

Ray Fair

An Information Theoretic Approach for Estimating Nonlinear Dynamic Models pp. 1-26

Amos Golan

The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses pp. 1-18

Kim Sangbae and In Francis Haeuck

Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists pp. 1-15

Frank Westerhoff and Stefan Reitz

Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach pp. 1-22

Atanasova Christina

Volume 7, issue 3, 2003

An Empirical Evaluation of Non-Linear Trading Rules pp. 1-32

Andrada-Félix Julián, Fernadez-Rodriguez Fernando, Garcia-Artiles Maria-Dolores and Simon Sosvilla-Rivero

Testing Serial Independence against Time Irreversibility pp. 1-30

Chen Yi-Ting

Industrial Sector Mode-Locking and Business Cycle Formation pp. 1-39

David Selover, Jensen Roderick V. and Kroll John

Determinism in Financial Time Series pp. 1-31

Small Michael and Chi Tse

Long Memory Inflationary Dynamics: The Case of Brazil pp. 1-18

Reisen Valderio A, Cribari-Neto Francisco and Mark Jensen

Volume 7, issue 2, 2003

Stochastic Growth with Increasing Returns: Stability and Path Dependence pp. 1-13

John Stachurski

A Nonlinear Approach to Forecasting with Leading Economic Indicators pp. 1-20

Jagric Timotej

Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series pp. 1-20

Ralph Snyder and Catherine Forbes

Globally-Stabilizing Fiscal Policy Rules pp. 1-15

Jang-Ting Guo and Kevin Lansing

Erratum pp. 1-4

George Kapetanios

Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses pp. 1-16

George Kapetanios

Volume 7, issue 1, 2003

Terror Cycles pp. 1-11

Joao Faria

Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle pp. 1-35

Christian Dahl and Gloria Gonzalez-Rivera

Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series pp. 1-19

Jorge Belaire-Franch and Peiro Amado

Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle pp. 1-40

Edward Driffill, Marzia Raybaudi and Martin Sola

Volume 6, issue 4, 2003

Time-Varying Betas Help in Asset Pricing: The Threshold CAPM pp. 1-18

Akdeniz Levent, Aslihan Salih and Mehmet Caner

The Asymmetric Reverting Property of Stock Returns pp. 1-18

Nam Kiseok

An Assessment of International Business Cycle Asymmetries using Clements and Krolzig's Parametric Approach pp. 1-11

Jorge Belaire-Franch and Contreras Dulce

Volume 6, issue 3, 2002

Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation pp. 1-40

Claudio Morana

Erratum pp. 1-3

Claudio Morana

Power Properties of Nonlinearity Tests for Time Series with Markov Regimes pp. 1-16

Zacharias Psaradakis and Nicola Spagnolo

Wavelets in Economics and Finance: Past and Future pp. 1-29

Ramsey James B.

On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach pp. 1-21

Ana Iregui, Costas Milas and Jesus Otero

Volume 6, issue 2, 2002

Tests for Serial Independence and Linearity Based on Correlation Integrals pp. 1-22

Cees Diks and Manzan Sebastiano

Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks pp. 1-22

Frédérique Bec, Melika Ben Salem and Fabrice Collard

My Experiences with Nonlinear Dynamic Models in Economics pp. 1-18

Arnold Zellner

Volume 6, issue 1, 2002

Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data pp. 1-39

Carl Chiarella, Willi Semmler, Stefan Mittnik and Zhu Peiyuan

Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space pp. 1-55

Xiaohong Chen and Halbert White

Nonlinear Trends and Co-trending in Canadian Money Demand pp. 1-29

David Cushman

Characterizing the Degree of Stability of Non-linear Dynamic Models pp. 1-19

Mikael Bask and Xavier de Luna

Volume 5, issue 4, 2002

Growth, Saving, Financial Markets, and Markov Switching Regimes pp. 1-20

Jacobson Tor, Thomas Lindh and Anders Warne

Microeconomic Models for Long Memory in the Volatility of Financial Time Series pp. 1-23

Alan Kirman and Teyssière Gilles

Nonlinearities and Inactivity in Aggregate Investment: Some Theoretical Analysis and Time-Series Evidence pp. 1-21

Luisa Corrado, Sean Holly and Paul Turner

Macrostructures in Microeconomic Dynamics pp. 1-13

Iimura Takuya

Volume 5, issue 3, 2001

Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective pp. 1-25

Jerry Coakley, Ana-Maria Fuertes and Gylfi Zoega

Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis pp. 1-26

Mark Taylor and Lucio Sarno

EVIM: A Software Package for Extreme Value Analysis in MATLAB pp. 1-29

Ramazan Gencay, Faruk Selcuk and Ulugülyagci Abdurrahman

Energy Shocks and Financial Markets: Nonlinear Linkages pp. 1-11

Ciner Cetin

Volume 5, issue 2, 2001

Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market pp. 1-22

Garrett Ian and Nick Taylor

Detecting Equilibrium Correction with Smoothly Time-Varying Strength pp. 1-19

Eliasson Ann-Charlotte

Estimating ARMA Models Efficiently pp. 1-14

Romulo Chumacero

Volume 5, issue 1, 2001

Nonlinearity in High-Frequency Financial Data and Hierarchical Models pp. 1-18

McCulloch Robert E. and Tsay Ruey S.

Stabilizing Endogenous Fluctuations with Fiscal Policies: Global Analysis on Piecewise Continuous Dynamical Systems pp. 1-18

Emmanuelle Augeraud-Véron and Augier L.

On Impossibility of Limit Cycles in Certain Two-Dimensional Continuous-Time Growth Mode pp. 1-9

Sergey Slobodyan

The Inflationary Consequences of Fiscal Policy In Brazil: An Empirical Investigation with Regime Switches and Time-Varying Probabilities pp. 1-17

Salomon Marcelo F.

Wavelet Analysis of the Cost-of-Carry Model pp. 1-17

Lin Shinn-Juh and Stevenson Maxwell

Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series pp. 1-13

Klaus Schenk-Hoppé

Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator pp. 1-15

Greg Tkacz