Studies in Nonlinear Dynamics & Econometrics
1996 - 2025
Current editor(s): Bruce Mizrach From De Gruyter Bibliographic data for series maintained by Peter Golla (). Access Statistics for this journal.
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Volume 10, issue 4, 2006
- 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
Volume 10, issue 3, 2006
- 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
Volume 10, issue 2, 2006
- 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
Volume 10, issue 1, 2006
- 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
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
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