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Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

From De Gruyter
Bibliographic data for series maintained by Peter Golla ().

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Volume 10, issue 4, 2006

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

Volume 10, issue 3, 2006

Randomly Modulated Periodic Signals in Alberta's Electricity Market pp. 15 Downloads
Melvin Hinich and Apostolos Serletis
Analysis and Modelling of Electricity Futures Prices pp. 16 Downloads
Borovkova Svetlana and Geman Helyette
Estimating Trends in Weather Series: Consequences for Pricing Derivatives pp. 17 Downloads
Jewson Stephen and Penzer Jeremy
Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets pp. 20 Downloads
Apostolos Serletis and Asghar Shahmoradi
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices pp. 24 Downloads
Niels Haldrup and Morten Nielsen
Risk Premia in Electricity Forward Prices pp. 24 Downloads
Diko Pavel, Steve Lawford and Limpens Valerie
Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market pp. 25 Downloads
Stevenson Maxwell J, Moreira do Amaral Luiz Felipe and Peat Maurice
The Nature of Power Spikes: A Regime-Switch Approach pp. 28 Downloads
Cyriel De Jong
Analytical Approximation for the Price Dynamics of Spark Spread Options pp. 28 Downloads
Benth Fred E and Saltyte-Benth Jurate
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models pp. 36 Downloads
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 Downloads
Erdem Basci, Mehmet Caner and Yoon Gawon
Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area? pp. 21 Downloads
Calza Alessandro and João Sousa
On the Power of Absolute Convergence Tests pp. 25 Downloads
Romulo Chumacero
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates pp. 31 Downloads
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 Downloads
Carlos Martins-Filho and Yao Feng
Unemployment and Inflation Regimes pp. 52 Downloads
Anders Warne and Vredin Anders

Volume 10, issue 1, 2006

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

Volume 9, issue 4, 2005

Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches pp. 15 Downloads
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 Downloads
Erdem Basci and Mehmet Caner
The International CAPM and a Wavelet-Based Decomposition of Value at Risk pp. 37 Downloads
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 Downloads
Christian Conrad and Karanasos Menelaos
Can GARCH Models Capture Long-Range Dependence? pp. 43 Downloads
John Maheu
Forecasting Stock Market Volatility with Regime-Switching GARCH Models pp. 55 Downloads
Juri Marcucci

Volume 9, issue 3, 2005

Comment on "Investigating Nonlinearity" pp. 10 Downloads
James Hamilton
An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes pp. 14 Downloads
Hakan Berument, Akdi Yilmaz and Atakan Cemal
Bayesian Modeling of School Effects Using Hierarchical Models with Smoothing Priors pp. 33 Downloads
Li Mingliang and Justin Tobias
Some New Results on Industrial Sector Mode-Locking and Business Cycle Formation pp. 35 Downloads
Bernd Süssmuth and Ulrich Woitek
Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression Model pp. 43 Downloads
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 Downloads
Cees Diks and Valentyn Panchenko
Economic Growth and Revealed Social Preference pp. 18 Downloads
Day Richard H. and Chengyu Yang
What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study pp. 24 Downloads
Marie Bessec and Bouabdallah Othman
Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity pp. 30 Downloads
Aaron Smallwood
A Test of the Martingale Hypothesis pp. 32 Downloads
Joon Park and Yoon-Jae Whang
Solving Ramsey Problems with Nonlinear Projection Methods pp. 38 Downloads
Gapen Michael T. and Thomas Cosimano
Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model pp. 38 Downloads
Goldman Elena and Tsurumi Hiroki

Volume 9, issue 1, 2005

A Video Interview of Buz Brock pp. 5 Downloads
Bruce Mizrach
Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices pp. 15 Downloads
Hristova Daniela
Inflation Dynamics of Turkey: A Structural Estimation pp. 15 Downloads
Ege Yazgan and Hakan Yilmazkuday
Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures pp. 20 Downloads
Joaquim Ramalho
Transitional Dynamics in an Endogenous Growth Model with Physical Capital, Human Capital and R&D pp. 20 Downloads
Manuel Gómez
Wavelet Transforms and Commodity Prices pp. 22 Downloads
Connor Jeff and Rossiter Rosemary
A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis pp. 36 Downloads
Ivanov Ventzislav and Lutz Kilian
Nonlinear Error-Correction Models for the FF/DM Rate pp. 43 Downloads
Baghli Mustapha
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