Studies in Nonlinear Dynamics & Econometrics

For technical questions regarding this series, please contact (Avi Warner)
Series handle: repec:bpj:sndecm

2009, Volume 13, Issue 4

• Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates
  by Helmut Herwartz & Jan Roestel [Downloadable!]
• Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis
  by Chang Sik Kim [Downloadable!]
• Threshold Effects of Dismissal Protection Regulation and the Emergence of Temporary Work Agencies
  by Yu-Fu Chen & Michael Funke [Downloadable!]
• A Non-Parametric Investigation of Risk Premia
  by Chiara Peroni [Downloadable!]
• Changes in U.S. Inflation Persistence
  by Kyu Ho Kang & Chang-Jin Kim & James Morley [Downloadable!]

• Modeling Jump and Continuous Components in the Volatility of Oil Futures
  by Tseng-Chan Tseng & Huimin Chung & Chin-Sheng Huang [Downloadable!]
• Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization
  by Azzouz Dermoune & Boualem Djehiche & Nadji Rahmania [Downloadable!]
• Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
  by Jeroen V. K. Rombouts & Mohammed Bouaddi [Downloadable!]
• Inspecting the Poverty-Trap Mechanism: A Quantile Regression Approach
  by Jens J. Krüger [Downloadable!]
• Asymmetry in Stochastic Volatility Models: Threshold or Correlation?
  by Daniel R. Smith [Downloadable!]

• Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation
  by Emma M. Iglesias [Downloadable!]
• Discovering Hidden Structures Using Mixture Models: Application to Nonlinear Time Series Processes
  by Babak Shahbaba [Downloadable!]
• Testing for Conditional Heteroscedasticity in the Components of Inflation
  by Carmen Broto & Esther Ruiz [Downloadable!]
• Nonlinearity between Inequality and Growth
  by Shu-Chin Lin & Ho-Chuan Huang & Dong-Hyeon Kim & Chih-Chuan Yeh [Downloadable!]
• The J2 Status of "Chaos" in Period Macroeconomic Models
  by Peter Flaschel & Christian R. Proaño [Downloadable!]
• A Component GARCH Model with Time Varying Weights
  by Luc Bauwens & Giuseppe Storti [Downloadable!]

• Multi-Market Direction-of-Change Modeling Using Dependence Ratios
  by Stanislav Anatolyev [Downloadable!]
• Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate
  by Seungmoon Choi [Downloadable!]
• (Un)anticipated Technological Change in an Endogenous Growth Model
  by Bruce A. Conway & Rina Rosenblatt-Wisch & Klaus Reiner Schenk-Hoppé [Downloadable!]
• Modelling Good and Bad Volatility
  by Matteo M. Pelagatti [Downloadable!]
• The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing
  by John Driffill & Turalay Kenc & Martin Sola & Fabio Spagnolo [Downloadable!]

• The Dynamics of Mutual Funds and Market Timing Measurement
  by Juan Carlos Matallin-Saez [Downloadable!]
• Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life
  by Ming Chien Lo [Downloadable!]
• Happiness due to Consumption and its Increases, Wealth and Status
  by Franz Wirl & Andreas J. Novak & Franz X. Hof [Downloadable!]
• The Consumption-Wealth Ratio under Asymmetric Adjustment
  by Vasco J. Gabriel & Fernando Alexandre & Pedro Bação [Downloadable!]
• The Nonlinear Dynamics of Foreign Reserves and Currency Crises
  by Terence T. L. Chong & Qing He & Melvin J. Hinich [Downloadable!]
• Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components
  by Juan J. Dolado & Jesus Gonzalo & Laura Mayoral [Downloadable!]

• Threshold Adjustment of Deviations from the Law of One Price
  by Luciana Juvenal & Mark P. Taylor [Downloadable!]
• Markov-Switching GARCH Modelling of Value-at-Risk
  by Rasoul Sajjad & Jerry Coakley & John C. Nankervis [Downloadable!]
• Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry
  by Philip A. Rothman [Downloadable!]
• Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?
  by Chang-Jin Kim & Yunmi Kim [Downloadable!]
• Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths
  by Brigitta Hultblad & Sune Karlsson [Downloadable!]
• Optimal Test for Markov Switching GARCH Models
  by Liang Hu & Yongcheol Shin [Downloadable!]
• A Powerful Test for Linearity When the Order of Integration is Unknown
  by David I. Harvey & Stephen J. Leybourne & Bin Xiao [Downloadable!]
• Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
  by Clive W.J. Granger [Downloadable!]

• Unemployment and Economic Growth Cycles
  by Maria J. Roa & Francisco Jose Vazquez & Dulce Saura [Downloadable!]
• Option Valuation with Normal Mixture GARCH Models
  by Alex Badescu & Reg Kulperger & Emese Lazar [Downloadable!]
• Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps
  by Wing Hong Chan [Downloadable!]
• Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
  by Wei Sun & Svetlozar Rachev & Stoyan V. Stoyanov & Frank J. Fabozzi [Downloadable!]
• On the Robustness of Symmetry Tests for Stock Returns
  by Yi-Ting Chen & Chang-Ching Lin [Downloadable!]
• A Video Interview with James Hamilton
  by Bruce Mizrach [Downloadable!]

• Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics
  by Travis D. Nesmith & Barry E. Jones [Downloadable!]
• Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem
  by Dietmar G. Maringer & Mark Meyer [Downloadable!]
• Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series
  by Dimitris Kugiumtzis [Downloadable!]
• Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle
  by Mohitosh Kejriwal [Downloadable!]
• Rank-based Entropy Tests for Serial Independence
  by Cees Diks & Valentyn Panchenko [Downloadable!]
• Modelling Autoregressive Processes with a Shifting Mean
  by Andrés González & Timo Teräsvirta [Downloadable!]

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

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

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

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

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

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

• On the Power of Absolute Convergence Tests
  by Rómulo A. Chumacero [Downloadable!]
• 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!]
• Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?
  by Alessandro Calza & João Sousa [Downloadable!]
• Unemployment and Inflation Regimes
  by Anders Warne & Anders Vredin [Downloadable!]
• 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!]
• 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!]

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

• Forecasting Stock Market Volatility with Regime-Switching GARCH Models
  by Juri Marcucci [Downloadable!]
• 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!]
• The International CAPM and a Wavelet-Based Decomposition of Value at Risk
  by Viviana P. Fernandez [Downloadable!]
• Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches
  by Melvin J. Hinich & Eduardo M. Mendes & Lewi Stone [Downloadable!]
• Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test
  by Erdem Basci & Mehmet Caner [Downloadable!]
• Can GARCH Models Capture Long-Range Dependence?
  by John Maheu [Downloadable!]

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

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

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

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

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

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

• 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!]
• An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests
  by Georgios E. Chortareas & George Kapetanios & Merih Uctum [Downloadable!]
• Inferring the Forward Looking Equity Risk Premium from Derivative Prices
  by Ramaprasad Bhar & Carl Chiarella & Wolfgang J. Runggaldier [Downloadable!]
• The ARAR Error Model for Univariate Time Series and Distributed Lag
  by Richard A. L. Carter & Arnold Zellner [Downloadable!]
• Private Information and High-Frequency Stochastic Volatility
  by David L. Kelly & Douglas G. Steigerwald [Downloadable!]

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

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

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

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

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

• Erratum
  by Claudio Morana [Downloadable!]

• 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!]
• Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation
  by Claudio Morana [Downloadable!]
• Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
  by Zacharias Psaradakis & Nicola Spagnolo [Downloadable!]
• Wavelets in Economics and Finance: Past and Future
  by James B. Ramsey [Downloadable!]

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

• Nonlinear Trends and Co-trending in Canadian Money Demand
  by David O. Cushman [Downloadable!]
• Characterizing the Degree of Stability of Non-linear Dynamic Models
  by Mikael Bask & Xavier de Luna [Downloadable!]
• 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!]
• Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space
  by Xiaohong Chen & Halbert White [Downloadable!]

• Macrostructures in Microeconomic Dynamics
  by Takuya Iimura [Downloadable!]
• Nonlinearities and Inactivity in Aggregate Investment: Some Theoretical Analysis and Time-Series Evidence
  by Luisa Corrado & Sean Holly & Paul Turner [Downloadable!]
• Growth, Saving, Financial Markets, and Markov Switching Regimes
  by Tor Jacobson & Thomas Lindh & Anders Warne [Downloadable!]

• EVIM: A Software Package for Extreme Value Analysis in MATLAB
  by Ramazan Gençay & Faruk Selçuk & Abdurrahman Ulugülyagci [Downloadable!]
• Energy Shocks and Financial Markets: Nonlinear Linkages
  by Cetin Ciner [Downloadable!]

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This page was last updated on 2009-11-3.