Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C2: Single Equation Models; Single Variables
/ / / C22: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

• Manner Hans, 2010, "Testing for Asymmetric Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 2, pages 1-32, March, DOI: 10.2202/1558-3708.1658.
• Dark Jonathan Graeme, 2010, "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 2, pages 1-50, March, DOI: 10.2202/1558-3708.1720.
• Yoo Byoung Hark, 2010, "Estimating the Term Premium by a Markov Switching Model with ARMA-GARCH Errors," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 2, pages 1-20, March, DOI: 10.2202/1558-3708.1398.
• Swamy P. A. V. B. & Tavlas George S & Hall Stephen G. F. & Hondroyiannis George, 2010, "Estimation of Parameters in the Presence of Model Misspecification and Measurement Error," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 3, pages 1-35, May, DOI: 10.2202/1558-3708.1743.
• Herrmann Klaus & Fischer Matthias, 2010, "An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 3, pages 1-23, May, DOI: 10.2202/1558-3708.1694.
• Haas Markus, 2010, "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-56, September, DOI: 10.2202/1558-3708.1765.
• Maki Daiki, 2010, "Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-43, September, DOI: 10.2202/1558-3708.1704.
• McElroy Tucker S, 2010, "A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 4, pages 1-23, September, DOI: 10.2202/1558-3708.1756.
• Lee Jihyun & Kim Tong S & Lee Hoe Kyung, 2010, "Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 1, pages 1-43, December, DOI: 10.2202/1558-3708.1717.
• Dueker Michael J. & Psaradakis Zacharias & Sola Martin & Spagnolo Fabio, 2011, "Contemporaneous-Threshold Smooth Transition GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 2, pages 1-25, March, DOI: 10.2202/1558-3708.1755.
• Kauermann Goeran & Krivobokova Tatyana & Semmler Willi, 2011, "Filtering Time Series with Penalized Splines," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 2, pages 1-28, March, DOI: 10.2202/1558-3708.1789.
• Becker Ralf & Clements Adam E & Hurn Stan, 2011, "Semi-Parametric Forecasting of Realized Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 3, pages 1-23, May, DOI: 10.2202/1558-3708.1814.
• Christopoulos Dimitris K & Leon-Ledesma Miguel A., 2011, "International Output Convergence, Breaks, and Asymmetric Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 3, pages 1-33, May, DOI: 10.2202/1558-3708.1823.
• Bernardi Mauro & Della Corte Giuseppe & Proietti Tommaso, 2011, "Extracting the Cyclical Component in Hours Worked," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 3, pages 1-28, May, DOI: 10.2202/1558-3708.1818.
• Yang Minxian, 2011, "Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 3, pages 1-21, May, DOI: 10.2202/1558-3708.1820.
• Billio Monica & Casarin Roberto, 2011, "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 4, pages 1-32, September, DOI: 10.2202/1558-3708.1856.
• Carrion-i-Silvestre Josep Lluis & Surdeanu Laura, 2011, "Panel Cointegration Rank Testing with Cross-Section Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 15, issue 4, pages 1-43, September, DOI: 10.2202/1558-3708.1825.
• Pollock D.S.G., 2012, "Band-Limited Stochastic Processes in Discrete and Continuous Time," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-29, January, DOI: 10.1515/1558-3708.1849.
• Clements Michael P., 2012, "Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-27, January, DOI: 10.1515/1558-3708.1865.
• Chung Y. Peter & Zhou Zhong-guo, 2012, "The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 1, pages 1-33, January, DOI: 10.1515/1558-3708.1634.
• Ruiz Esther & Pérez Ana, 2012, "Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 3, pages 1-33, September, DOI: 10.1515/1558-3708.1880.
• Martinez Oscar & Olmo Jose, 2012, "A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 16, issue 3, pages 1-39, September, DOI: 10.1515/1558-3708.1881.
• Bask Mikael & de Luna Xavier, 2002, "Characterizing the Degree of Stability of Non-linear Dynamic Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 1, pages 1-19, April, DOI: 10.2202/1558-3708.1002.
• Cushman David O., 2002, "Nonlinear Trends and Co-trending in Canadian Money Demand," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 1, pages 1-29, April, DOI: 10.2202/1558-3708.1003.
• Diks Cees & Manzan Sebastiano, 2002, "Tests for Serial Independence and Linearity Based on Correlation Integrals," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 2, pages 1-22, July, DOI: 10.2202/1558-3708.1005.
• Psaradakis Zacharias & Spagnolo Nicola, 2002, "Power Properties of Nonlinearity Tests for Time Series with Markov Regimes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 3, pages 1-16, November, DOI: 10.2202/1558-3708.1091.
• Morana Claudio, 2002, "Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 3, pages 1-40, November, DOI: 10.2202/1558-3708.1092.
• Belaire-Franch Jorge & Contreras Dulce, 2003, "An Assessment of International Business Cycle Asymmetries using Clements and Krolzig's Parametric Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 6, issue 4, pages 1-11, March, DOI: 10.2202/1558-3708.1089.
• Dahl Christian M. & Gonzalez-Rivera Gloria, 2003, "Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 1, pages 1-35, April, DOI: 10.2202/1558-3708.1123.
• Kapetanios George, 2003, "Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 2, pages 1-16, July, DOI: 10.2202/1558-3708.1099.
• Snyder Ralph D & Forbes Catherine S, 2003, "Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 2, pages 1-20, July, DOI: 10.2202/1558-3708.1087.
• Golan Amos, 2003, "An Information Theoretic Approach for Estimating Nonlinear Dynamic Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 7, issue 4, pages 1-26, December, DOI: 10.2202/1558-3708.1174.
• Carter Richard A. L. & Zellner Arnold, 2004, "The ARAR Error Model for Univariate Time Series and Distributed Lag," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 1, pages 1-44, March, DOI: 10.2202/1558-3708.1132.
• Chortareas Georgios E & Kapetanios George & Uctum Merih, 2004, "An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 1, pages 1-19, March, DOI: 10.2202/1558-3708.1200.
• Wolff Rodney & Yao Qiwei & Tong Howell, 2004, "Statistical Tests for Lyapunov Exponents of Deterministic Systems," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-19, May, DOI: 10.2202/1558-3708.1214.
• Giannerini Simone & Rosa Rodolfo, 2004, "Assessing Chaos in Time Series: Statistical Aspects and Perspectives," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-25, May, DOI: 10.2202/1558-3708.1215.
• Fonseca Giovanni, 2004, "On the Stationarity of First-order Nonlinear Time Series Models: Some Developments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-9, May, DOI: 10.2202/1558-3708.1216.
• Ucinski Dariusz & Atkinson Anthony C., 2004, "Experimental Design for Time-Dependent Models with Correlated Observations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-16, May, DOI: 10.2202/1558-3708.1217.
• Doornik Jurgen A & Ooms Marius, 2004, "Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-25, May, DOI: 10.2202/1558-3708.1218.
• Cleveland William P., 2004, "Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-19, May, DOI: 10.2202/1558-3708.1206.
• Proietti Tommaso, 2004, "Seasonal Specific Structural Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-22, May, DOI: 10.2202/1558-3708.1205.
• Dagum Estela Bee & Luati Alessandra, 2004, "Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-18, May, DOI: 10.2202/1558-3708.1204.
• Riani Marco, 2004, "Extensions of the Forward Search to Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-25, May, DOI: 10.2202/1558-3708.1208.
• Grossi Luigi, 2004, "Analyzing Financial Time Series through Robust Estimators," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-15, May, DOI: 10.2202/1558-3708.1224.
• Laurini Fabrizio, 2004, "Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-23, May, DOI: 10.2202/1558-3708.1225.
• Lee Kai Ming & Koopman Siem Jan, 2004, "Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-17, May, DOI: 10.2202/1558-3708.1210.
• Cappuccio Nunzio & Lubian Diego & Raggi Davide, 2004, "MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-31, May, DOI: 10.2202/1558-3708.1211.
• Palmitesta Paola & Provasi Corrado, 2004, "GARCH-type Models with Generalized Secant Hyperbolic Innovations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-19, May, DOI: 10.2202/1558-3708.1212.
• De Luca Giovanni & Gallo Giampiero M., 2004, "Mixture Processes for Financial Intradaily Durations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-20, May, DOI: 10.2202/1558-3708.1223.
• Vidoni Paolo, 2004, "Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 2, pages 1-20, May, DOI: 10.2202/1558-3708.1213.
• Kuan Chung-Ming & Lee Wei-Ming, 2004, "A New Test of the Martingale Difference Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 4, pages 1-26, December, DOI: 10.2202/1558-3708.1191.
• Robles-Fernandez M. Dolores & Nieto Luisa & Fernandez M. Angeles, 2004, "Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 4, pages 1-28, December, DOI: 10.2202/1558-3708.1106.
• Brannas Kurt & Nordstrom Jonas, 2004, "An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 8, issue 4, pages 1-11, December, DOI: 10.2202/1558-3708.1189.
• Hristova Daniela, 2005, "Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 1, pages 1-15, March, DOI: 10.2202/1558-3708.1199.
• Baghli Mustapha, 2005, "Nonlinear Error-Correction Models for the FF/DM Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 1, pages 1-43, March, DOI: 10.2202/1558-3708.1085.
• Park Joon Y. & Whang Yoon-Jae, 2005, "A Test of the Martingale Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-32, June, DOI: 10.2202/1558-3708.1163.
• Diks Cees & Panchenko Valentyn, 2005, "A Note on the Hiemstra-Jones Test for Granger Non-causality," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-9, June, DOI: 10.2202/1558-3708.1234.
• Goldman Elena & Tsurumi Hiroki, 2005, "Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-38, June, DOI: 10.2202/1558-3708.1166.
• Bessec Marie & Bouabdallah Othman, 2005, "What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-24, June, DOI: 10.2202/1558-3708.1171.
• Smallwood Aaron D, 2005, "Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 2, pages 1-30, June, DOI: 10.2202/1558-3708.1227.
• Berument Hakan & Akdi Yilmaz & Atakan Cemal, 2005, "An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 3, pages 1-14, September, DOI: 10.2202/1558-3708.1229.
• Maheu John, 2005, "Can GARCH Models Capture Long-Range Dependence?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-43, December, DOI: 10.2202/1558-3708.1269.
• Fernandez Viviana P, 2005, "The International CAPM and a Wavelet-Based Decomposition of Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-37, December, DOI: 10.2202/1558-3708.1328.
• Conrad Christian & Karanasos Menelaos, 2005, "Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-38, December, DOI: 10.2202/1558-3708.1147.
• Marcucci Juri, 2005, "Forecasting Stock Market Volatility with Regime-Switching GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 9, issue 4, pages 1-55, December, DOI: 10.2202/1558-3708.1145.
• Jiri Panos & Petr Polak, 2019, "How to Improve the Model Selection Procedure in a Stress-testing Framework," Working Papers, Czech National Bank, Research and Statistics Department, number 2019/9, Dec.
• Moussa Diaby & Hélène Ferrer & Fabrice Valognes, 2013, "A Social Choice Approach to Primary Resource Management: The rubber tree Case in Africa," Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS, number 201305, Jan.
• Piekkola, Hannu, None, "Knowledge and Innovation Subsidies as Engines for Growth. The Competitiveness of Finnish Regions," ETLA B, The Research Institute of the Finnish Economy, number 216.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, None, "Modeling conditional correlations for risk diversification in crude oil markets," Journal of Energy Markets, Journal of Energy Markets.
• Jean-Luc Prigent & Olivier Renault & Olivier Scaillet, None, "An empirical investigation into credit spread indices," Journal of Risk, Journal of Risk.
• Timotheos Angelidis & Stavros Degiannakis, None, "Backtesting VaR models:a two-stage procedure," Journal of Risk Model Validation, Journal of Risk Model Validation.