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2025, Volume 29, Issue 3
- 265-300 Multivariate Stochastic Volatility with Co-Heteroscedasticity
by Chan Joshua & Doucet Arnaud & León-González Roberto & Strachan Rodney W. - 301-316 Extreme Return Spillover Between the WTI, the VIX, and Six Latin American Stock Markets: A Quantile Connectedness Approach
by Kruel Maximiliano & Ceretta Paulo Sergio - 317-322 A Regression-based Method for Estimating Generalised Entropy and Atkinson Inequality Indices and their Standard Errors
by Shankar Sriram - 323-348 Homogeneity Pursuit in the Functional-Coefficient Quantile Regression Model for Panel Data with Censored Data
by Li Lu & Xia Yue & Ren Shuyi & Yang Xiaorong - 349-366 Asymptotic Efficiency of Joint Estimator Relative to Two-Stage Estimator Under Misspecified Likelihoods
by Kim Doosoo - 367-404 Chinese Crude Oil Futures and Sectoral Stocks: Copula-Based Dependence Structure and Connectedness
by Imran Zulfiqar A. & Ahad Muhammad & Ahmad Mobeen & Hameed Imran
2025, Volume 29, Issue 2
- 129-145 Multiscale SUR Estimation of Systematic Risk
by Michis Antonis A. - 147-175 A Simulation and Empirical Study of the Maximum Likelihood Estimator for Stochastic Volatility Jump-Diffusion Models
by Bégin Jean-François & Boudreault Mathieu - 177-212 Core Inflation Rate for China and the ASEAN-10 Countries: Smoothed Signal for Score-Driven Local Level Plus Scale Models
by Blazsek Szabolcs & Licht Adrian & Ayala Astrid & Liu Su-Ping - 213-233 Diversified Reward-Risk Parity in Portfolio Construction
by Choi Jaehyung & Kim Hyangju & Kim Young Shin - 235-246 Time-Varying Parameter Four-Equation DSGE Model
by Gupta Rangan & Sun Xiaojin - 247-264 Does State Dependence Matter in Relation to Oil Price Shocks on Global Economic Conditions?
by Dufrénot Gilles & Ginn William & Pourroy Marc & Sullivan Adam
2025, Volume 29, Issue 1
- 1-18 Power of Unit Root Tests Against Nonlinear and Noncausal Alternatives with an Application to the Brent Crude Oil Price
by Bec Frédérique & Guay Alain & Nielsen Heino Bohn & Saïdi Sarra - 19-38 Financial Condition Indices in an Incomplete Data Environment
by Herculano Miguel C. & Jacob Punnoose - 39-52 Investigating the Impact of Consumption Distribution on CRRA Estimation: Quantile-CCAPM-Based Approach
by Ramos Sofia B. & Taamouti Abderrahim & Veiga Helena - 53-69 Controlling Chaotic Fluctuations through Monetary Policy
by Asano Takao & Shibata Akihisa & Yokoo Masanori - 71-93 Information Content of Inflation Expectations: A Copula-Based Model
by Ardakani Omid M. - 95-128 Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter
by Blazsek Szabolcs & Jörding August & Rai Simran
2024, Volume 28, Issue 5
- 673-702 Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros
by Blasques Francisco & Holý Vladimír & Tomanová Petra - 703-724 Investor Sentiment Mining Based on Bi-LSTM Model and its Impact on Stock Price Bubbles
by Yin Haiyuan & Yang Qingsong - 725-738 Should You Use GARCH Models for Forecasting Volatility? A Comparison to GRU Neural Networks
by Pallotta Alberto & Ciciretti Vito - 739-750 Determination of the Number of Breaks in High-Dimensional Factor Models via Cross-Validation
by Zhou Ruichao & Wang Lu & Wu Jianhong - 751-765 Artificial Neural Networks and Time Series of Counts: A Class of Nonlinear INGARCH Models
by Jahn Malte - 767-784 Commitment Issues: Does the Fed Have an Inflation Incentive to Commit?
by Scott C. Patrick - 785-805 Volatility Forecasting Using Quasi-Score-Driven Models with an Application to the Coronavirus Pandemic Period
by Ayala Astrid & Blazsek Szabolcs & Licht Adrian
2024, Volume 28, Issue 4
- 567-581 Age and gender differentials in unemployment and hysteresis
by Guisinger Amy Y. & Jackson Laura E. & Owyang Michael T. - 583-604 Estimation and testing of the factor-augmented panel regression models with missing data
by Xiao Difa & Wang Lu & Wu Jianhong - 605-624 Multi-kernel property in high-frequency price dynamics under Hawkes model
by Lee Kyungsub - 625-644 Causal relationships between cryptocurrencies: the effects of sampling interval and sample size
by Köse Nezir & Ünal Emre - 645-659 Panel threshold model with covariate-dependent thresholds and its application to the cash flow/investment relationship
by Yang Lixiong - 661-671 HPX filter: a hybrid of Hodrick–Prescott filter and multiple regression
by Yamada Hiroshi
2024, Volume 28, Issue 3
- 463-479 Welfare cost of inflation, when credit card transaction services are included among monetary services
by Barnett William A. & Park Sohee - 481-506 Co-Jumping of Treasury Yield Curve Rates
by Baruník Jozef & Fišer Pavel - 507-530 Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis
by Szafranek Karol & Rubaszek Michał - 531-544 Stability in Threshold VAR Models
by Chen Pu & Semmler Willi - 545-552 Examining the Impact of Energy Policies on CO2 Emissions with Information and Communication Technologies and Renewable Energy
by Xue Mei & Mihai Daniela & Brutu Madalina & Popescu Luigi & Sinisi Crenguta Ileana & Bansal Ajay & Mohammad Mady A. A. & Muhammad Taseer & Shabbir Malik Shahzad - 553-566 Interfuel Substitution and Inflation Dynamics in India
by Sengupta Anirban & Serletis Apostolos & Xu Libo
April 2024, Volume 28, Issue 2
- 151-153 Editorial Introduction of the Special Issue of Studies in Nonlinear Dynamics and Econometrics in Honor of Herman van Dijk
by Koop Gary & Korobilis Dimitris & Ravazzolo Francesco - 155-176 Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View
by van Dijk Herman K. - 177-199 Markov-Switching Models with Unknown Error Distributions: Identification and Inference Within the Bayesian Framework
by Hwu Shih-Tang & Kim Chang-Jin - 201-225 Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods
by Hauzenberger Niko & Huber Florian & Koop Gary - 227-248 Matrix autoregressive models: generalization and Bayesian estimation
by Celani Alessandro & Pagnottoni Paolo - 249-269 Sequential Monte Carlo with model tempering
by Mlikota Marko & Schorfheide Frank - 271-292 Modeling Corporate CDS Spreads Using Markov Switching Regressions
by Baltodano López Ovielt & Bulfone Giacomo & Casarin Roberto & Ravazzolo Francesco - 293-317 Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis
by Chernis Tony - 319-336 Bayesian inference for non-anonymous growth incidence curves using Bernstein polynomials: an application to academic wage dynamics
by Fourrier-Nicolaï Edwin & Lubrano Michel - 337-378 Bayesian Reconciliation of Return Predictability
by Koval Borys & Frühwirth-Schnatter Sylvia & Sögner Leopold - 379-402 A Dynamic Latent-Space Model for Asset Clustering
by Casarin Roberto & Peruzzi Antonio - 403-434 Posterior Manifolds over Prior Parameter Regions: Beyond Pointwise Sensitivity Assessments for Posterior Statistics from MCMC Inference
by Jacobi Liana & Kwok Chun Fung & Ramírez-Hassan Andrés & Nghiem Nhung - 435-462 Bayesian Flexible Local Projections
by Brugnolini Luca & Catania Leopoldo & Hansen Pernille & Santucci de Magistris Paolo
February 2024, Volume 28, Issue 1
- 1-24 Bayesian VARs and prior calibration in times of COVID-19
by Hartwig Benny - 25-37 On testing for bubbles during hyperinflations
by Morita Rubens & Psaradakis Zacharias & Sola Martin & Yunis Patricio - 39-59 Estimating uncertainty spillover effects across euro area using a regime dependent VAR model
by Angelini Giovanni & Costantini Mauro & Easaw Joshy - 61-82 Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility
by Blazsek Szabolcs & Escribano Alvaro & Licht Adrian - 83-117 High dimensional threshold model with a time-varying threshold based on Fourier approximation
by Yang Lixiong - 119-149 Volatility and dependence in cryptocurrency and financial markets: a copula approach
by Liu Jinan & Serletis Apostolos
December 2023, Volume 27, Issue 5
- 635-648 Analysis of heterogeneous duopoly game with information asymmetry based on extrapolative mechanism
by Yuan Jing & Zhu Jianjun - 649-668 Modelling volatility dependence with score copula models
by Alanya-Beltran Willy - 669-685 A new test for non-linear hypotheses under distributional and local parametric misspecification
by Bera Anil K. & Doğan Osman & Taşpınar Süleyman - 687-704 Optimization study of momentum investment strategies under asymmetric power-law distribution of return rate
by Wu Xu & Wang Kun & Zhang Linlin & Peng Chong - 705-731 Comparison of Score-Driven Equity-Gold Portfolios During the COVID-19 Pandemic Using Model Confidence Sets
by Ayala Astrid & Blazsek Szabolcs & Licht Adrian - 733-763 Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging
by Alexeev Vitali & Chen Jun & Ignatieva Katja
September 2023, Volume 27, Issue 4
- 423-447 Approximate Bayesian inference for agent-based models in economics: a case study
by Lux Thomas - 449-484 Anticipating extreme losses using score-driven shape filters
by Ayala Astrid & Blazsek Szabolcs & Escribano Alvaro - 485-518 Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective
by Ghaemi Asl Mahdi & Canarella Giorgio & Miller Stephen M. & Tavakkoli Hamid Reza - 519-551 The impact of forward guidance and large-scale asset purchase programs on commodity markets
by Gomis-Porqueras Pedro & Rafiq Shuddhasattwa & Yao Wenying - 553-565 Middle-income traps and complexity in economic development
by Asano Takao & Shibata Akihisa & Yokoo Masanori - 567-587 Bayesian inference for order determination of double threshold variables autoregressive models
by Zheng Xiaobing & Xia Qiang & Liang Rubing - 589-634 Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution
by Blazsek Szabolcs & Haddad Michel Ferreira Cardia
June 2023, Volume 27, Issue 3
- 285-298 On determination of the number of factors in an approximate factor model
by Liu Jinshan & Pan Jiazhu & Xia Qiang & Xiao Li - 299-313 Clean energy consumption and economic growth in China: a time-varying analysis
by Bahramian Pejman & Saliminezhad Andisheh & Fethi Sami - 315-333 Panel data models with two threshold variables
by Lamadrid-Contreras Arturo & Ramírez-Rondán Nelson R. - 335-354 What will drive global economic growth in the digital age?
by Growiec Jakub - 355-375 On the nonlinear relationships between shadow economy and the three pillars of sustainable development: new evidence from panel threshold analysis
by Saafi Sami & Nouira Ridha & Assidi Nadia - 377-395 Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
by Pan Jiazhu & He Yali - 397-421 Stock price prediction using multi-scale nonlinear ensemble of deep learning and evolutionary weighted support vector regression
by Wang Jujie & Zhuang Zhenzhen & Gao Dongming & Li Yang & Feng Liu
April 2023, Volume 27, Issue 2
- 131-146 Asymmetry in stochastic volatility models with threshold and time-dependent correlation
by Schäfers Torben & Teng Long - 147-170 Financial crisis spread, economic growth and unemployment: a mathematical model
by Tadmon Calvin & Njike Tchaptchet Eric Rostand - 171-198 Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
by Papantonis Ioannis & Rompolis Leonidas S. & Tzavalis Elias & Agapitos Orestis - 199-218 Unrestricted, restricted, and regularized models for forecasting multivariate volatility
by Anatolyev Stanislav & Staněk Filip - 219-236 Controlling chaos in New Keynesian macroeconomics
by Barnett William A. & Bella Giovanni & Ghosh Taniya & Mattana Paolo & Venturi Beatrice - 237-264 Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions
by Blazsek Szabolcs & Blazsek Virag & Kobor Adam - 265-284 Expected, unexpected, good and bad aggregate uncertainty
by Uribe Jorge M. & Chuliá Helena
February 2023, Volume 27, Issue 1
- 1-24 Estimation and forecasting of long memory stochastic volatility models
by Abbara Omar & Zevallos Mauricio - 25-47 Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
by Gkillas Konstantinos & Gupta Rangan & Vortelinos Dimitrios I. - 49-65 Bidirectional volatility transmission between stocks and bond in East Asia – The quantile estimates based on wavelets
by Živkov Dejan & Kovačević Jelena & Stankov Biljana & Stefanović Zoran - 67-82 A threshold model for the spread
by Hatzinikolaou Dimitris & Sarigiannidis Georgios - 83-95 A Gini estimator for regression with autocorrelated errors
by Ka Ndéné & Mussard Stéphane - 97-115 State price density estimation with an application to the recovery theorem
by Sanford Anthony - 117-129 Testing for random coefficient autoregressive and stochastic unit root models
by Nagakura Daisuke
December 2022, Volume 26, Issue 5
- 635-647 Transition from the Taylor rule to the zero lower bound
by Hurn Stan & Johnson Nicholas & Silvennoinen Annastiina & Teräsvirta Timo - 649-653 A note on change in persistence of U.S. city prices
by Belaire-Franch Jorge - 655-674 Instability in regime switching models
by Chen Pu & Hsiao Chih-Ying & Semmler Willi - 675-691 Testing for exuberance in house prices using data sampled at different frequencies
by Otero Jesús & Panagiotidis Theodore & Papapanagiotou Georgios - 693-703 Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach
by Quineche Ricardo - 705-721 A family of nonparametric unit root tests for processes driven by infinite variance innovations
by Gogebakan Kemal Caglar - 723-735 Prediction of stock index of two-scale long short-term memory model based on multiscale nonlinear integration
by Tang Decai & Pan Zhiwei & Bethel Brandon J.
September 2022, Volume 26, Issue 4
- 499-527 What does Google say about credit developments in Brazil?
by Neto Alberto Ronchi & Candido Osvaldo - 529-539 Forecasting transaction counts with integer-valued GARCH models
by Aknouche Abdelhakim & Almohaimeed Bader S. & Dimitrakopoulos Stefanos - 541-558 Asymmetries in the monetary policy reaction function: evidence from India
by Shah Irfan Ahmad & Kundu Srikanta - 559-580 A mixture autoregressive model based on Gaussian and Student’s t-distributions
by Virolainen Savi - 581-616 Time-specific average estimation of dynamic panel regressions
by Chu Ba - 617-633 Rescaled variance tests for seasonal stationarity
by Gogebakan Kemal Caglar
June 2022, Volume 26, Issue 3
- 313-335 Multivariate Markov-switching score-driven models: an application to the global crude oil market
by Blazsek Szabolcs & Escribano Alvaro & Licht Adrian - 337-359 Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
by Li Mengheng & Mendieta-Muñoz Ivan - 361-385 Regulated seasonal unit root process
by Eroğlu Burak Alparslan & Pehlivan Ayşe Özgür - 387-415 Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration
by Murasawa Yasutomo - 417-435 Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states
by Kontana Dimitra & Fountas Stilianos - 437-474 Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers–Satchell volatility measure with asymmetric bilinear CARR model
by Tan Shay Kee & Chan Jennifer So Kuen & Ng Kok Haur - 475-497 The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks?
by Li Leon & Scrimgeour Frank
April 2022, Volume 26, Issue 2
- 173-190 Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach
by Mba Jules Clement & Mwambetania Mwambi Sutene - 191-203 Testing for stationarity with covariates: more powerful tests with non-normal errors
by Nazlioglu Saban & Lee Junsoo & Karul Cagin & You Yu - 205-218 The non-linear effects of the Fed asset purchases
by Anzuini Alessio - 219-254 Multiple structural breaks in cointegrating regressions: a model selection approach
by Schmidt Alexander & Schweikert Karsten - 257-274 Time-varying threshold cointegration with an application to the Fisher hypothesis
by Yang Lixiong - 273-285 A new bivariate Archimedean copula with application to the evaluation of VaR
by Topcu Guloksuz Cigdem & Kumar Pranesh - 287-311 The effect of price discrimination on dynamic duopoly games with bounded rationality
by Song Qi-Qing & Zhang Wei-li & Jiang Yi-Rong & Geng Juan
February 2022, Volume 26, Issue 1
- 1-24 Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
by Kaldorf Matthias & Wied Dominik - 25-34 Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries
by Jaiswal Shivam & Chaturvedi Anoop & Bhatti Muhammad Ishaq - 35-53 Openness-inflation Nexus in alternative monetary regimes
by Lin Pei-Chien & Huang Ho-Chuan & Liu Xiaojian - 55-71 Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
by Shang Han Lin & Zhang Xibin - 73-98 Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
by Segnon Mawuli & Lau Chi Keung & Wilfling Bernd & Gupta Rangan - 99-136 Choosing between identification schemes in noisy-news models
by Chan Joshua C. C. & Eisenstat Eric & Koop Gary - 137-154 Hysteresis and sources of aggregate employment inertia
by Mota Paulo R. & Vasconcelos Paulo B. - 155-172 Asymmetric dynamics between uncertainty and unemployment flows in the United States
by Ahmed Ali & Granberg Mark & Troster Victor & Uddin Gazi Salah
December 2021, Volume 25, Issue 5
- 255-265 Recovering cointegration via wavelets in the presence of non-linear patterns
by Martínez Compains Jorge & Rodríguez Carreño Ignacio & Gençay Ramazan & Trani Tommaso & Ramos Vilardell Daniel - 267-287 Buffered vector error-correction models: an application to the U.S. Treasury bond rates
by Lu Renjie & Yu Philip L. H. - 289-310 Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation
by Boubaker Heni & Canarella Giorgio & Gupta Rangan & Miller Stephen M. - 311-343 Modeling time-varying parameters using artificial neural networks: a GARCH illustration
by Donfack Morvan Nongni & Dufays Arnaud - 345-364 Variable elasticity of substitution and economic growth in the neoclassical model
by Gómez Manuel A. - 365-391 Fiscal austerity in emerging market economies
by Dave Chetan & Ghate Chetan & Gopalakrishnan Pawan & Tarafdar Suchismita - 393-416 Selecting between causal and noncausal models with quantile autoregressions
by Hecq Alain & Sun Li
September 2021, Volume 25, Issue 4
- 111-133 Forecasting Japanese inflation with a news-based leading indicator of economic activities
by Goshima Keiichi & Ishijima Hiroshi & Shintani Mototsugu & Yamamoto Hiroki - 135-142 Air pollution, mortality, at-risk population, new entry and life expectancy of the frail elderly in three U.S. cities
by Murray Christian J. & Lipfert Frederick W. - 143-170 Fast maximum likelihood estimation of parameters for square root and Bessel processes
by Fergusson Kevin - 171-192 A monitoring procedure for detecting structural breaks in factor copula models
by Manner Hans & Stark Florian & Wied Dominik - 193-212 Construction of leading economic index for recession prediction using vine copulas
by Lahiri Kajal & Yang Liu - 213-228 Financial integration in emerging economies: an application of threshold cointegration
by Ali Sajid & Rehman Mobeen Ur & Shahzad Syed Jawad Hussain & Raza Naveed & Vinh Vo Xuan - 229-254 When is discretionary fiscal policy effective?
by Fazzari Steven M. & Morley James & Panovska Irina
April 2021, Volume 25, Issue 2
- 1-10 An effcient exact Bayesian method For state space models with stochastic volatility
by Huang Yu-Fan - 1-14 A Strategy for the Use of the Cross Recurrence Quantification Analysis
by Aparicio Teresa & Pozo Eduardo F. & Saura Dulce - 1-17 Application of grey relational analysis and artificial neural networks on currency exchange-traded notes (ETNs)
by Chen Jo-Hui & Diaz John Francis T. - 1-17 Stochastic model specification in Markov switching vector error correction models
by Hauzenberger Niko & Huber Florian & Pfarrhofer Michael & Zörner Thomas O. - 1-19 Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model
by Dhaoui Abderrazak & Chevallier Julien & Ma Feng - 1-20 Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals
by Alexeev Vitali & Ignatieva Katja & Liyanage Thusitha - 1-20 Macroeconomic uncertainty and forecasting macroeconomic aggregates
by Reif Magnus
February 2021, Volume 25, Issue 1
- 1-17 How do volatility regimes affect the pricing of quality and liquidity in the stock market?
by Bazgour Tarik & Heuchenne Cedric & Hübner Georges & Sougné Danielle - 1-17 The European growth synchronization through crises and structural changes
by Uctum Merih & Uctum Remzi & Vijverberg Chu-Ping C. - 1-18 Disentangling the source of non-stationarity in a panel of seasonal data
by Hsu Shih-Hsun - 1-19 Outliers and misleading leverage effect in asymmetric GARCH-type models
by Carnero M. Angeles & Pérez Ana - 1-23 What model for the target rate
by Feunou Bruno & Fontaine Jean-Sébastien & Jin Jianjian - 1-26 Computational Methods for Production-Based Asset Pricing Models with Recursive Utility
by Aldrich Eric Mark & Kung Howard
June 2020, Volume 25, Issue 3
- 1-18 Economic dynamics of epidemiological bifurcations
by Aadland David & Finnoff David & Huang Kevin X.D. - 19-34 Statistical characteristics of price impact in high-frequency trading
by Jia Can & Zhou Tianmin & Li Handong - 35-62 Learning for infinitely divisible GARCH models in option pricing
by Zhu Fumin & Bianchi Michele Leonardo & Kim Young Shin & Fabozzi Frank J. & Wu Hengyu - 63-79 The discontinuation of the EUR/CHF minimum exchange rate: information from option-implied break probabilities
by Funke Michael & Loermann Julius & Moessner Richhild - 81-91 Finding correct elasticities in log-linear and exponential models allowing heteroskedasticity
by Lee Myoung-jae - 93-109 Dynamics between the budget deficit and the government debt in the United States: a nonlinear analysis
by Ahmed Haydory Akbar
December 2020, Volume 24, Issue 5
- 1-8 An interview with Howell Tong
by Jawadi Fredj - 1-10 Capital mobility in commodity-exporting economies
by Polbin Andrey & Rybak Konstantin & Zubarev Andrey - 1-11 Money growth variability and output: evidence with credit card-augmented Divisia monetary aggregates
by Liu Jinan & Serletis Apostolos - 1-19 Unconventional monetary policy in a nonlinear quadratic model
by Faulwasser Timm & Gross Marco & Semmler Willi & Loungani Prakash - 1-20 The role of the threshold effect for the dynamics of futures and spot prices of energy commodities
by Rubaszek Michal & Karolak Zuzanna & Kwas Marek & Uddin Gazi Salah - 1-26 Causal relationships between inflation and inflation uncertainty
by Barnett William A. & Jawadi Fredj & Ftiti Zied - 1-27 Exchange rates in India: current account monetarism in a nonlinear context
by Chaubal Aditi
September 2020, Volume 24, Issue 4
- 1-18 Unconventional monetary policy reaction functions: evidence from the US
by Agnello Luca & Castro Vitor & Dufrénot Gilles & Jawadi Fredj & Sousa Ricardo M. - 1-19 Dissecting skewness under affine jump-diffusions
by Zhen Fang & Zhang Jin E. - 1-19 The nonlinear effects of uncertainty shocks
by Jackson Laura E. & Kliesen Kevin L. & Owyang Michael T. - 1-20 Uncertainty and Forecasts of U.S. Recessions
by Pierdzioch Christian & Gupta Rangan - 1-23 The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach
by Avdoulas Christos & Bekiros Stelios & Lucey Brian - 1-24 Bayesian analysis of periodic asymmetric power GARCH models
by Aknouche Abdelhakim & Demmouche Nacer & Dimitrakopoulos Stefanos & Touche Nassim
June 2020, Volume 24, Issue 3
- 1-15 Income Inequality and Economic Growth: Heterogeneity and Nonlinearity
by Hailemariam Abebe & Dzhumashev Ratbek - 1-16 A wavelet-based variance ratio unit root test for a system of equations
by Ali Abdul Aziz & Månsson Kristofer & Shukur Ghazi - 1-16 A wavelet-based variance ratio unit root test for a system of equations
by Ali Abdul Aziz & Shukur Ghazi & Månsson Kristofer - 1-17 Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions
by Christou Christina & Naraidoo Ruthira & Gupta Rangan - 1-17 Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions
by Christou Christina & Naraidoo Ruthira & Gupta Rangan - 1-19 Combining sign and parametric restrictions in SVARs by utilising Givens rotations
by Fisher Lance A. & Huh Hyeon-seung - 1-19 Combining sign and parametric restrictions in SVARs by utilising Givens rotations
by Fisher Lance A. & Huh Hyeon-seung - 1-28 Nonlinear interest rate-setting behaviour of German commercial banks
by Heinzelmann Ludwig & Missong Martin - 1-28 Nonlinear interest rate-setting behaviour of German commercial banks
by Heinzelmann Ludwig & Missong Martin - 1-39 The role of uncertainty on agricultural futures markets momentum trading and volatility
by Czudaj Robert L. - 1-39 The role of uncertainty on agricultural futures markets momentum trading and volatility
by Czudaj Robert L.
April 2020, Volume 24, Issue 2
- 1-18 A threshold mixed count time series model: estimation and application
by Dungey Mardi & Martin Vance L. & Tang Chrismin & Tremayne Andrew - 1-20 Forecasting the unemployment rate over districts with the use of distinct methods
by Wozniak Marcin - 1-20 Temporal aggregation of random walk processes and implications for economic analysis
by Ahmad Yamin S & Paya Ivan - 1-20 Risk shocks with time-varying higher moments
by Dorofeenko Victor & Lee Gabriel & Salyer Kevin & Strobel Johannes - 1-21 “Animal spirits” and bank’s lending behaviour, a disequilibrium approach
by Chiarella Carl & Di Guilmi Corrado & Zhi Tianhao - 1-26 Constrained interest rates and changing dynamics at the zero lower bound
by Bäurle Gregor & Kaufmann Daniel & Kaufmann Sylvia & Strachan Rodney - 1-26 Fiscal policy uncertainty and US output
by Popiel Michal Ksawery
February 2020, Volume 24, Issue 1
- 1-12 Bond risk premia and the return forecasting factor
by Gutierrez Agustin & Hevia Constantino & Sola Martin - 1-16 On the performance of information criteria for model identification of count time series
by Weiß Christian H. & Feld Martin H.-J.M. - 1-16 A model for ordinal responses with heterogeneous status quo outcomes
by Sirchenko Andrei - 1-18 Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks
by Lovcha Yuliya & Perez-Laborda Alejandro - 1-27 Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
by Feng Lingbing & Shi Yanlin - 1-28 Testing for cointegration with threshold adjustment in the presence of structural breaks
by Schweikert Karsten
December 2019, Volume 23, Issue 5
- 1-10 An explicit formula for the smoother weights of the Hodrick–Prescott filter
by Yamada Hiroshi & Jahra Fatima Tuj - 1-17 An intuitive skewness-based symmetry test applicable to stationary time series data
by Hartigan Luke - 1-17 Smart or stupid depends on who is your counterpart: a cobweb model with heterogeneous expectations
by Guo Feng & Liu Chong & Shi Qingling - 1-17 Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
by Zhu Yanli & Chen Haiqiang & Lin Ming