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Studies in Nonlinear Dynamics & Econometrics

1996 - 2022

Current editor(s): Bruce Mizrach

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

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Volume 7, issue 4, 2003

Bootstrapping Macroeconometric Models pp. 1-26 Downloads
Ray Fair
An Information Theoretic Approach for Estimating Nonlinear Dynamic Models pp. 1-26 Downloads
Amos Golan
The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses pp. 1-18 Downloads
Kim Sangbae and In Francis Haeuck
Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists pp. 1-15 Downloads
Frank Westerhoff and Stefan Reitz
Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach pp. 1-22 Downloads
Atanasova Christina

Volume 7, issue 3, 2003

An Empirical Evaluation of Non-Linear Trading Rules pp. 1-32 Downloads
Andrada-Félix Julián, Fernadez-Rodriguez Fernando, Garcia-Artiles Maria-Dolores and Simon Sosvilla-Rivero
Testing Serial Independence against Time Irreversibility pp. 1-30 Downloads
Chen Yi-Ting
Industrial Sector Mode-Locking and Business Cycle Formation pp. 1-39 Downloads
David Selover, Jensen Roderick V. and Kroll John
Determinism in Financial Time Series pp. 1-31 Downloads
Small Michael and Chi Tse
Long Memory Inflationary Dynamics: The Case of Brazil pp. 1-18 Downloads
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 Downloads
John Stachurski
A Nonlinear Approach to Forecasting with Leading Economic Indicators pp. 1-20 Downloads
Jagric Timotej
Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series pp. 1-20 Downloads
Ralph Snyder and Catherine Forbes
Globally-Stabilizing Fiscal Policy Rules pp. 1-15 Downloads
Jang-Ting Guo and Kevin Lansing
Erratum pp. 1-4 Downloads
George Kapetanios
Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses pp. 1-16 Downloads
George Kapetanios

Volume 7, issue 1, 2003

Terror Cycles pp. 1-11 Downloads
Joao Faria
Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle pp. 1-35 Downloads
Christian Dahl and Gloria Gonzalez-Rivera
Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series pp. 1-19 Downloads
Jorge Belaire-Franch and Peiro Amado
Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle pp. 1-40 Downloads
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 Downloads
Akdeniz Levent, Aslihan Salih and Mehmet Caner
The Asymmetric Reverting Property of Stock Returns pp. 1-18 Downloads
Nam Kiseok
An Assessment of International Business Cycle Asymmetries using Clements and Krolzig's Parametric Approach pp. 1-11 Downloads
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 Downloads
Claudio Morana
Erratum pp. 1-3 Downloads
Claudio Morana
Power Properties of Nonlinearity Tests for Time Series with Markov Regimes pp. 1-16 Downloads
Zacharias Psaradakis and Nicola Spagnolo
Wavelets in Economics and Finance: Past and Future pp. 1-29 Downloads
Ramsey James B.
On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach pp. 1-21 Downloads
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 Downloads
Cees Diks and Manzan Sebastiano
Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks pp. 1-22 Downloads
Frédérique Bec, Melika Ben Salem and Fabrice Collard
My Experiences with Nonlinear Dynamic Models in Economics pp. 1-18 Downloads
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 Downloads
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 Downloads
Xiaohong Chen and Halbert White
Nonlinear Trends and Co-trending in Canadian Money Demand pp. 1-29 Downloads
David Cushman
Characterizing the Degree of Stability of Non-linear Dynamic Models pp. 1-19 Downloads
Mikael Bask and Xavier de Luna

Volume 5, issue 4, 2002

Growth, Saving, Financial Markets, and Markov Switching Regimes pp. 1-20 Downloads
Jacobson Tor, Thomas Lindh and Anders Warne
Microeconomic Models for Long Memory in the Volatility of Financial Time Series pp. 1-23 Downloads
Alan Kirman and Teyssière Gilles
Nonlinearities and Inactivity in Aggregate Investment: Some Theoretical Analysis and Time-Series Evidence pp. 1-21 Downloads
Luisa Corrado, Sean Holly and Paul Turner
Macrostructures in Microeconomic Dynamics pp. 1-13 Downloads
Iimura Takuya

Volume 5, issue 3, 2001

Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective pp. 1-25 Downloads
Jerry Coakley, Ana-Maria Fuertes and Gylfi Zoega
Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis pp. 1-26 Downloads
Mark Taylor and Lucio Sarno
EVIM: A Software Package for Extreme Value Analysis in MATLAB pp. 1-29 Downloads
Ramazan Gencay, Faruk Selcuk and Ulugülyagci Abdurrahman
Energy Shocks and Financial Markets: Nonlinear Linkages pp. 1-11 Downloads
Ciner Cetin

Volume 5, issue 2, 2001

Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market pp. 1-22 Downloads
Garrett Ian and Nick Taylor
Detecting Equilibrium Correction with Smoothly Time-Varying Strength pp. 1-19 Downloads
Eliasson Ann-Charlotte
Estimating ARMA Models Efficiently pp. 1-14 Downloads
Romulo Chumacero

Volume 5, issue 1, 2001

Nonlinearity in High-Frequency Financial Data and Hierarchical Models pp. 1-18 Downloads
McCulloch Robert E. and Tsay Ruey S.
Stabilizing Endogenous Fluctuations with Fiscal Policies: Global Analysis on Piecewise Continuous Dynamical Systems pp. 1-18 Downloads
Emmanuelle Augeraud-Véron and Augier L.
On Impossibility of Limit Cycles in Certain Two-Dimensional Continuous-Time Growth Mode pp. 1-9 Downloads
Sergey Slobodyan
The Inflationary Consequences of Fiscal Policy In Brazil: An Empirical Investigation with Regime Switches and Time-Varying Probabilities pp. 1-17 Downloads
Salomon Marcelo F.
Wavelet Analysis of the Cost-of-Carry Model pp. 1-17 Downloads
Lin Shinn-Juh and Stevenson Maxwell
Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series pp. 1-13 Downloads
Klaus Schenk-Hoppé
Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator pp. 1-15 Downloads
Greg Tkacz
Page updated 2022-09-26