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Citations for "Smooth Transition Autoregressive Models - A Survey of Recent Developments"

by van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans

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  1. Kim, Hyeongwoo & Moh, Young-Kyu, 2010. "A century of purchasing power parity confirmed: The role of nonlinearity," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(7), pages 1398-1405, November.
  2. Mohamed El Hedi Arouri & Fredj Jawadi & Khuong Nguyen Duc, 2010. "Modeling nonlinear and heterogeneous dynamic linkages in international monetary markets," Working Papers 14, Development and Policies Research Center (DEPOCEN), Vietnam.
  3. Belke, Ansgar & Beckmann, Joscha & Verheyen, Florian, 2013. "Interest rate pass-through in the EMU – New evidence from nonlinear cointegration techniques for fully harmonized data," Journal of International Money and Finance, Elsevier, Elsevier, vol. 37(C), pages 1-24.
  4. Giorgio Busetti & Matteo Manera, 2003. "STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US," Working Papers, Fondazione Eni Enrico Mattei 2003.43, Fondazione Eni Enrico Mattei.
  5. Rodrigo F. Aranda L. & Patricio Jaramillo G., 2010. "Non-linear Dynamics in the Chilean Stock Market: Evidence on Traded Volumes and Returns," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 13(3), pages 67-94, December.
  6. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," Working Paper Series in Economics and Finance, Stockholm School of Economics 598, Stockholm School of Economics, revised 29 Dec 2005.
  7. Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "A Volatility Targeting GARCH model with Time-Varying Coefficients," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg 09-08, Luxembourg School of Finance, University of Luxembourg.
  8. Rodriguez, Gabriel & Sloboda, Michael J., 2005. "Modeling nonlinearities and asymmetries in quarterly revenues of the US telecommunications industry," Structural Change and Economic Dynamics, Elsevier, Elsevier, vol. 16(1), pages 137-158, March.
  9. Hassouneh, Islam & Radwan, Amr & Serra, Teresa & Gil, José M., 2012. "Food scare crises and developing countries: The impact of avian influenza on vertical price transmission in the Egyptian poultry sector," Food Policy, Elsevier, Elsevier, vol. 37(3), pages 264-274.
  10. Deschamps, Philippe J., 2004. "A flexible prior distribution for Markov switching autoregressions with Student-t errors," DQE Working Papers, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland 2, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 12 Nov 2011.
  11. Milas, Costas & Naraidoo, Ruthira, 2012. "Financial conditions and nonlinearities in the European Central Bank (ECB) reaction function: In-sample and out-of-sample assessment," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(1), pages 173-189, January.
  12. Arghyrou, Michael G & Kul B Luintel, 2003. "Government Solvency: Revisiting some EMU Countries," Royal Economic Society Annual Conference 2003, Royal Economic Society 8, Royal Economic Society.
  13. Funke, Michael & Gronwald, Marc, 2007. "The Undisclosed Renminbi Basket: Are The Markets Telling Us Something About Where The Renminbi - US Dollar Exchange Rate Is Going?," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 20/2007, Bank of Finland, Institute for Economies in Transition.
  14. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2008. "3-Regime symmetric STAR modeling and exchange rate reversion," Working Papers, Business School - Economics, University of Glasgow 2009_05, Business School - Economics, University of Glasgow, revised Feb 2009.
  15. P.H. Franses & D. Fok & D. van Dijk, 2004. "A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production," Econometric Society 2004 Australasian Meetings, Econometric Society 267, Econometric Society.
  16. Ana Beatriz Galv�o & Michael Artis & Massimiliano Marcellino, 2007. "The transmission mechanism in a changing world," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(1), pages 39-61.
  17. Fredj Jawadi & Sushanta K. Mallick & Ricardo M. Sousa, 2011. "Fiscal Policy in the BRICs," NIPE Working Papers, NIPE - Universidade do Minho 19/2011, NIPE - Universidade do Minho.
  18. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.
  19. Gabriella Legrenzi & Costas Milas, 2013. "Modelling the Fiscal Reaction Functions of the GIPS based on State-Varying Thresholds," Working Paper Series, The Rimini Centre for Economic Analysis 16_13, The Rimini Centre for Economic Analysis.
  20. Baillie, Richard T. & Chang, Sanders S., 2011. "Carry trades, momentum trading and the forward premium anomaly," Journal of Financial Markets, Elsevier, Elsevier, vol. 14(3), pages 441-464, August.
  21. Sahin, Afsin, 2013. "Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey," MPRA Paper 46851, University Library of Munich, Germany.
  22. Austin, Darran & Ward, Bert & Dalziel, Paul, 2007. "The demand for money in China 1987-2004: A non-linear modelling approach," China Economic Review, Elsevier, Elsevier, vol. 18(2), pages 190-204.
  23. Ben Cheikh, Nidhaleddine, 2012. "Asymmetric exchange rate pass-through in the Euro area: New evidence from smooth transition models," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 6(39), pages 1-28.
  24. Gilles DUFRENOT & Laurent MATHIEU & Val=E9rie MIGNON & Anne PEGUIN-FEISSOLE, 2003. "Persistent misalignments of the European exchanges rates: some evidence from nonlinear cointegration," International Finance, EconWPA 0309003, EconWPA.
  25. Herrerias, M.J. & Ordóñez, J., 2014. "If the United States sneezes, does the world need “pain-killers”?," International Review of Economics & Finance, Elsevier, Elsevier, vol. 31(C), pages 159-170.
  26. Paul Alagidede & Theodore Panagiotidis, 2009. "Modelling stock returns in Africa’s emerging equity markets," Discussion Paper Series 2009_01, Department of Economics, University of Macedonia, revised Jan 2009.
  27. MEITZ, Mika & SAIKKONEN, Pentti, 2006. "Stability of nonlinear AR-GARCH models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2006078, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  28. Zhang, Lingxiang, 2012. "Test for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, Elsevier, vol. 115(1), pages 16-19.
  29. Ruthira Naraidoo & Kasai Ndahiriwe, 2010. "Financial asset prices, linear and nonlinear policy rules. An In-sample assessment of the reaction function of the South African Reserve Bank," Working Papers 201006, University of Pretoria, Department of Economics.
  30. Fredj Jawadi & Ricardo M. Sousa, 2012. "Money Demand in the euro area, the US and the UK:Assessing the Role of Nonlinearity," NIPE Working Papers, NIPE - Universidade do Minho 22/2012, NIPE - Universidade do Minho.
  31. Ana Beatriz Galv�o, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers, Queen Mary, University of London, School of Economics and Finance 595, Queen Mary, University of London, School of Economics and Finance.
  32. Jawadi, Fredj & Khanniche, Sabrina, 2012. "Modeling hedge fund exposure to risk factors," Economic Modelling, Elsevier, Elsevier, vol. 29(4), pages 1003-1018.
  33. Joseph V. Balagtas & Matthew T. Holt, 2009. "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, Agricultural and Applied Economics Association, vol. 91(1), pages 87-105.
  34. Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2011. "Multivariate contemporaneous-threshold autoregressive models," Journal of Econometrics, Elsevier, Elsevier, vol. 160(2), pages 311-325, February.
  35. Philippe J. Deschamps, 2008. "Comparing smooth transition and Markov switching autoregressive models of US unemployment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(4), pages 435-462.
  36. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2009. "3-Regime symmetric STAR modeling and exchange rate reversion," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2009-07, Scottish Institute for Research in Economics (SIRE).
  37. Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," CREATES Research Papers 2008-30, School of Economics and Management, University of Aarhus.
  38. Samuel S Jibao & Niek Schoeman & Ruthira Naraidoo, 2010. "Fiscal Regime Changes and the Sustainability of Fiscal Imbalance in South Africa: A Smooth Transition Error-Correction Approach," Working Papers 201023, University of Pretoria, Department of Economics.
  39. Gervais, Jean-Philippe, 2007. "Disentangling non-linearities in the long- and short-run price relationships: An application to the U.S. hog/Pork supply chain," MPRA Paper 7743, University Library of Munich, Germany, revised 15 Jan 2008.
  40. David Ubilava, 2012. "Modeling Nonlinearities in the U.S. Soybean‐to‐Corn Price Ratio: A Smooth Transition Autoregression Approach," Agribusiness, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 28(1), pages 29-41, 01.
  41. Paul Castillo & Luis Maertens Odria & Gabriel Rodríguez, 2011. "Does The Exchange Rate Pass-Through Into Prices Change When Inflation Targeting Is Adopted? The Peruvian Case Study Between 1994 And 2007," Documentos de Trabajo, Departamento de Economía - Pontificia Universidad Católica del Perú 2011-314, Departamento de Economía - Pontificia Universidad Católica del Perú.
  42. Alfred A. Haug & Julie Tam, 2001. "A Closer Look at Long Run Money Demand," Working Papers, York University, Department of Economics 2002_09, York University, Department of Economics, revised Sep 2002.
  43. Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, Elsevier, vol. 25(2), pages 304-327.
  44. Gilles Dufrénot & Anwar Khayat, 2014. "Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation," AMSE Working Papers 1408, Aix-Marseille School of Economics, Marseille, France, revised Jan 2014.
  45. Lekkos, Ilias & Milas, Costas, 2004. "Time-varying excess returns on UK government bonds: A non-linear approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(1), pages 45-62, January.
  46. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(2), pages 169-183.
  47. Charlotte Christiansen & Angelo Ranaldo & Paul Söderllind, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," CREATES Research Papers 2009-15, School of Economics and Management, University of Aarhus.
  48. Jakob Madsen & Costas Milas, 2005. "The Price-Dividend Relationship In Inflationary And Deflationary Regimes," Econometrics, EconWPA 0506002, EconWPA.
  49. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers, University of Tasmania, School of Economics and Finance 15030, University of Tasmania, School of Economics and Finance, revised 29 Aug 2012.
  50. Menzie Chinn & Laurent Ferrara & Valérie Mignon, 2013. "Post-recession US employment through the lens of a non-linear Okun’s law," EconomiX Working Papers 2013-12, University of Paris West - Nanterre la Défense, EconomiX.
  51. Kasai, Ndahiriwe & Naraidoo, Ruthira, 2011. "Evaluating the forecasting performance of linear and nonlinear monetary policy rules for South Africa," MPRA Paper 40699, University Library of Munich, Germany.
  52. Javier Ordóñez & Hector Sala & José I. Silva, 2011. "Oil Price Shocks and Labor Market Fluctuations," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 3), pages 89-118.
  53. Balagtas, Joseph Valdes & Holt, Matthew T., 2006. "Unit Roots, TV-STARs, and the Commodity Terms of Trade: A Further Assessment of the Prebisch-Singer Hypothesis," 2006 Annual meeting, July 23-26, Long Beach, CA, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) 21405, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  54. Fok, D. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2004. "Forecasting aggregates using panels of nonlinear time series," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute EI 2004-44, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  55. Jonathan B. Hill, 2004. "Consistent and Non-Degenerate Model Specification Tests Against Smooth Transition Alternatives," Working Papers, Florida International University, Department of Economics 0406, Florida International University, Department of Economics.
  56. Vasudeva N. R. Murthy & Emmanuel Anoruo, 2009. "Are Per Capita Real GDP Series in African Countries Non-stationary or Non-linear? What does Empirical Evidence Reveal?," Economics Bulletin, AccessEcon, vol. 29(4), pages 2492-2504.
  57. Gabriella Deborah Legrenzi & Costas Milas, 2012. "Fiscal Policy Sustainability, Economic Cycle and Financial Crises: The Case of the GIPS," CESifo Working Paper Series 4001, CESifo Group Munich.
  58. Giordani, P. & Kohn, R. & van Dijk, D.J.C., 2005. "A unified approach to nonlinearity, structural change and outliers," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute EI 2005-09, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  59. Rodriguez, Nestor & Eales, James S., 2012. "Structural Change via Threshold Effects: Estimating U.S. Meat Demand Using Smooth Transition Functions," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association 124366, Agricultural and Applied Economics Association.
  60. Wu, Po-Chin & Liu, Shiao-Yen & Pan, Sheng-Chieh, 2013. "Nonlinear bilateral trade balance-fundamentals nexus: A panel smooth transition regression approach," International Review of Economics & Finance, Elsevier, Elsevier, vol. 27(C), pages 318-329.
  61. Ginger M. Davis & Katherine B. Ensor, 2007. "Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model," Journal of Time Series Analysis, Wiley Blackwell, Wiley Blackwell, vol. 28(6), pages 867-885, November.
  62. Jonathan B. Hill, 2004. "Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives," Econometric Society 2004 North American Summer Meetings, Econometric Society 42, Econometric Society.
  63. Fredj Jawadi & Sushanta K. Mallick & Ricardo M. Sousa, 2011. "Monetary Policy Rules in the BRICS: How Important is Nonlinearity?," NIPE Working Papers, NIPE - Universidade do Minho 18/2011, NIPE - Universidade do Minho.
  64. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2011. "Forecasting Nevada Gross Gaming Revenue and Taxable Sales Using Coincident and Leading Employment Indexes," Working Papers, University of Nevada, Las Vegas , Department of Economics 1103, University of Nevada, Las Vegas , Department of Economics.
  65. Christopher Martin & Costas Milas, 2011. "Financial Crises and Monetary Policy: Evidence from the UK," Working Paper Series, The Rimini Centre for Economic Analysis 14_11, The Rimini Centre for Economic Analysis.
  66. Frédérique BEC & Mélika BEN SALEM & Marine CARRASCO, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model," Annales d'Economie et de Statistique, ENSAE, issue 99-100, pages 395-427.
  67. repec:wyi:journl:002118 is not listed on IDEAS
  68. Sophie Béreau & Antonia Lopez Villavicencio & Valérie Mignon, 2008. "Nonlinear Adjustment of the Real Exchange Rate Towards its Equilibrium Value: a Panel Smooth Transition Error Correction Modelling," Working Papers 2008-23, CEPII research center.
  69. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, Elsevier, vol. 141(2), pages 517-547, December.
  70. Benbouziane, Mohamed & Benamar, Abdelhak, 2006. "The Purchasing Power Parity in The Maghreb Countries : A Nonlinear Perspective," MPRA Paper 13853, University Library of Munich, Germany, revised 2007.
  71. Nidhaleddine Ben Cheikh, 2013. "The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis," FIW Working Paper series, FIW 123, FIW.
  72. José Cancelo, 2007. "Cyclical Asymmetries in Unemployment Rates: International Evidence," International Advances in Economic Research, Springer, Springer, vol. 13(3), pages 334-346, August.
  73. Loy, Jens-Peter & Holm, Thore & Steinhagen, Carsten, 2012. "Vertical Price Transmission In Differentiated Product Markets: A Disaggregated Study For Milk And Butter," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association 123284, Agricultural and Applied Economics Association.
  74. David A. Peel & Ioannis A. Venetis, 2005. "Smooth Transition Models and Arbitrage Consistency," Economica, London School of Economics and Political Science, London School of Economics and Political Science, vol. 72(3), pages 413-430, 08.
  75. KIlIç, Rehim, 2011. "Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(2), pages 368-378, March.
  76. Miguel de Carvalho & Paulo Julio, 2010. "Digging Out the PPP Hypothesis: an Integrated Empirical Coverage," GEE Papers, Gabinete de Estratégia e Estudos, Ministério da Economia e da Inovação 0024, Gabinete de Estratégia e Estudos, Ministério da Economia e da Inovação, revised Sep 2010.
  77. Mohamed Arouri & Shawkat Hammoudeh & Fredj Jawadi & Duc Khuong Nguyen, 2014. "Financial Linkages between U.S. Sector Credit Default Swaps Markets," Working Papers, Department of Research, Ipag Business School 2014-553, Department of Research, Ipag Business School.
  78. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, Elsevier, vol. 112(2), pages 359-379, February.
  79. Edilean Kleber da Silva Bejarano Aragón & Marcelo Savino Portugal, 2008. "Nonlinearities in Central Bank of Brazil’s reaction function: the case of asymmetric preferences," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of G 200807151356590, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  80. Jonathan B. Hill, 2004. "Consistent Model Specification Tests Against Smooth Transition Alternatives," Econometrics, EconWPA 0402004, EconWPA, revised 01 Mar 2004.
  81. João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2006. "Não Linearidade Nos Ciclos De Negócios: Modelo Auto-Regressivo “Smooth Transition” Para O Índice Geral De Produção Industrial Brasileiro E Bens De Capital," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of G 10, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  82. Lee, Cheng-Feng, 2010. "Testing for unemployment hysteresis in nonlinear heterogeneous panels: International evidence," Economic Modelling, Elsevier, Elsevier, vol. 27(5), pages 1097-1102, September.
  83. Cinzia Alcidi , Alessandro Flamini, Andrea Fracasso, 2005. ""Taylored rules". Does one fit (or hide) all?," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies 04-2005, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
  84. Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, Elsevier, vol. 27(2), pages 605-612, March.
  85. Chorng-Huey Wong & Eric V. Clifton & H. L. Leon, 2001. "Inflation Targeting and the Unemployment-Inflation Trade-Off," IMF Working Papers, International Monetary Fund 01/166, International Monetary Fund.
  86. George Kapetanios & Yongcheol Shin & Andy Snell, 2003. "Testing for Cointegration in Nonlinear STAR Error Correction Models," Working Papers, Queen Mary, University of London, School of Economics and Finance 497, Queen Mary, University of London, School of Economics and Finance.
  87. Victor Pontines, 2013. "How Useful Is an Asian Currency Unit (ACU) Index for Surveillance in East Asia?," Finance Working Papers 23398, East Asian Bureau of Economic Research.
  88. Siem Jan Koopman & Soon Yip Wong, 2006. "Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series," Tinbergen Institute Discussion Papers, Tinbergen Institute 06-105/4, Tinbergen Institute.
  89. Chen, XiaoHua & Maringer, Dietmar, 2011. "Detecting time-variation in corporate bond index returns: A smooth transition regression model," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(1), pages 95-103, January.
  90. Pontines, Victor & Siregar, Reza Y., 2010. "Exchange Rate Asymmetry and Flexible Exchange Rates under Inflation Targeting Regimes: Evidence from Four East and Southeast Asian Countries," MPRA Paper 25260, University Library of Munich, Germany.
  91. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2010. "Equilibrium Exchange Rate Determination and Multiple Structural Changes," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2010-39, Scottish Institute for Research in Economics (SIRE).
  92. Gabreyohannes, Emmanuel, 2010. "A nonlinear approach to modelling the residential electricity consumption in Ethiopia," Energy Economics, Elsevier, Elsevier, vol. 32(3), pages 515-523, May.
  93. Laurent Ferrara & Dominique Guégan, 2005. "Detection of the Industrial Business Cycle using SETAR Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, OECD Publishing,CIRET, vol. 2005(3), pages 353-371.
  94. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, School of Economics and Management, University of Aarhus.
  95. Arouri, Mohamed El Hédi & Jawadi, Fredj & Nguyen, Duc Khuong, 2012. "Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS," Economic Modelling, Elsevier, Elsevier, vol. 29(3), pages 884-892.
  96. Antonia López-Villavicencio & Valérie Mignon, 2013. "Nonlinearity of the inflation-output trade-off and time-varying price rigidity," Working Papers 2013-02, CEPII research center.
  97. repec:dgr:uvatin:2003031 is not listed on IDEAS
  98. Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," International Journal of Forecasting, Elsevier, Elsevier, vol. 21(4), pages 755-774.
  99. Bahmani-Oskooee, Mohsen & Hegerty, Scott W. & Kutan, Ali M., 2009. "Is PPP sensitive to time-varying trade weights in constructing real effective exchange rates?," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(3), pages 1001-1008, August.
  100. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), . "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers, Instituto de Estudios Fiscales 24-05 Classification-JEL , Instituto de Estudios Fiscales.
  101. Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, Elsevier, vol. 16(2), pages 272-286.
  102. Fredj Jawadi & Mohamed Hedi Arouri & Duc Khuong Nguyen, 2010. "Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(8), pages 669-680.
  103. Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels, 2010. "Modelling structural changes in the volatility process," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg 10-05, Luxembourg School of Finance, University of Luxembourg.
  104. Mototsugu Shintani & Akiko Terada-Hagiwara & Tomoyoshi Yabu, 2012. "Exchange rate pass-through and inflation: a nonlinear time series analysis," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics 12-00008, Vanderbilt University Department of Economics.
  105. repec:van:wpaper:1207 is not listed on IDEAS
  106. Arghyrou, Michael G. & Gadea, Maria Dolores, 2012. "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Journal of Policy Modeling, Elsevier, Elsevier, vol. 34(1), pages 16-34.
  107. Francesco Audrino & Marcelo Cunha Medeiros, 2010. "Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging," Textos para discussão, Department of Economics PUC-Rio (Brazil) 570, Department of Economics PUC-Rio (Brazil).
  108. Siliverstovs, B. & van Dijk, D.J.C., 2003. "Forecasting industrial production with linear, nonlinear, and structural change models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute EI 2003-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  109. Massacci, Daniele, 2012. "A simple test for linearity against exponential smooth transition models with endogenous variables," Economics Letters, Elsevier, Elsevier, vol. 117(3), pages 851-856.
  110. Juselius , Mikael & Kim, Moshe & Ringbom, Staffan, 2009. "Do markup dynamics reflect fundamentals or changes in conduct?," Research Discussion Papers, Bank of Finland 12/2009, Bank of Finland.
  111. Hyeongwoo Kim & Young-Kyu Moh, 2012. "The Yen Real Exchange Rate May Not Be Stationary After All: New Evidence from Non-linear Unit-Root Tests," Auburn Economics Working Paper Series, Department of Economics, Auburn University auwp2012-02, Department of Economics, Auburn University.
  112. Hong, Yongmiao & Lin, Hai & Wang, Shouyang, 2010. "Modeling the dynamics of Chinese spot interest rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(5), pages 1047-1061, May.
  113. Diego Bastourre, 2008. "Inversores Financieros en los Mercados de Commodities: Un Modelo con Dinámica de Ajuste no Lineal al Equilibrio," Department of Economics, Working Papers 072, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
  114. Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A New Modelling Test: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 11083r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2013.
  115. Saglio, Sophie & López-Villavicencio, Antonia, 2012. "Introducing price-setting behaviour in the Phillips Curve: the role of nonlinearities," MPRA Paper 46646, University Library of Munich, Germany.
  116. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2012. "How does fiscal policy react to wealth composition and asset prices?," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(3), pages 874-890.
  117. Olivier Damette, 2013. "Mixture distribution hypothesis and the impact of a Tobin tax on exhange rate volatility : a reassessment," Working Papers of BETA 2013-07, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  118. M. J. Herrerias & Javier Ordoñez, 2011. "If the Unites States sneezes, does the world need paracetamol?," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) 2011/03, Economics Department, Universitat Jaume I, Castellón (Spain).
  119. Arouri, Mohamed & Jawadi, Fredj & Nguyen, Duc Khuong, 2013. "What can we tell about monetary policy synchronization and interdependence over the 2007–2009 global financial crisis?," Journal of Macroeconomics, Elsevier, Elsevier, vol. 36(C), pages 175-187.
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