IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Smooth transition autoregressive models - A survey of recent developments"

by van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Maertens Odria, Luís Ricardo & Castillo, Paul & Rodriguez, Gabriel, 2012. "Does the exchange rate pass-through into prices change when inflation targeting is adopted? The Peruvian case study between 1994 and 2007," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1154-1166.
  2. Madsen, J. B. & Milas, C., 2003. "The price-dividend relationship in inflationary and deflationary regimes," Working Papers 03/05, Department of Economics, City University London.
  3. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
  4. Beckmann, Joscha & Belke, Ansgar & Dreger, Christian, 2014. "The relevance of international spillovers and asymmetric effects in the Taylor rule," Discussion Papers 359, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  5. Li, Ke & Lin, Boqiang, 2014. "The nonlinear impacts of industrial structure on China's energy intensity," Energy, Elsevier, vol. 69(C), pages 258-265.
  6. Maki, Daiki, 2015. "Wild bootstrap testing for cointegration in an ESTAR error correction model," Economic Modelling, Elsevier, vol. 47(C), pages 292-298.
  7. Bel, K. & Paap, R., 2013. "Modeling the impact of forecast-based regime switches on macroeconomic time series," Econometric Institute Research Papers EI 2013-25, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  8. Ahamada, Ibrahim & Coulibaly, Dramane, 2011. "How does financial development influence the impact of remittances on growth volatility?," Economic Modelling, Elsevier, vol. 28(6), pages 2748-2760.
  9. Po-Chin Wu & Shiao-Yen Liu & Sheng-Chieh Pan, 2014. "Nonlinear relationship between health care expenditure and its determinants: a panel smooth transition regression model," Empirica, Springer, vol. 41(4), pages 713-729, November.
  10. Samuel S. Jibao & Niek Schoeman & Ruthira Naraidoo, 2011. "Fiscal regime changes and the sustainability of fiscal imbalance in South Africa; a smooth transition error-correction approach," Working Papers 228, Economic Research Southern Africa.
  11. Novella Maugeri, 2014. "Some Pitfalls in Smooth Transition Models Estimation: A Monte Carlo Study," Computational Economics, Society for Computational Economics, vol. 44(3), pages 339-378, October.
  12. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  13. Rinke, Saskia, 2016. "The Influence of Additive Outliers on the Performance of Information Criteria to Detect Nonlinearity," Hannover Economic Papers (HEP) dp-575, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  14. Paul Soderlind & Angelo Ranaldo & Charlotte Christiansen, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," University of St. Gallen Department of Economics working paper series 2009 2009-06, Department of Economics, University of St. Gallen.
  15. D Peel & I A Venetis, 2005. "Smooth transition models and arbitrage consistency," Working Papers 566786, Lancaster University Management School, Economics Department.
  16. Michael McAleer & Marcelo C. Medeiros, 2009. "Forecasting Realized Volatility with Linear and Nonlinear Models," CIRJE F-Series CIRJE-F-686, CIRJE, Faculty of Economics, University of Tokyo.
  17. Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany.
  18. Giovanni Caggiano & Efrem Castelnuovo & Nicolas Groshenny, 2014. "Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions," Melbourne Institute Working Paper Series wp2014n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  19. Luca Agnello & Vitor Castro & Ricardo M. Sousa, 2011. "How Does Fiscal Policy React to Wealth Composition and Asset Prices?," GEMF Working Papers 2011-18, GEMF - Faculdade de Economia, Universidade de Coimbra.
  20. Deschamps, Philippe J., 2007. "Comparing smooth transition and Markov switching autoregressive models of US Unemployment," DQE Working Papers 7, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 04 Jun 2008.
  21. Julien Fouquau & Christophe Hurlin & Isabelle Rabaud, 2006. "The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach," Post-Print halshs-00222971, HAL.
  22. Davinson Stev Abril Salcedo & Luis Fernando Melo Velandia & Daniel Parra Amado, 2015. "Impactos de los fenómenos climáticos sobre el precio de los alimentos en Colombia," Borradores de Economia 902, Banco de la Republica de Colombia.
  23. Gilbert Colletaz & Christophe Hurlin, 2006. "Threshold Effects of the Public Capital Productivity : An International Panel Smooth Transition Approach," Working Papers halshs-00008056, HAL.
  24. Arghyrou, Michael G & Chortareas, Georgios, 2006. "Current Account Imbalances and Real Exchange Rates in the Euro Area," Cardiff Economics Working Papers E2006/23, Cardiff University, Cardiff Business School, Economics Section.
  25. McMillan, David G., 2009. "The confusing time-series behaviour of real exchange rates: Are asymmetries important?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 692-711, October.
  26. Antonia López-Villavicencio & Valérie Mignon, 2009. "On Equilibrium Exchange Rates: Is Emerging Asia Different?," Working Papers 2009-38, CEPII research center.
  27. Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," CREATES Research Papers 2008-30, Department of Economics and Business Economics, Aarhus University.
  28. Christopher Martin & Costas Milas, 2011. "Financial Crises and Monetary Policy: Evidence from the UK," Working Paper Series 14_11, The Rimini Centre for Economic Analysis.
  29. Barbara Annicchiarico & Anna Rita Bennato & Emilio Zanetti Chini, 2014. "150 Years of Italian CO2 Emissions and Economic Growth," CEIS Research Paper 320, Tor Vergata University, CEIS, revised 31 Jul 2014.
  30. Gabriella Legrenzi & Costas Milas, 2012. "Fiscal Policy Sustainability, Economic Cycle and Financial Crises: The Case of the GIPS," Working Paper Series 54_12, The Rimini Centre for Economic Analysis.
  31. Samira Haddou, 2010. "Non-linéarité de la fonction de réaction des autorités monétaires tunisiennes," Économie et Prévision, Programme National Persée, vol. 195(4), pages 99-110.
  32. repec:ebl:ecbull:v:6:y:2008:i:9:p:1-11 is not listed on IDEAS
  33. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2008. "3-Regime symmetric STAR modeling and exchange rate reversion," Working Papers 2009_05, Business School - Economics, University of Glasgow, revised Feb 2009.
  34. Michael Arghyrou, 2009. "Monetary policy before and after the euro: evidence from Greece," Empirical Economics, Springer, vol. 36(3), pages 621-643, June.
  35. Chang, Ya-Kai & Chen, Yu-Lun & Chou, Robin K. & Gau, Yin-Feng, 2013. "The effectiveness of position limits: Evidence from the foreign exchange futures markets," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4501-4509.
  36. D R Osborn & M Sensier, 2004. "Modelling UK Inflation: Persistence, Seasonality and Monetary Policy," Centre for Growth and Business Cycle Research Discussion Paper Series 46, Economics, The Univeristy of Manchester.
  37. Hernán Rincón-Castro & Norberto Rodríguez-Niño, 2016. "Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach," Borradores de Economia 930, Banco de la Republica de Colombia.
  38. Wang, Yu Shan, 2013. "Oil price effects on personal consumption expenditures," Energy Economics, Elsevier, vol. 36(C), pages 198-204.
  39. 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 123284, Agricultural and Applied Economics Association.
  40. Martha Alicia Misasarango & Enrique Antonio Lopezenciso & Carlos Arango & Juan Nicolashernandez, 2004. "No-Linealidades En La Demanada De Efectivo En Colombia: Las Redes Neuronales Como Herramienta De Pronostico," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 22(45), pages 10-57, June.
  41. Juselius, Mikael & Kim, Moshe & Ringbom, Staffan, 2009. "Do markup dynamics reflect fundamentals or changes in conduct?," Research Discussion Papers 12/2009, Bank of Finland.
  42. Rinke, Saskia & Sibbertsen, Philipp, 2015. "Information Criteria for Nonlinear Time Series Models," Hannover Economic Papers (HEP) dp-548, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  43. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 1210, University of Nevada, Las Vegas , Department of Economics.
  44. Pontines, Victor, 2015. "How useful is an Asian Currency Unit (ACU) index for surveillance in East Asia?," Economic Systems, Elsevier, vol. 39(2), pages 269-287.
  45. Javier Ordóñez & Hector Sala & José I. Silva, 2011. "Oil Price Shocks and Labor Market Fluctuations," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 89-118.
  46. Camarero, Mariam & Ordóñez, Javier, 2012. "Nonlinear adjustment in the real dollar–euro exchange rate: The role of the productivity differential as a fundamental," Economic Modelling, Elsevier, vol. 29(2), pages 444-449.
  47. Sigl-Grüb, C. & Schiereck, D., 2010. "Speculation and Nonlinear Price Dynamics in Commodity Futures Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 56603, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  48. Cathy Chen & Simon Lin & Philip Yu, 2012. "Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity," Computational Economics, Society for Computational Economics, vol. 40(1), pages 19-48, June.
  49. Nidhaleddine Ben Cheikh, 2012. "Nonlinear Mechanism of the Exchange Rate Pass-Through: Does Business Cycle Matter?," Working Papers halshs-00731502, HAL.
  50. Kim, Hyeongwoo & Moh, Young-Kyu, 2010. "A century of purchasing power parity confirmed: The role of nonlinearity," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1398-1405, November.
  51. Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics.
  52. Michael G. Arghyrou & Maria Dolores Gadea, 2008. "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Documentos de Trabajo dt2008-05, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
  53. Meitz, Mika & Saikkonen, Pentti, 2006. "Stability of nonlinear AR-GARCH models," SSE/EFI Working Paper Series in Economics and Finance 632, Stockholm School of Economics.
  54. González, Andrés & Teräsvirta, Timo & van Dijk, Dick, 2005. "Panel Smooth Transition Regression Models," SSE/EFI Working Paper Series in Economics and Finance 604, Stockholm School of Economics.
  55. Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, Elsevier.
  56. Joao Sousa Andrade & António Portugal Duarte & Adelaide Duarte, 2013. "Testing for Nonlinear Adjustment in the Portuguese Target Zone: Is there a Honeymoon Effect?," EcoMod2013 5305, EcoMod.
  57. Philippe Charlot & Vêlayoudom Marimoutou, 2008. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model," Working Papers halshs-00285866, HAL.
  58. Baharumshah, Ahmad Zubaidi & Liew, Venus Khim-Sen & Chowdhury, Ibrahim, 2010. "Asymmetry dynamics in real exchange rates: New results on East Asian currencies," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 648-661, October.
  59. Massacci, Daniele, 2012. "A simple test for linearity against exponential smooth transition models with endogenous variables," Economics Letters, Elsevier, vol. 117(3), pages 851-856.
  60. Jawadi Fredj & Mallick Sushanta K. & Sousa Ricardo M., 2014. "Fiscal policy in the BRICs," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(2), pages 15, April.
  61. repec:hal:journl:halshs-00659158 is not listed on IDEAS
  62. Jonathan B. Hill, 2004. "LM-Tests for Linearity Against Smooth Transition Alternatives: A Bootstrap Simulation Study," Econometrics 0401004, EconWPA, revised 05 Jul 2004.
  63. Po-Chin Wu & Sheng-Chieh Pan & Xue-Ling Tai, 2015. "Non-linearity, persistence and spillover effects in stock returns: the role of the volatility index," Empirica, Springer, vol. 42(3), pages 597-613, August.
  64. Petri Maki-Franti, 2008. "Money and stock returns: is there habit formation for holding liquid assets?," International Economic Journal, Taylor & Francis Journals, vol. 22(1), pages 63-80.
  65. Andreas Röthig & Carl Chiarella, 2006. "Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models," Research Paper Series 172, Quantitative Finance Research Centre, University of Technology, Sydney.
  66. Nidhaleddine Ben Cheikh & Christophe Rault, 2014. "The Role of the Business Cycle in Exchange Rate Pass-Through: The Case of Finland," William Davidson Institute Working Papers Series wp1078, William Davidson Institute at the University of Michigan.
  67. G. Dufrenot & L. Mathieu & V. Mignon, & A. Peguin-Feissolle, 2002. "Persistent misalignments of the European exchange rates : some evidence from nonlinear cointegration," THEMA Working Papers 2002-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  68. Fredj Jawadi, 2009. "Essay in dividend modelling and forecasting: does nonlinearity help?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1329-1343.
  69. Campa, Jose M. & Gonzalez, Jose M. & Sebastia, Maria, 2008. "Non-linear adjustment of import prices in the European Union," IESE Research Papers D/734, IESE Business School.
  70. 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 EI 2004-44, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  71. Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil).
  72. Ansgar Belke & Joscha Beckmann & Florian Verheyen, 2012. "Interest Rate Pass-through in the EMU: New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data," Discussion Papers of DIW Berlin 1223, DIW Berlin, German Institute for Economic Research.
  73. 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 1103, University of Nevada, Las Vegas , Department of Economics.
  74. Zhang, Lingxiang, 2012. "Test for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, vol. 115(1), pages 16-19.
  75. 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 06-105/4, Tinbergen Institute.
  76. Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries : How Important is the Harrod-Balassa-Samuelson Effect?," The Warwick Economics Research Paper Series (TWERPS) 768, University of Warwick, Department of Economics.
  77. 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.
  78. Munehisa Kasuya, 2003. "Regime-Switching Approach to Monetary Policy Effects: Empirical Studies using a Smooth Transition Vector Autoregressive Model," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
  79. Hernán Rincón-Castro & Norberto Rodríguez-Niño, 2016. "Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach," BORRADORES DE ECONOMIA 014299, BANCO DE LA REPÚBLICA.
  80. Joscha Beckmann, 2011. "Nonlinear Adjustment, Purchasing Power Parity and the Role of Nominal Exchange Rates and Prices," Ruhr Economic Papers 0272, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  81. Rodriguez, Nestor & Eales, James S., 2015. "Structural Change via Threshold Effects: Estimating U.S. Meat Demand Using Smooth Transition Functions and the Effects of More Women in the Labor Force," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 206522, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
  82. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, Elsevier.
  83. Leeves, Gareth, 2007. "Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 272-286.
  84. Victor Pontines & Reza Y. Siregar, 2010. "Exchange Rate Asymmetry and Flexible Exchange Rates under Inflation Targeting Regimes: Evidence from Four East and Southeast Asian Countries," Staff Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number sp77.
  85. Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2015. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," International Journal of Forecasting, Elsevier, vol. 31(3), pages 664-679.
  86. Craig, Lee A. & Holt, Matthew T., 2008. "Mechanical refrigeration, seasonality, and the hog-corn cycle in the United States: 1870-1940," Explorations in Economic History, Elsevier, vol. 45(1), pages 30-50, January.
  87. Anne-Laure Delatte & Julien Fouquau & Carsten Holz, 2014. "Explaining money demand in China during the transition from a centrally planned to a market-based monetary system," Post-Communist Economies, Taylor & Francis Journals, vol. 26(3), pages 376-400, September.
  88. José Cancelo & Estefanía Mourelle, 2005. "Modeling Cyclical Asymmetries in GDP: International Evidence," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(3), pages 297-309, September.
  89. Ben Cheikh, Nidhaleddine, 2013. "The Pass-Through of Exchange Rate in the Context of the European Sovereign Debt Crisis," MPRA Paper 47308, University Library of Munich, Germany.
  90. Menzie Chinn & Laurent Ferrara & Valérie Mignon, 2013. "Post-Recession US Employment through the Lens of a Non-Linear Okun's Law," Working Papers 2013-13, CEPII research center.
  91. repec:zbw:rwirep:0502 is not listed on IDEAS
  92. Estefanía Mourelle & José Cancelo, 2009. "Nonlinearities and the Business Cycle in Spanish Imports: A Smooth Transition Regression Approach," International Advances in Economic Research, International Atlantic Economic Society, vol. 15(2), pages 245-259, May.
  93. Taamouti, Abderrahim & Gonzalo, Jesús, 2011. "The reaction of stock market returns to anticipated unemployment," UC3M Working papers. Economics we1145, Universidad Carlos III de Madrid. Departamento de Economía.
  94. 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.
  95. Ito, Hiro, 2003. "Was Japan’s Real Interest Rate Really Too High During the 1990s? The Role of the Zero Interest Rate Bound and Other Factors," Santa Cruz Department of Economics, Working Paper Series qt48k5q6vd, Department of Economics, UC Santa Cruz.
  96. Lee, Chien-Chiang & Chiu, Yi-Bin, 2013. "Modeling OECD energy demand: An international panel smooth transition error-correction model," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 372-383.
  97. Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "A Volatility Targeting GARCH model with Time-Varying Coefficients," LSF Research Working Paper Series 09-08, Luxembourg School of Finance, University of Luxembourg.
  98. Mohamed El Hedi Arouri & F. Jawadi & Duc Khuong Nguyen, 2010. "Synchronization and nonlinear interdependence of short-term interest rates:," Working Papers hal-00507820, HAL.
  99. Austin, Darran & Ward, Bert & Dalziel, Paul, 2007. "The demand for money in China 1987-2004: A non-linear modelling approach," China Economic Review, Elsevier, vol. 18(2), pages 190-204.
  100. Dueker, Michael J. & Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2011. "Multivariate contemporaneous-threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 160(2), pages 311-325, February.
  101. Joscha Beckmann & Theo Berger & Robert Czudaj, 2014. "Does Gold Act as a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach," Ruhr Economic Papers 0502, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  102. David Ubilava, 2012. "El Niño, La Niña, and world coffee price dynamics," Agricultural Economics, International Association of Agricultural Economists, vol. 43(1), pages 17-26, 01.
  103. Cengiz, Sibel & Sahin, Afsin, 2013. "Modelling Nonlinear Behavior of Labor Force Participation Rate by STAR: An Application for Turkey," MPRA Paper 47805, University Library of Munich, Germany, revised 07 May 2013.
  104. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
  105. Di Caro, Paolo, 2014. "Regional recessions and recoveries in theory and practice: a resilience-based overview," MPRA Paper 60300, University Library of Munich, Germany.
  106. 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.
  107. Alfred A. Haug & Julie Tam, 2001. "A Closer Look at Long Run Money Demand," Working Papers 2002_09, York University, Department of Economics, revised Sep 2002.
  108. Hany Fahmy, 2014. "Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(4), pages 577-600, November.
  109. Patrick Saart & Jiti Gao & Nam Hyun Kim, 2014. "Semiparametric methods in nonlinear time series analysis: a selective review," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(1), pages 141-169, March.
  110. Kadilli, Anjeza, 2015. "Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis," Journal of Financial Stability, Elsevier, vol. 21(C), pages 26-45.
  111. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
  112. Don Bredin & Stuart Hyde, 2008. "Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies," European Financial Management, European Financial Management Association, vol. 14(2), pages 315-346.
  113. Olivier Damette & Mathilde Maurel & Michael A. Stemmer, 2016. "What does it take to grow out of recession? An error-correction approach towards growth convergence of European and transition countries," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01318131, HAL.
  114. Michael Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Department of Economics Working Papers 2006-04, Universidad Torcuato Di Tella.
  115. Raphael Espinoza & Hyginus Leon & Ananthakrishnan Prasad, 2012. "When Should We Worry about Inflation?," World Bank Economic Review, World Bank Group, vol. 26(1), pages 100-127.
  116. Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
  117. P Mejía-Reyes & D R Osborn & M Sensier, 2004. "Modelling Real Exchange Rate Effects on Output Performance in Latin America," Centre for Growth and Business Cycle Research Discussion Paper Series 35, Economics, The Univeristy of Manchester.
  118. Gabriella Deborah Legrenzi & Costas Milas, 2013. "Modelling the Fiscal Reaction Functions of the GIPS Based on State-Varying Thresholds," CESifo Working Paper Series 4385, CESifo Group Munich.
  119. Koo, Bonsoo & Seo, Myung Hwan, 2015. "Structural-break models under mis-specification: Implications for forecasting," Journal of Econometrics, Elsevier, vol. 188(1), pages 166-181.
  120. KIlIç, Rehim, 2011. "Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 368-378, March.
  121. Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004. "Nonlinear Modelling of Purchasing Power Parity in Indonesia," Econometric Society 2004 Australasian Meetings 316, Econometric Society.
  122. Phiri, Andrew & Nyoni, Botha, 2014. "The electricity-growth nexus in South Africa: Evidence from asymmetric co-integration and co-feature analysis," MPRA Paper 56145, University Library of Munich, Germany.
  123. Di Caro, Paolo, 2014. "Testing and explaining economic resilience with an application to Italian regions," MPRA Paper 60298, University Library of Munich, Germany.
  124. Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model," Annals of Economics and Statistics, GENES, issue 99-100, pages 395-427.
  125. Michael Funke & Marc Gronwald, 2008. "The undisclosed Renminbi Basket: are the markets telling us something about where the Renminbi - US Dollar Exchange Rate is going?," Quantitative Macroeconomics Working Papers 20812b, Hamburg University, Department of Economics.
  126. José Cancelo & Estefanía Mourelle, 2005. "Modeling Cyclical Asymmetries in European Imports," International Advances in Economic Research, International Atlantic Economic Society, vol. 11(2), pages 135-147, May.
  127. 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, vol. 13(3), pages 67-94, December.
  128. Denise R. Osborn & Marianne Sensier, 2009. "Uk Inflation: Persistence, Seasonality And Monetary Policy," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 24-44, 02.
  129. David Ubilava, 2012. "Modeling Nonlinearities in the U.S. Soybean‐to‐Corn Price Ratio: A Smooth Transition Autoregression Approach," Agribusiness, John Wiley & Sons, Ltd., vol. 28(1), pages 29-41, 01.
  130. 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.
  131. I A Venetis & I Paya & D Peel, 2009. "ESTAR model with multiple fixed points. Testing and Estimation," Working Papers 599093, Lancaster University Management School, Economics Department.
  132. Florackis, Chris & Giorgioni, Gianluigi & Kostakis, Alexandros & Milas, Costas, 2014. "On stock market illiquidity and real-time GDP growth," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 210-229.
  133. Rob Luginbuhl & Siem Jan Koopman, 2003. "Convergence in European GDP Series," Tinbergen Institute Discussion Papers 03-031/4, Tinbergen Institute.
  134. Gilles DUFRENOT & Elisabeth GRIMAUD & Eug=E9nie LATIL & Val=E9rie MIGNON, 2003. "Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model," Econometrics 0309001, EconWPA.
  135. Ansgar Belke & Joscha Beckmann & Florian Verheyen, 2012. "Interest Rate Pass-Through in the EMU – New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data," Ruhr Economic Papers 0350, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  136. Michael Arghyrou & Christopher Martin & Costas Milas, 2003. "Non-linear Inflationary Dynamics: Evidence from the UK," Public Policy Discussion Papers 03-03, Economics and Finance Section, School of Social Sciences, Brunel University.
  137. Leroi RAPUTSOANE, 2015. "The lean versus clean debate and monetary policy in South Africa," Journal of Economics and Political Economy, KSP Journals, vol. 2(4), pages 467-480, December.
  138. Jawadi, Fredj & Sousa, Ricardo M., 2013. "Money demand in the euro area, the US and the UK: Assessing the role of nonlinearity," Economic Modelling, Elsevier, vol. 32(C), pages 507-515.
  139. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
  140. Cinzia Alcidi , Alessandro Flamini, Andrea Fracasso, 2005. ""Taylored rules". Does one fit (or hide) all?," IHEID Working Papers 04-2005, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
  141. Leroi Raputsoane and Ruthira Naraidoo, 2014. "Debt sustainability and financial crises in South Africa," Working Papers 403, Economic Research Southern Africa.
  142. 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.
  143. Alberto Musso & Livio Stracca & Dick van Dijk, 2009. "Instability and Nonlinearity in the Euro-Area Phillips Curve," International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 181-212, June.
  144. Goodwin, Barry K. & Holt, Matthew T. & Prestemon, Jeffery P., 2008. "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," MPRA Paper 9684, University Library of Munich, Germany.
  145. Nachatchapong Kaewsompong & Songsak Sriboonchitta & Prasert Chaitip & Pathairat Pastpipatkul, 2012. "Econometric modeling of the relationship among macroeconomic variables of Thailand: Smooth transition autoregressive regression model," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 1(4), pages 21-38, December.
  146. 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 267, Econometric Society.
  147. Bertram, Philip & Ma, Jun & Sibbertsen, Philipp, 2015. "Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model," Hannover Economic Papers (HEP) dp-565, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  148. Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros, 2004. "Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination," Textos para discussão 485, Department of Economics PUC-Rio (Brazil).
  149. 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, vol. 37(3), pages 264-274.
  150. Kani, Alireza H. & Abbasspour, Madjid & Abedi, Zahra, 2014. "Estimation of demand function for natural gas in Iran: Evidences based on smooth transition regression models," Economic Modelling, Elsevier, vol. 36(C), pages 341-347.
  151. Addo, Peter Martey & Billio, Monica & Guégan, Dominique, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 4-19.
  152. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers 15-27, Eastern Mediterranean University, Department of Economics.
  153. 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, vol. 28(6), pages 867-885, November.
  154. Lekkos, Ilias & Milas, Costas, 2004. "Time-varying excess returns on UK government bonds: A non-linear approach," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 45-62, January.
  155. Michael J. Dueker & Michael T. Owyang & Martin Sola, 2010. "A time-varying threshold STAR model of unemployment and the natural rate," Working Papers 2010-029, Federal Reserve Bank of St. Louis.
  156. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, Department of Economics and Business Economics, Aarhus University.
  157. Chen, Shyh-Wei & Xie, Zixiong, 2015. "Testing for current account sustainability under assumptions of smooth break and nonlinearity," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 142-156.
  158. Arghyrou, Michael G. & Luintel, Kul B., 2007. "Government solvency: Revisiting some EMU countries," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 387-410, June.
  159. Chabot-Hallé, Dominique & Duchesne, Pierre, 2008. "Diagnostic checking of multivariate nonlinear time series models with martingale difference errors," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 997-1005, June.
  160. Lee, Cheng-Feng, 2010. "Testing for unemployment hysteresis in nonlinear heterogeneous panels: International evidence," Economic Modelling, Elsevier, vol. 27(5), pages 1097-1102, September.
  161. 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.
  162. repec:hal:journl:halshs-00185372 is not listed on IDEAS
  163. Serra, Teresa & Zilberman, David & Gil, Jose Maria & Goodwin, Barry K., 2008. "Nonlinearities in the US corn-ethanol-oil price system," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6512, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  164. Julien Fouquau & Anne-Laure Delatte, 2010. "Smooth transition in China: New evidence in the cointegrating money demand relationship," Post-Print hal-00565520, HAL.
  165. Murat Midilic, 2016. "Estimation Of Star-Garch Models With Iteratively Weighted Least Squares," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/918, Ghent University, Faculty of Economics and Business Administration.
  166. Yosra Baaziz & Moez Labidi, 2016. "Nonlinear Monetary Policy Rules: An Essay in the Comparative Study on Egyptian and Tunisian Central Banks," Economies, MDPI, Open Access Journal, vol. 4(2), pages 6, April.
  167. 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, vol. 56(1), pages 173-189, January.
  168. Gabreyohannes, Emmanuel, 2010. "A nonlinear approach to modelling the residential electricity consumption in Ethiopia," Energy Economics, Elsevier, vol. 32(3), pages 515-523, May.
  169. Artis, Michael J & Galvão, Ana Beatriz C & Marcellino, Massimiliano, 2003. "The Transmission Mechanism in a Changing World," CEPR Discussion Papers 4014, C.E.P.R. Discussion Papers.
  170. Ben Cheikh, Nidhaleddine, 2012. "Asymmetric exchange rate pass-through in the Euro area: New evidence from smooth transition models," Economics Discussion Papers 2012-36, Kiel Institute for the World Economy (IfW).
  171. Ahmad, Saad, 2016. "A multiple threshold analysis of the Fed's balancing act during the Great Moderation," Economic Modelling, Elsevier, vol. 55(C), pages 343-358.
  172. Ram Sharan Kharel & Christopher Martin & Costas Milas, 2007. "The Complex Response of Monetary Policy to the Exchange Rate," Working Paper Series 37_07, The Rimini Centre for Economic Analysis.
  173. Béreau, Sophie & Villavicencio, Antonia López & Mignon, Valérie, 2010. "Nonlinear adjustment of the real exchange rate towards its equilibrium value: A panel smooth transition error correction modelling," Economic Modelling, Elsevier, vol. 27(1), pages 404-416, January.
  174. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Trends and volatilities in foreign patents registered in the USA," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 585-592.
  175. Francesco Audrino & Marcelo C. Medeiros, 2008. "Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process," University of St. Gallen Department of Economics working paper series 2008 2008-16, Department of Economics, University of St. Gallen.
  176. 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.
  177. Joon Y. Park & Mototsugu Shintani, 2006. "Testing for a Unit Root against Transitional Autoregressive Models," Levine's Bibliography 321307000000000316, UCLA Department of Economics.
  178. 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 11083r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2013.
  179. Chen, XiaoHua & Maringer, Dietmar, 2011. "Detecting time-variation in corporate bond index returns: A smooth transition regression model," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 95-103, January.
  180. Lee, Chien-Chiang & Chiu, Yi-Bin, 2011. "Electricity demand elasticities and temperature: Evidence from panel smooth transition regression with instrumental variable approach," Energy Economics, Elsevier, vol. 33(5), pages 896-902, September.
  181. Mototsugu Shintani & Akiko Terada-Hagiwara & Tomoyoshi Yabu, 2009. "Exchange Rate Pass-Through and Inflation: A Nonlinear Time Series Analysis," Vanderbilt University Department of Economics Working Papers 0920, Vanderbilt University Department of Economics.
  182. Delatte, Anne-Laure & Fouquau, Julien & Holz, Carsten, 2013. "Understanding Money Demand in the Transition from a Centrally Planned to a Market Economy," CEPR Discussion Papers 9721, C.E.P.R. Discussion Papers.
  183. Jonathan B. Hill, 2004. "Consistent LM-Tests for Linearity Against Compound Smooth Transition Alternatives," Econometric Society 2004 North American Summer Meetings 42, Econometric Society.
  184. 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.
  185. Boonsoo Koo & Myung Hwan Seo, 2013. "Structural-break models under mis-specification: implications for forecasting," Monash Econometrics and Business Statistics Working Papers 11/13, Monash University, Department of Econometrics and Business Statistics.
  186. 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, vol. 36(C), pages 175-187.
  187. 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 124366, Agricultural and Applied Economics Association.
  188. Laurent Ferrara & Dominique Guegan, 2006. "Real-time detection of the business cycle using SETAR models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185372, HAL.
  189. Tsai-Yuan Huang & Po-Chin Wu & Ching-Wen Yan, 2014. "Revisiting the redistribution effects of intergovernmental fiscal transfers: evidence from Taiwan," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 17(4), pages 341-359, December.
  190. Tong, Howell, 2015. "Threshold models in time series analysis—Some reflections," Journal of Econometrics, Elsevier, vol. 189(2), pages 485-491.
  191. 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] 200807151356590, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  192. , 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers 2015-630, Department of Research, Ipag Business School.
  193. George Kapetanios & Yongcheol Shin & Andy Snell, 2003. "Testing for Cointegration in Nonlinear STAR Error Correction Models," Working Papers 497, Queen Mary University of London, School of Economics and Finance.
  194. Deschamps, Philippe J., 2004. "A flexible prior distribution for Markov switching autoregressions with Student-t errors," DQE Working Papers 2, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 12 Nov 2011.
  195. Baillie, Richard T. & Chang, Sanders S., 2011. "Carry trades, momentum trading and the forward premium anomaly," Journal of Financial Markets, Elsevier, vol. 14(3), pages 441-464, August.
  196. Beckmann, Joscha, 2013. "Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 176-190.
  197. Luis Eduardo Arango & Andrés González & Carlos Esteban Posada, . "Returns and Interest Rate: A Nonlinear Relationship in the Bogotá Stock Market," Borradores de Economia 169, Banco de la Republica de Colombia.
  198. repec:bdr:ensayo:v::y:2004:i:45:p:10-57 is not listed on IDEAS
  199. Nektarios Aslanidis & Luke Hartigan, 2016. "Is the Assumption of Linearity in Factor Models too Strong in Practice?," Discussion Papers 2016-03, School of Economics, The University of New South Wales.
  200. Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2011. "Modeling structural changes in the volatility process," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 522-532, June.
  201. Ubilava, David, 2014. "International Wheat Price Responses to ENSO Shocks: Modelling Transmissions Using Smooth Transitions," Working Papers 2014-06, University of Sydney, School of Economics.
  202. 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 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.
  203. 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 570, Department of Economics PUC-Rio (Brazil).
  204. Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
  205. Wu, Po-Chin & Liu, Shiao-Yen & Chen, Che-Ying, 2016. "Re-examining risk premiums in the Fama–French model: The role of investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 154-171.
  206. Jawadi, Fredj & Leoni, Patrick, 2009. "Threshold cointegration relationships between oil and stock markets," Discussion Papers of Business and Economics 3/2009, Department of Business and Economics, University of Southern Denmark.
  207. Zhang, Lingxiang, 2013. "Revisiting the empirics of inflation in China: A smooth transition error correction approach," Economics Letters, Elsevier, vol. 119(1), pages 68-71.
  208. Campa, Jose Manuel & Gonzalez Minguez, Jose M & Sebastia Barriel, Maria, 2008. "Non-linear adjustment of import prices in the European Union," Bank of England working papers 347, Bank of England.
  209. 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 24-05 Classification-JEL , Instituto de Estudios Fiscales.
  210. repec:kap:iaecre:v:13:y:2007:i:3:p:334-346 is not listed on IDEAS
  211. Po-Chin Wu & Shiao-Yen Liu & Sheng-Chieh Pan, 2014. "Does Misery Index Matter for the Persistence of Health Spending? Evidence from OECD Countries," Social Indicators Research- An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 118(2), pages 893-910, September.
  212. Burcu Kıran, 2012. "Nonlinearity and Fractional Integration in the US Dollar/Euro Exchange Rate," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(3), pages 325-334, June.
  213. 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.
  214. Hahn, William F & Stewart, Hayden & Blayney, Donald P & Davis, Christopher G., 2015. "Modeling Price Transmission between Farm and Retail Prices: A Soft Switches Approach," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 204951, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
  215. Álvaro Aguirre R. & César A. Calderón, 2013. "Asimetrías en el Ajuste del Desalineamiento Cambiario en Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 16(3), pages 90-101, December.
  216. repec:rim:rimwps:25-07 is not listed on IDEAS
  217. 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, vol. 27(C), pages 318-329.
  218. Vítor, Castro, 2011. "Can central banks' monetary policy be described by a linear (augmented) Taylor rule or by a nonlinear rule?," Journal of Financial Stability, Elsevier, vol. 7(4), pages 228-246, December.
  219. repec:kap:iaecre:v:11:y:2005:i:2:p:135-147 is not listed on IDEAS
  220. Miguel Carvalho & Paulo Júlio, 2012. "Digging out the PPP hypothesis: an integrated empirical coverage," Empirical Economics, Springer, vol. 42(3), pages 713-744, June.
  221. Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014. "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, vol. 113(3), pages 427-454.
  222. Nan Cai & Zongwu Cai & Ying Fang & Qiuhua Xu, 2015. "Forecasting major Asian exchange rates using a new semiparametric STAR model," Empirical Economics, Springer, vol. 48(1), pages 407-426, February.
  223. Anjeza Kadilli, 2014. "Return Predictability in International Financial Markets and the Role of Investor Sentiment," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 14083, Institut d'Economie et Econométrie, Université de Genève.
  224. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Regime-dependent adjustment in energy spot and futures markets," Economic Modelling, Elsevier, vol. 40(C), pages 400-409.
  225. Zhang, Lingxiang, 2013. "Modeling China's inflation dynamics: An MRSTAR approach," Economic Modelling, Elsevier, vol. 31(C), pages 440-446.
  226. Alfred A. Haug & Pierre L. Siklos, 2002. "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers 2002_08, York University, Department of Economics, revised Jul 2004.
  227. Giordani, Paolo & Kohn, Robert & van Dijk, Dick, 2007. "A unified approach to nonlinearity, structural change, and outliers," Journal of Econometrics, Elsevier, vol. 137(1), pages 112-133, March.
  228. Arouri, Mohamed & Hammoudeh, Shawkat & Jawadi, Fredj & Nguyen, Duc Khuong, 2014. "Financial linkages between US sector credit default swaps markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 223-243.
  229. repec:ipg:wpaper:2014-553 is not listed on IDEAS
  230. Huang, Alex YiHou & Hu, Wen-Cheng, 2012. "Regime switching dynamics in credit default swaps: Evidence from smooth transition autoregressive model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1497-1508.
  231. Galvão, Ana B. & Owyang, Michael T., 2014. "Financial stress regimes and the macroeconomy," Working Papers 2014-20, Federal Reserve Bank of St. Louis.
  232. M. J. Herrerias & Javier Ordoñez, 2011. "If the Unites States sneezes, does the world need paracetamol?," Working Papers 2011/03, Economics Department, Universitat Jaume I, Castellón (Spain).
  233. Ubilava, David, 2014. "The ENSO Effect on World Wheat Market Dynamics: Smooth Transitions in Asymmetric Price Transmission," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170223, Agricultural and Applied Economics Association.
  234. Chorng-Huey Wong & Eric V. Clifton & Gene L. Leon, 2001. "Inflation Targeting and the Unemployment-Inflation Trade-off," IMF Working Papers 01/166, International Monetary Fund.
  235. 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 21405, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  236. Konstantin A., Kholodilin, 2003. "Identifying and Forecasting the Turns of the Japanese Business Cycle," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003008, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  237. Fredj Jawadi & Sushanta K. Mallick & Ricardo M. Sousa, 2011. "Monetary Policy Rules in the BRICS: How Important is Nonlinearity?," NIPE Working Papers 18/2011, NIPE - Universidade do Minho.
  238. Mehmet Fatih Öztek & Nadir Öcal, 2016. "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, vol. 50(2), pages 317-360, March.
  239. Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
  240. Sofiane Amri, 2008. "Analysing the forward premium anomaly using a Logistic Smooth Transition Regression model," Economics Bulletin, AccessEcon, vol. 6(26), pages 1-18.
  241. JAWADI Fredj, 2008. "Does nonlinear econometrics confirm the macroeconomic models of consumption?," Economics Bulletin, AccessEcon, vol. 5(17), pages 1-11.
  242. Giorgio Busetti & Matteo Manera, 2003. "STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US," Working Papers 2003.43, Fondazione Eni Enrico Mattei.
  243. Lennard van Gelder & Ad Stokman, 2006. "Regime transplants in GDP growth forecasting: A recipe for better predictions?," DNB Working Papers 106, Netherlands Central Bank, Research Department.
  244. Manzan, S., 2003. "Nonlinear Mean Reversion in Stock Prices," CeNDEF Working Papers 03-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  245. Jonathan B. Hill, 2004. "Consistent Model Specification Tests Against Smooth Transition Alternatives," Econometrics 0402004, EconWPA, revised 01 Mar 2004.
  246. Jawadi, Fredj & Khanniche, Sabrina, 2012. "Modeling hedge fund exposure to risk factors," Economic Modelling, Elsevier, vol. 29(4), pages 1003-1018.
  247. Chan, Felix & Theoharakis, Billy, 2011. "Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1385-1396.
  248. Hogrefe, Jan & Sachs, Andreas, 2014. "Unemployment and labor reallocation in Europe," ZEW Discussion Papers 14-083, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  249. Beckmann, Joscha & Berger, Theo & Czudaj, Robert, 2014. "Does Gold Act as a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach," Ruhr Economic Papers 502, Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  250. Michael Ellington & Costas Milas, 2014. "Global liquidity, money growth and UK inflation," Working Paper Series 21_14, The Rimini Centre for Economic Analysis.
  251. Munehisa Kasuya, 2005. "Regime-switching approach to monetary policy effects," Applied Economics, Taylor & Francis Journals, vol. 37(3), pages 307-326.
  252. 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 auwp2012-02, Department of Economics, Auburn University.
  253. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
  254. repec:emu:wpaper:dp15-01.pdf is not listed on IDEAS
  255. McAleer, Michael & Medeiros, Marcelo C. & Slottje, Daniel, 2008. "A neural network demand system with heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 147(2), pages 359-371, December.
  256. 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, vol. 20(8), pages 669-680.
  257. Line Elvstrøm Ekner & Emil Nejstgaard, 2013. "Parameter Identification in the Logistic STAR Model," Discussion Papers 13-07, University of Copenhagen. Department of Economics.
  258. Hyunsok Kim & Ronald MacDonald, 2010. "Equilibrium exchange rate determination and multiple structural changes," Working Papers 2010_14, Business School - Economics, University of Glasgow.
  259. Venus Khim-Sen Liew & Terence Tai-Leung Chong & Kian-Ping Lim, 2003. "The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies," Applied Economics, Taylor & Francis Journals, vol. 35(12), pages 1387-1392.
  260. repec:wyi:journl:002118 is not listed on IDEAS
  261. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  262. Chavas, Jean-Paul & Li, Jian, 2016. "On the Economics of Commodity Price Dynamics and Price Volatility," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 235070, Agricultural and Applied Economics Association.
  263. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining Movements in UK Stock Prices: How Important is the US Market?," The School of Economics Discussion Paper Series 0305, Economics, The University of Manchester.
  264. repec:gam:jecomi:v:4:y:2016:i:2:p:6:d:67984 is not listed on IDEAS
  265. 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, vol. 49(3), pages 1001-1008, August.
  266. Yosra Baaziz, 2015. "Estimating Interest Rate Setting Behavior in Brazil: A LSTR Model Approach," Economies, MDPI, Open Access Journal, vol. 3(2), pages 55, April.
  267. Lumengo BONGA-BONGA, . "Modeling Stock Returns in the South African Stock Exchange: a Nonlinear Approach," EcoMod2010 259600034, EcoMod.
  268. repec:zbw:rwirep:0350 is not listed on IDEAS
  269. Fredj Jawadi & Georges Prat, 2011. "Arbitrage Costs and Nonlinear Adjustment in the G7 Stock Markets," Post-Print hal-00677631, HAL.
  270. Frauke Schleer, 2015. "Finding Starting-Values for the Estimation of Vector STAR Models," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 65, January.
  271. 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] 10, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  272. Rodriguez, Gabriel & Sloboda, Michael J., 2005. "Modeling nonlinearities and asymmetries in quarterly revenues of the US telecommunications industry," Structural Change and Economic Dynamics, Elsevier, vol. 16(1), pages 137-158, March.
  273. 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, vol. 29(3), pages 884-892.
  274. repec:zbw:rwirep:0272 is not listed on IDEAS
  275. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2014. "What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 418-440.
  276. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
  277. Hong, Yongmiao & Lin, Hai & Wang, Shouyang, 2010. "Modeling the dynamics of Chinese spot interest rates," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1047-1061, May.
  278. repec:rim:rimwps:37-07 is not listed on IDEAS
  279. Cheng, Che-Hui & Wu, Po-Chin, 2013. "Nonlinear earnings persistence," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 156-168.
  280. Tsong, Ching-Chuan, 2011. "Testing for a unit root with covariates against nonlinear alternatives," Economic Modelling, Elsevier, vol. 28(3), pages 1226-1234, May.
  281. Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, vol. 27(2), pages 605-612, March.
  282. Costas Milas, 2007. "Does high M4 money growth trigger large increases in UK inflation? Evidence from a regime-switching model," Working Paper Series 25_07, The Rimini Centre for Economic Analysis.
  283. Siliverstovs, B. & van Dijk, D.J.C., 2003. "Forecasting industrial production with linear, nonlinear, and structural change models," Econometric Institute Research Papers EI 2003-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  284. Eduardo Mendes & Alvaro Veiga & MArcelo Cunha Medeiros, 2007. "Estimation And Asymptotic Theory For A New Class Of Mixture Models," Textos para discussão 538, Department of Economics PUC-Rio (Brazil).
  285. Efthymios Pavlidis & Ivan Paya & David Peel, 2010. "Further empirical evidence on the consumption-real exchange rate anomaly," Working Papers 447022, Lancaster University Management School, Economics Department.
  286. Yue-Jun Zhang & Ting Yao & Zi-Yi Wang, 2015. "The bubble process of international crude oil futures prices: empirical evidence from the STAR model," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 38(1/2/3), pages 109-125.
  287. d'Agostino, Giorgio & Daddi, Pierluigi & Pieroni, Luca & Steinbrueck, Eric, 2014. "Does military spending stimulate growth? An empirical investigation in Italy," MPRA Paper 58290, University Library of Munich, Germany.
  288. 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.
  289. Jawadi Fredj & Koubaa Yousra, 2004. "Threshold Cointegration between Stock Returns : An application of STECM Models," Econometrics 0412001, EconWPA.
  290. Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
  291. 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.
  292. José Cancelo, 2007. "Cyclical Asymmetries in Unemployment Rates: International Evidence," International Advances in Economic Research, International Atlantic Economic Society, vol. 13(3), pages 334-346, August.
  293. CHEN, Cathy W.S. & WENG, Monica M.C. & WATANABE, Toshiaki, 2015. "Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management," Discussion paper series HIAS-E-16, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  294. 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.
  295. Herrerias, M.J. & Ordóñez, J., 2014. "If the United States sneezes, does the world need “pain-killers”?," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 159-170.
  296. Nedeljkovic, Milan, 2008. "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," The Warwick Economics Research Paper Series (TWERPS) 876, University of Warwick, Department of Economics.
  297. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2013. "On the short- and long-run efficiency of energy and precious metal markets," Energy Economics, Elsevier, vol. 40(C), pages 832-844.
  298. Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers 2007-007, Banco Central de Reserva del Perú.
  299. Siem Jan Koopman & Joao Valle e Azevedo, 2003. "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers 03-052/4, Tinbergen Institute.
  300. 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.
  301. Medeiros, Marcelo C. & McAleer, Michael & Slottje, Daniel & Ramos, Vicente & Rey-Maquieira, Javier, 2008. "An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals," Journal of Econometrics, Elsevier, vol. 147(2), pages 372-383, December.
  302. G. Dufrenot & E. Grimaud & E. Latil & V. Mignon, 2003. "Real exchange rate misalignment in Hungary: a fractionally integrated threshold model," THEMA Working Papers 2003-07, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.