Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

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. 15

Melvin Hinich, Mendes Eduardo M and Stone Lewi

Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test pp. 21

Erdem Basci and Mehmet Caner

The International CAPM and a Wavelet-Based Decomposition of Value at Risk pp. 37

Viviana Fernandez

Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance pp. 38

Christian Conrad and Karanasos Menelaos

Can GARCH Models Capture Long-Range Dependence? pp. 43

John Maheu

Forecasting Stock Market Volatility with Regime-Switching GARCH Models pp. 55

Juri Marcucci

Volume 9, issue 3, 2005

Comment on "Investigating Nonlinearity" pp. 10

James Hamilton

An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes pp. 14

Hakan Berument, Akdi Yilmaz and Atakan Cemal

Bayesian Modeling of School Effects Using Hierarchical Models with Smoothing Priors pp. 33

Li Mingliang and Justin Tobias

Some New Results on Industrial Sector Mode-Locking and Business Cycle Formation pp. 35

Bernd Süssmuth and Ulrich Woitek

Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression Model pp. 43

Derek Bond, Harrison Michael J. and Edward O'Brien

Volume 9, issue 2, 2005

A Note on the Hiemstra-Jones Test for Granger Non-causality pp. 9

Cees Diks and Valentyn Panchenko

Economic Growth and Revealed Social Preference pp. 18

Day Richard H. and Chengyu Yang

What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study pp. 24

Marie Bessec and Bouabdallah Othman

Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity pp. 30

Aaron Smallwood

A Test of the Martingale Hypothesis pp. 32

Joon Park and Yoon-Jae Whang

Solving Ramsey Problems with Nonlinear Projection Methods pp. 38

Gapen Michael T. and Thomas Cosimano

Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model pp. 38

Goldman Elena and Tsurumi Hiroki

Volume 9, issue 1, 2005

A Video Interview of Buz Brock pp. 5

Bruce Mizrach

Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices pp. 15

Hristova Daniela

Inflation Dynamics of Turkey: A Structural Estimation pp. 15

Ege Yazgan and Hakan Yilmazkuday

Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures pp. 20

Joaquim Ramalho

Transitional Dynamics in an Endogenous Growth Model with Physical Capital, Human Capital and R&D pp. 20

Manuel Gómez

Wavelet Transforms and Commodity Prices pp. 22

Connor Jeff and Rossiter Rosemary

A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis pp. 36

Ivanov Ventzislav and Lutz Kilian

Nonlinear Error-Correction Models for the FF/DM Rate pp. 43

Baghli Mustapha

Volume 8, issue 4, 2004

Linearizations and Equilibrium Correction Models pp. 9

Gunnar Bårdsen, Stan Hurn and Lindsay Kenneth A.

An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity pp. 11

Kurt Brännäs and Jonas Nordström

Combining Forecasts with Nonparametric Kernel Regressions pp. 18

Fuchun Li and Greg Tkacz

A Stochastic Version of Zeeman's Market Model pp. 25

Rheinlaender Thorsten and Steinkamp Marcus

A New Test of the Martingale Difference Hypothesis pp. 26

Chung-Ming Kuan and Lee Wei-Ming

Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets pp. 28

Robles-Fernandez M. Dolores, Nieto Luisa and Fernandez M. Angeles

Volume 8, issue 3, 2004

Working Time and Employment Under Uncertainty pp. 23

Yu-Fu Chen and Michael Funke

Neural Tests for Conditional Heteroskedasticity in ARCH-M Models pp. 24

Christian de Peretti and Carole Siani

A Nonparametric Dimension Test of the Term Structure pp. 28

Javier Gil-Bazo and Rubio Gonzalo

Household Income Dynamics in Two Transition Economies pp. 33

Michael Lokshin and Martin Ravallion

Nonlinear Monetary Policy Rules: Some New Evidence for the U.S pp. 34

Juan Dolado, Ramón Maria-Dolores and Francisco Ruge-Murcia

The Long Memory of the Efficient Market pp. 35

Lillo Fabrizio and J. Farmer

Volume 8, issue 2, 2004

Introduction pp. 5

Estelle Dagum and Tommaso Proietti

On the Stationarity of First-order Nonlinear Time Series Models: Some Developments pp. 9

Fonseca Giovanni

Analyzing Financial Time Series through Robust Estimators pp. 15

Luigi Grossi

Experimental Design for Time-Dependent Models with Correlated Observations pp. 16

Ucinski Dariusz and Atkinson Anthony C.

Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers pp. 17

Lee Kai Ming and Siem Jan Koopman

Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing pp. 18

Estelle Dagum and Luati Alessandra

Statistical Tests for Lyapunov Exponents of Deterministic Systems pp. 19

Wolff Rodney, Yao Qiwei and Howell Tong

Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns pp. 19

Cleveland William P.

GARCH-type Models with Generalized Secant Hyperbolic Innovations pp. 19

Palmitesta Paola and Provasi Corrado

Mixture Processes for Financial Intradaily Durations pp. 20

Giovanni De Luca and Giampiero Gallo

Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation pp. 20

Vidoni Paolo

Seasonal Specific Structural Time Series pp. 22

Tommaso Proietti

Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes pp. 23

Laurini Fabrizio

Assessing Chaos in Time Series: Statistical Aspects and Perspectives pp. 25

Simone Giannerini and Rosa Rodolfo

Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation pp. 25

Jurgen Doornik and Marius Ooms

Extensions of the Forward Search to Time Series pp. 25

Marco Riani

MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model pp. 31

Cappuccio Nunzio, Diego Lubian and Davide Raggi

Volume 8, issue 1, 2004

An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests pp. 19

Georgios Chortareas, George Kapetanios and Merih Uctum

Inferring the Forward Looking Equity Risk Premium from Derivative Prices pp. 26

Bhar Ramaprasad, Carl Chiarella and Runggaldier Wolfgang J.

Private Information and High-Frequency Stochastic Volatility pp. 30

David Kelly and Douglas Steigerwald

Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium? pp. 41

Jesús Vázquez

The ARAR Error Model for Univariate Time Series and Distributed Lag pp. 44

Richard (Robin) Carter and Arnold Zellner