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Berkeley Electronic Press

Studies in Nonlinear Dynamics & Econometrics

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Web page: http://www.bepress.com/snde/

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More pages of listings: 0|1

2007, Volume 11, Issue 4

1342-1342 The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?
by Frédérique Bec & Alexia Bastien [Downloadable! (restricted)]
1480-1480 Jump-and-Rest Effect of U.S. Business Cycles
by Maximo Camacho & Gabriel Perez Quiros [Downloadable! (restricted)]
1507-1507 Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules
by Deepankar Basu & Robert de Jong [Downloadable! (restricted)]
1523-1523 Movements in the Equity Premium: Evidence from a Time-Varying VAR
by Massimiliano De Santis [Downloadable! (restricted)]
1531-1531 Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models
by Antonis Michis & Theofanis Sapatinas [Downloadable! (restricted)]

2007, Volume 11, Issue 3

1322-1322 A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
by Walter Enders & Barry Falk & Pierre Siklos [Downloadable! (restricted)]
1370-1370 Detecting Multiple Changes in Persistence
by Stephen Leybourne & Tae-Hwan Kim & A.M. Robert Taylor [Downloadable! (restricted)]
1407-1407 Complex Dynamics in the Neoclassical Growth Model with Differential Savings and Non-Constant Labor Force Growth
by Serena Brianzoni & Cristiana Mammana & Elisabetta Michetti [Downloadable! (restricted)]
1430-1430 Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution
by Rehim Kiliç [Downloadable! (restricted)]
1432-1432 Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation
by Roger Bowden & Jennifer Zhu [Downloadable! (restricted)]
1435-1435 Wavelet Variance Analysis of Output in G-7 Countries
by Marco Gallegati & Mauro Gallegati [Downloadable! (restricted)]

2007, Volume 11, Issue 2

1373-1373 Change-Points in U.S. Business Cycle Durations
by Troy Davig [Downloadable! (restricted)]
1375-1375 The Dynamic Behaviour of an Endogenous Growth Model with Public Capital and Pollution
by Alfred Greiner [Downloadable! (restricted)]
1377-1377 A Dynamic Semiparametric Proportional Hazard Model
by Frank Gerhard & Nikolaus Hautsch [Downloadable! (restricted)]
1382-1382 A Class Test for Fractional Integration
by Melvin Hinich & Terence Chong [Downloadable! (restricted)]
1410-1410 Equilibrium Efficiency in the Ramsey Model with Habit Formation
by Manuel Gómez [Downloadable! (restricted)]
1411-1411 Volatility Components and Long Memory-Effects Revisited
by Markus Haas [Downloadable! (restricted)]

2007, Volume 11, Issue 1

1313-1313 A Smooth Transition Autoregressive Conditional Duration Model
by Min-Hsien Chiang [Downloadable! (restricted)]
1323-1323 Gains from Synchronization
by William Barnett & Mehmet Dalkir [Downloadable! (restricted)]
1337-1337 Fractionally Integrated Long Horizon Regressions
by Jin Lee [Downloadable! (restricted)]
1351-1351 Short-Run Patience and Wealth Inequality
by Lilia Maliar & Serguei Maliar [Downloadable! (restricted)]
1376-1376 A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests
by Wei Liu & Alex Maynard [Downloadable! (restricted)]
1385-1385 Time Series Models for Forecasting: Testing or Combining?
by Zhuo Chen & Yuhong Yang [Downloadable! (restricted)]
1434-1434 Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
by Jun Ma & Charles Nelson & Richard Startz [Downloadable! (restricted)]

2006, Volume 10, Issue 4

1255-1255 Measuring the Interaction of Wage and Price Phillips Curves for the U.S. Economy
by Pu Chen & Peter Flaschel [Downloadable! (restricted)]
1276-1276 The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
by Alfred Haug & Pierre Siklos [Downloadable! (restricted)]
1290-1290 A Switching ARCH Model for the German DAX Index
by Sylvia Kaufmann & Martin Scheicher [Downloadable! (restricted)]
1314-1314 Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?
by Amine Trifi [Downloadable! (restricted)]
1324-1324 Nonlinear Expectation Formation, Endogenous Business Cycles and Stylized Facts
by Frank Westerhoff [Downloadable! (restricted)]
1359-1359 Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom
by Mark Taylor & Emmanuel Davradakis [Downloadable! (restricted)]
1363-1363 Bayesian Analysis of Structural Effects in an Ordered Equation System
by Mingliang Li & Justin Tobias [Downloadable! (restricted)]

2006, Volume 10, Issue 3

1340-1340 Randomly Modulated Periodic Signals in Alberta's Electricity Market
by Melvin Hinich & Apostolos Serletis [Downloadable! (restricted)]
1341-1341 Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets
by Apostolos Serletis & Akbar Shahmoradi [Downloadable! (restricted)]
1355-1355 Analytical Approximation for the Price Dynamics of Spark Spread Options
by Fred Benth & Jurate Saltyte-Benth [Downloadable! (restricted)]
1358-1358 Risk Premia in Electricity Forward Prices
by Pavel Diko & Steve Lawford & Valerie Limpens [Downloadable! (restricted)]
1361-1361 The Nature of Power Spikes: A Regime-Switch Approach
by Cyriel De Jong [Downloadable! (restricted)]
1362-1362 Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models
by Adam Misiorek & Stefan Trueck & Rafal Weron [Downloadable! (restricted)]
1367-1367 Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
by Niels Haldrup & Morten Nielsen [Downloadable! (restricted)]
1372-1372 Analysis and Modelling of Electricity Futures Prices
by Svetlana Borovkova & Helyette Geman [Downloadable! (restricted)]
1383-1383 Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market
by Maxwell Stevenson & Luiz Moreira do Amaral & Maurice Peat [Downloadable! (restricted)]
1386-1386 Estimating Trends in Weather Series: Consequences for Pricing Derivatives
by Stephen Jewson & Jeremy Penzer [Downloadable! (restricted)]

2006, Volume 10, Issue 2

1237-1237 On the Power of Absolute Convergence Tests
by Rómulo Chumacero [Downloadable! (restricted)]
1253-1253 Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?
by Alessandro Calza & João Sousa [Downloadable! (restricted)]
1280-1280 Unemployment and Inflation Regimes
by Anders Warne & Anders Vredin [Downloadable! (restricted)]
1302-1302 Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
by Zacharias Psaradakis & Martin Sola & Fabio Spagnolo [Downloadable! (restricted)]
1304-1304 Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
by Carlos Martins-Filho & Feng Yao [Downloadable! (restricted)]
1409-1409 Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"
by Erdem Basci & Mehmet Caner & Gawon Yoon [Downloadable! (restricted)]

2006, Volume 10, Issue 1

1254-1254 Indexing Speculative Pressure on an Exchange Rate Regime: A Case Study of Macedonia
by King Banaian & Ming Chien Lo [Downloadable! (restricted)]
1256-1256 Model Selection Uncertainty and Detection of Threshold Effects
by Jean-Yves Pitarakis [Downloadable! (restricted)]
1285-1285 Non-linear Real Exchange Rate Effects in the UK Labour Market
by Costas Milas & Gabriella Legrenzi [Downloadable! (restricted)]
1303-1303 On Robust Trend Function Hypothesis Testing
by David Harvey & Stephen Leybourne & A.M. Robert Taylor [Downloadable! (restricted)]
1309-1309 Heterogeneous Consumption Goods, Sectoral Change, and Economic Growth
by Thomas Steger [Downloadable! (restricted)]
1345-1345 Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
by James Davidson & David Peel & J. Byers [Downloadable! (restricted)]

2005, Volume 9, Issue 4

1145-1145 Forecasting Stock Market Volatility with Regime-Switching GARCH Models
by Juri Marcucci [Downloadable! (restricted)]
1147-1147 Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance
by Christian Conrad & Menelaos Karanasos [Downloadable! (restricted)]
1268-1268 Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches
by Melvin Hinich & Eduardo Mendes & Lewi Stone [Downloadable! (restricted)]
1269-1269 Can GARCH Models Capture Long-Range Dependence?
by John Maheu [Downloadable! (restricted)]
1273-1273 Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test
by Erdem Basci & Mehmet Caner [Downloadable! (restricted)]
1328-1328 The International CAPM and a Wavelet-Based Decomposition of Value at Risk
by Viviana Fernandez [Downloadable! (restricted)]

2005, Volume 9, Issue 3

1185-1185 Some New Results on Industrial Sector Mode-Locking and Business Cycle Formation
by Bernd Süssmuth & Ulrich Woitek [Downloadable! (restricted)]
1229-1229 An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes
by Hakan Berument & Yilmaz Akdi & Cemal Atakan [Downloadable! (restricted)]
1230-1230 Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression Model
by Derek Bond & Michael Harrison & Edward O'Brien [Downloadable! (restricted)]
1271-1271 Bayesian Modeling of School Effects Using Hierarchical Models with Smoothing Priors
by Mingliang Li & Justin Tobias [Downloadable! (restricted)]
1286-1286 Comment on "Investigating Nonlinearity"
by James Hamilton [Downloadable! (restricted)]

2005, Volume 9, Issue 2

1163-1163 A Test of the Martingale Hypothesis
by Joon Park & Yoon-Jae Whang [Downloadable! (restricted)]
1166-1166 Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model
by Elena Goldman & Hiroki Tsurumi [Downloadable! (restricted)]
1171-1171 What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study
by Marie Bessec & Othman Bouabdallah [Downloadable! (restricted)]
1227-1227 Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity
by Aaron Smallwood [Downloadable! (restricted)]
1234-1234 A Note on the Hiemstra-Jones Test for Granger Non-causality
by Cees Diks & Valentyn Panchenko [Downloadable! (restricted)]
1263-1263 Solving Ramsey Problems with Nonlinear Projection Methods
by Michael Gapen & Thomas Cosimano [Downloadable! (restricted)]
1277-1277 Economic Growth and Revealed Social Preference
by Richard Day & Chengyu Yang [Downloadable! (restricted)]

2005, Volume 9, Issue 1

1085-1085 Nonlinear Error-Correction Models for the FF/DM Rate
by Mustapha Baghli [Downloadable! (restricted)]
1170-1170 Wavelet Transforms and Commodity Prices
by Jeff Connor & Rosemary Rossiter [Downloadable! (restricted)]
1199-1199 Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices
by Daniela Hristova [Downloadable! (restricted)]
1202-1202 Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures
by Joaquim Ramalho [Downloadable! (restricted)]
1219-1219 A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
by Ventzislav Ivanov & Lutz Kilian [Downloadable! (restricted)]
1228-1228 Inflation Dynamics of Turkey: A Structural Estimation
by M. Ege Yazgan & Hakan Yilmazkuday [Downloadable! (restricted)]
1240-1240 Transitional Dynamics in an Endogenous Growth Model with Physical Capital, Human Capital and R&D
by Manuel Gómez [Downloadable! (restricted)]
1308-1308 A Video Interview of Buz Brock
by Bruce Mizrach [Downloadable! (restricted)]

2004, Volume 8, Issue 4

1106-1106 Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets
by M. Dolores Robles-Fernandez & Luisa Nieto & M. Angeles Fernandez [Downloadable! (restricted)]
1111-1111 A Stochastic Version of Zeeman's Market Model
by Thorsten Rheinlaender & Marcus Steinkamp [Downloadable! (restricted)]
1129-1129 Combining Forecasts with Nonparametric Kernel Regressions
by Fuchun Li & Greg Tkacz [Downloadable! (restricted)]
1189-1189 An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity
by Kurt Brannas & Jonas Nordstrom [Downloadable! (restricted)]
1191-1191 A New Test of the Martingale Difference Hypothesis
by Chung-Ming Kuan & Wei-Ming Lee [Downloadable! (restricted)]
1203-1203 Linearizations and Equilibrium Correction Models
by Gunnar Bårdsen & Stan Hurn & Kenneth Lindsay [Downloadable! (restricted)]

2004, Volume 8, Issue 3

1117-1117 A Nonparametric Dimension Test of the Term Structure
by Javier Gil-Bazo & Gonzalo Rubio [Downloadable! (restricted)]
1150-1150 Working Time and Employment Under Uncertainty
by Yu-Fu Chen & Michael Funke [Downloadable! (restricted)]
1155-1155 Nonlinear Monetary Policy Rules: Some New Evidence for the U.S
by Juan Dolado & Ramón Pedrero & Francisco Ruge-Murcia [Downloadable! (restricted)]
1182-1182 Household Income Dynamics in Two Transition Economies
by Michael Lokshin & Martin Ravallion [Downloadable! (restricted)]
1226-1226 The Long Memory of the Efficient Market
by Fabrizio Lillo & J. Farmer [Downloadable! (restricted)]
1239-1239 Neural Tests for Conditional Heteroskedasticity in ARCH-M Models
by Christian de Peretti & Carole Siani [Downloadable! (restricted)]

2004, Volume 8, Issue 2

1204-1204 Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing
by Estela Dagum & Alessandra Luati [Downloadable! (restricted)]
1205-1205 Seasonal Specific Structural Time Series
by Tommaso Proietti [Downloadable! (restricted)]
1206-1206 Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns
by William Cleveland [Downloadable! (restricted)]
1207-1207 Introduction
by Estela Dagum & Tommaso Proietti [Downloadable! (restricted)]
1208-1208 Extensions of the Forward Search to Time Series
by Marco Riani [Downloadable! (restricted)]
1210-1210 Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
by Kai Lee & Siem Jan Koopman [Downloadable! (restricted)]
1211-1211 MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
by Nunzio Cappuccio & Diego Lubian & Davide Raggi [Downloadable! (restricted)]
1212-1212 GARCH-type Models with Generalized Secant Hyperbolic Innovations
by Paola Palmitesta & Corrado Provasi [Downloadable! (restricted)]
1213-1213 Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation
by Paolo Vidoni [Downloadable! (restricted)]
1214-1214 Statistical Tests for Lyapunov Exponents of Deterministic Systems
by Rodney Wolff & Qiwei Yao & Howell Tong [Downloadable! (restricted)]
1215-1215 Assessing Chaos in Time Series: Statistical Aspects and Perspectives
by Simone Giannerini & Rodolfo Rosa [Downloadable! (restricted)]
1216-1216 On the Stationarity of First-order Nonlinear Time Series Models: Some Developments
by Giovanni Fonseca [Downloadable! (restricted)]
1217-1217 Experimental Design for Time-Dependent Models with Correlated Observations
by Dariusz Ucinski & Anthony Atkinson [Downloadable! (restricted)]
1218-1218 Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
by Jurgen Doornik & Marius Ooms [Downloadable! (restricted)]
1223-1223 Mixture Processes for Financial Intradaily Durations
by Giovanni De Luca & Giampiero Gallo [Downloadable! (restricted)]
1224-1224 Analyzing Financial Time Series through Robust Estimators
by Luigi Grossi [Downloadable! (restricted)]
1225-1225 Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes
by Fabrizio Laurini [Downloadable! (restricted)]

2004, Volume 8, Issue 1

1122-1122 Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium?
by Jesús Vázquez [Downloadable! (restricted)]
1132-1132 The ARAR Error Model for Univariate Time Series and Distributed Lag
by Richard Carter & Arnold Zellner [Downloadable! (restricted)]
1141-1141 Inferring the Forward Looking Equity Risk Premium from Derivative Prices
by Ramaprasad Bhar & Carl Chiarella & Wolfgang Runggaldier [Downloadable! (restricted)]
1167-1167 Private Information and High-Frequency Stochastic Volatility
by David Kelly & Douglas Steigerwald [Downloadable! (restricted)]
1200-1200 An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests
by Georgios Chortareas & George Kapetanios & Merih Uctum [Downloadable! (restricted)]

2003, Volume 7, Issue 4

1110-1110 Bootstrapping Macroeconometric Models
by Ray Fair [Downloadable! (restricted)]
1112-1112 Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach
by Christina Atanasova [Downloadable! (restricted)]
1125-1125 Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists
by Frank Westerhoff & Stefan Reitz [Downloadable! (restricted)]
1174-1174 An Information Theoretic Approach for Estimating Nonlinear Dynamic Models
by Amos Golan [Downloadable! (restricted)]
1183-1183 The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses
by Sangbae Kim & Francis In [Downloadable! (restricted)]

2003, Volume 7, Issue 3

1114-1114 Testing Serial Independence against Time Irreversibility
by Yi-Ting Chen [Downloadable! (restricted)]
1119-1119 Industrial Sector Mode-Locking and Business Cycle Formation
by David Selover & Roderick Jensen & John Kroll [Downloadable! (restricted)]
1134-1134 Determinism in Financial Time Series
by Michael Small & Chi Tse [Downloadable! (restricted)]
1157-1157 Long Memory Inflationary Dynamics: The Case of Brazil
by Valderio Reisen & Francisco Cribari-Neto & Mark Jensen [Downloadable! (restricted)]
1160-1160 An Empirical Evaluation of Non-Linear Trading Rules
by Julián Andrada-Félix & Fernando Fernadez-Rodriguez & Maria-Dolores Garcia-Artiles & Simon Sosvilla-Rivero [Downloadable! (restricted)]

2003, Volume 7, Issue 2

1087-1087 Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series
by Ralph Snyder & Catherine Forbes [Downloadable! (restricted)]
1099-1099 Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses
by George Kapetanios [Downloadable! (restricted)]
1103-1103 Globally-Stabilizing Fiscal Policy Rules
by Jang-Ting Guo & Kevin Lansing [Downloadable! (restricted)]
1104-1104 Stochastic Growth with Increasing Returns: Stability and Path Dependence
by John Stachurski [Downloadable! (restricted)]
1135-1135 A Nonlinear Approach to Forecasting with Leading Economic Indicators
by Timotej Jagric [Downloadable! (restricted)]
1168-1168 Erratum
by George Kapetanios [Downloadable! (restricted)]

2003, Volume 7, Issue 1

1102-1102 Terror Cycles
by Joao Faria [Downloadable! (restricted)]
1108-1108 Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series
by Jorge Belaire-Franch & Amado Peiro [Downloadable! (restricted)]
1123-1123 Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle
by Christian Dahl & Gloria Gonzalez-Rivera [Downloadable! (restricted)]
1131-1131 Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle
by John Driffill & Marzia Raybaudi & Martin Sola [Downloadable! (restricted)]

2003, Volume 6, Issue 4

1089-1089 An Assessment of International Business Cycle Asymmetries using Clements and Krolzig's Parametric Approach
by Jorge Belaire-Franch & Dulce Contreras [Downloadable! (restricted)]
1101-1101 Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
by Levent Akdeniz & Aslihan Altay-Salih & Mehmet Caner [Downloadable! (restricted)]
1109-1109 The Asymmetric Reverting Property of Stock Returns
by Kiseok Nam [Downloadable! (restricted)]

2003, Volume 6, Issue 3

1143-1143 Erratum
by Claudio Morana [Downloadable! (restricted)]

2002, Volume 6, Issue 3

1090-1090 Wavelets in Economics and Finance: Past and Future
by James Ramsey [Downloadable! (restricted)]
1091-1091 Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
by Zacharias Psaradakis & Nicola Spagnolo [Downloadable! (restricted)]
1092-1092 Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation
by Claudio Morana [Downloadable! (restricted)]
1093-1093 On The Dynamics Of Lending And Deposit Interest Rates In Emerging Markets: A Non-Linear Approach
by Ana María Iregui & Costas Milas & Jesus Otero [Downloadable! (restricted)]

2002, Volume 6, Issue 2

1004-1004 My Experiences with Nonlinear Dynamic Models in Economics
by Arnold Zellner [Downloadable! (restricted)]
1005-1005 Tests for Serial Independence and Linearity Based on Correlation Integrals
by Cees Diks & Sebastiano Manzan [Downloadable! (restricted)]
1006-1006 Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks
by Frédérique Bec & Mélika Ben Salem & Fabrice Collard [Downloadable! (restricted)]

2002, Volume 6, Issue 1

1000-1000 Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
by Xiaohong Chen & Halbert White [Downloadable! (restricted)]
1001-1001 Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data
by Carl Chiarella & Willi Semmler & Stefan Mittnik & Peiyuan Zhu [Downloadable! (restricted)]
1002-1002 Characterizing the Degree of Stability of Non-linear Dynamic Models
by Mikael Bask & Xavier de Luna [Downloadable! (restricted)]
1003-1003 Nonlinear Trends and Co-trending in Canadian Money Demand
by David Cushman [Downloadable! (restricted)]

2002, Volume 5, Issue 4

1081-1081 Growth, Saving, Financial Markets, and Markov Switching Regimes
by Tor Jacobson & Thomas Lindh & Anders Warne [Downloadable! (restricted)]
1082-1082 Nonlinearities and Inactivity in Aggregate Investment: Some Theoretical Analysis and Time-Series Evidence
by Luisa Corrado & Sean Holly & Paul Turner [Downloadable! (restricted)]
1083-1083 Microeconomic Models for Long Memory in the Volatility of Financial Time Series
by Alan Kirman & Gilles Teyssière [Downloadable! (restricted)]
1084-1084 Macrostructures in Microeconomic Dynamics
by Takuya Iimura [Downloadable! (restricted)]

2001, Volume 5, Issue 3

1077-1077 Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis
by Mark Taylor & Lucio Sarno [Downloadable! (restricted)]
1078-1078 Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective
by Jerry Coakley & Ana-María Fuertes & Gylfi Zoega [Downloadable! (restricted)]
1079-1079 Energy Shocks and Financial Markets: Nonlinear Linkages
by Cetin Ciner [Downloadable! (restricted)]
1080-1080 EVIM: A Software Package for Extreme Value Analysis in MATLAB
by Ramazan Gençay & Faruk Selçuk & Abdurrahman Ulugülyagci [Downloadable! (restricted)]

2001, Volume 5, Issue 2

1074-1074 Estimating ARMA Models Efficiently
by Rómulo Chumacero [Downloadable! (restricted)]
1075-1075 Detecting Equilibrium Correction with Smoothly Time-Varying Strength
by Ann-Charlotte Eliasson [Downloadable! (restricted)]
1076-1076 Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market
by Ian Garrett & Nicholas Taylor [Downloadable! (restricted)]

2001, Volume 5, Issue 1

33-40 On Impossibility of Limit Cycles in Certain Two-Dimensional Continuous-Time Growth Mode
by Sergey Slobodyan [Downloadable! (restricted)]
41-56 The Inflationary Consequences of Fiscal Policy In Brazil: An Empirical Investigation with Regime Switches and Time-Varying Probabilities
by Marcelo Salomon [Downloadable! (restricted)]
75-86 Stabilizing Endogenous Fluctuations with Fiscal Policies: Global Analysis on Piecewise Continuous Dynamical Systems
by E. Augeraud-Veron & L. Augier [Downloadable! (restricted)]
87-102 Wavelet Analysis of the Cost-of-Carry Model
by Shinn-Juh Lin & Maxwell Stevenson [Downloadable! (restricted)]
1067-1067 Nonlinearity in High-Frequency Financial Data and Hierarchical Models
by Robert McCulloch & Ruey Tsay [Downloadable! (restricted)]
1068-1068 Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
by Greg Tkacz [Downloadable! (restricted)]
1072-1072 Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series
by Klaus Schenk-Hoppé [Downloadable! (restricted)]

2001, Volume 4, Issue 4

19-32 Time-to-Expiry Seasonalities in Eurofutures
by Giuseppe Ballocchi & Michael Dacorogna & Ramazan Gençay & Barbara Piccinato [Downloadable! (restricted)]
183-212 The Formation of Inflation Expectations under Changing Inflation Regimes
by Christian Dahl & Niels Hansen [Downloadable! (restricted)]
213-226 Efficient Estimation of Dynamical Systems
by Stefano Iacus [Downloadable! (restricted)]
1063-1063 Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models
by Tae-Hwy Lee [Downloadable! (restricted)]

2000, Volume 4, Issue 3

101-121 On Nonlinear, Stochastic Dynamics in Economic and Financial Time Series
by Christian Schittenkopf & Georg Dorffner & Engelbert Dockner [Downloadable! (restricted)]
123-135 Nonlinear Models for U.K. Macroeconomic Time Series
by Nadir Öcal [Downloadable! (restricted)]
169-182 An Algorithm for Estimating Multivariate Catastrophe Models: GEMCAT II
by Rense Lange & Terence Oliva & Sean McDade [Downloadable! (restricted)]
1059-1059 p-Value Adjustments for Multiple Tests for Nonlinearity
by Zacharias Psaradakis [Downloadable! (restricted)]

2000, Volume 4, Issue 2

51-71 Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe
by Michael Bradley & Dennis Jansen [Downloadable! (restricted)]
73-84 Seasonal Adjustment and the Business Cycle in Unemployment
by Philip Franses & Paul de Bruin [Downloadable! (restricted)]
95-100 A Nonlinear Model of the Business Cycle
by Simon Potter [Downloadable! (restricted)]

2000, Volume 4, Issue 1

1-16 The Hodrick-Prescott Filter, a Generalization, and a New Procedure for Extracting an Empirical Cycle from a Series
by Jonathan Reeves & Conrad Blyth & Christopher Triggs & John Small [Downloadable! (restricted)]
17-33 A Graphical Investigation of the Size and Power of the Granger-Causality Tests in Integrated-Cointegrated VAR Systems
by Panagiotis Mantalos [Downloadable! (restricted)]
35-44 Time-Series Near-Neighbor Regression
by Ted Jaditz & Leigh Riddick [Downloadable! (restricted)]
45-50 A Generalized Fast Algorithm for BDS-Type Statistics
by David Mayer-Foulkes [Downloadable! (restricted)]

1999, Volume 3, Issue 4

169-188 Stability Analysis of Continuous-Time Macroeconometric Systems
by William Barnett & Yijun He [Downloadable! (restricted)]
191-200 Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP
by Prasad Bidarkota [Downloadable! (restricted)]
203-220 Should Policy Makers Worry about Asymmetries in the Business Cycle?
by Michael Boldin [Downloadable! (restricted)]
223-237 Monetary Policy with a Nonlinear Phillips Curve and Asymmetric Loss
by Demosthenes Tambakis [Downloadable! (restricted)]
239-253 An Approximate Wavelet MLE of Short- and Long-Memory Parameters
by Mark Jensen [Downloadable! (restricted)]

1998, Volume 3, Issue 3

119-140 Information-Theoretic Analysis of Serial Dependence and Cointegration
by F. Aparicio & A. Escribano [Downloadable! (restricted)]
141-156 Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models
by Tommaso Proietti [Downloadable! (restricted)]
157-167 A Visual Goodness-of-Fit Test for Econometric Models
by Ramazan Gençay & Faruk Selçuk [Downloadable! (restricted)]

1998, Volume 3, Issue 2

61-78 Smooth-Transition GARCH Models
by Gloria González-Rivera [Downloadable! (restricted)]
79-105 Using Long-, Medium-, and Short-Term Trends to Forecast Turning Points in the Business Cycle: Some International Evidence
by Antonio García-Ferrer & Ricardo Queralt [Downloadable! (restricted)]
107-117 A Markov-Chain Sampling Algorithm for GARCH Models
by Teruo Nakatsuma [Downloadable! (restricted)]

1998, Volume 3, Issue 1

1-22 Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
by Simon van Norden & Robert Vigfusson [Downloadable! (restricted)]
23-42 The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
by James Ramsey & Camille Lampart [Downloadable! (restricted)]
43-59 Nonlinear Dynamics and European GNP Data
by Domenico Delli Gatti & Mauro Gallegati & Domenico Mignacca [Downloadable! (restricted)]

1998, Volume 2, Issue 4

115-131 Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods
by John Chao & Chaoshin Chiao [Downloadable! (restricted)]
133-149 GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
by Eric Ghysels & Joanna Jasiak [Downloadable! (restricted)]
159-177 The Current Depth-of-Recession and Unemployment-Rate Forecasts
by Randall Parker & Philip Rothman [Downloadable! (restricted)]
1033-1033 Forecasting Exchange Rates Using Neural Networks for Technical Trading Rules
by Philip Franses & Kasper van Griensven [Downloadable! (restricted)]
1034-1034 Early News is Good News: The Effects of Market Opening on Market Volatility
by Giampiero Gallo & Barbara Pacini [Downloadable! (restricted)]

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This page was last updated on 2008-5-15.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.