Studies in Nonlinear Dynamics & Econometrics

1996 - 2025

Current editor(s): Bruce Mizrach

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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

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

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

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

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

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

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

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