De Gruyter
Studies in Nonlinear Dynamics & Econometrics
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2015, Volume 19, Issue 1
- 1-33 Efficient bond price approximations in non-linear equilibrium-based term structure models
by Andreasen Martin M. & Zabczyk Pawel - 35-48 Regime-switching cointegration
by Jochmann Markus & Koop Gary - 49-70 Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
by Argyropoulos Efthymios & Tzavalis Elias - 71-92 Factor instrumental variable quantile regression
by Chen Jau-er - 93-106 Non-parametric estimation of copula parameters: testing for time-varying correlation
by Gong Jinguo & Shi Daimin & Wu Weiou & McMillan David
2014, Volume 18, Issue 5
- 13 A growth model with qualities, varieties, and human capital: stability and transitional dynamics
by Sequeira Tiago Neves & Ferreira-Lopes Alexandra & Gomes Orlando - 14 Functional cointegration: definition and nonparametric estimation
by Banerjee Anurag & Pitarakis Jean-Yves - 21 Nonlinearity, heterogeneity and unobserved effects in the carbon dioxide emissions-economic development relation for advanced countries
by Musolesi Antonio & Mazzanti Massimiliano - 23 A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
by Ignatieva Katja - 24 Real vs. nominal cycles: a multistate Markov-switching bi-factor approach
by Leiva-Leon Danilo
2014, Volume 18, Issue 4
- 15 Forecast densities for economic aggregates from disaggregate ensembles
by Ravazzolo Francesco & Vahey Shaun P. - 16 An extensive study on Markov switching models with endogenous regressors
by Wang Xia & Shang Yuhuang & Zheng Tingguo - 20 Construction, management, and performance of sparse Markowitz portfolios
by Henriques Julie & Ortega Juan-Pablo - 25 Do food commodity prices have asymmetric effects on euro-area inflation?
by Porqueddu Mario & Venditti Fabrizio - 38 The effect of round-off error on long memory processes
by La Spada Gabriele & Lillo Fabrizio
2014, Volume 18, Issue 3
- 16 Inequality-growth nexus along the development process
by Lin Yi-Chen & Huang Ho-Chuan (River) & Yeh Chih-Chuan - 18 Inventories, business cycles, and variable capital utilization
by Engelhardt Lucas M. - 20 The effects of the monetary policy stance on the transmission mechanism
by Galvao Ana Beatriz & Marcellino Massimiliano - 27 Estimating VAR-MGARCH models in multiple steps
by Carnero M. Angeles & Eratalay M. Hakan - 30 Factor-based forecasting in the presence of outliers: Are factors better selected and estimated by the median than by the mean?
by Kristensen Johannes Tang - 37 Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function
by Da Fonseca José & Grasselli Martino & Ielpo Florian
2014, Volume 18, Issue 2
- 12 Saddle-node bifurcations in an optimal growth model with preferences for wealth habit
by Sağlam Çağri & Turan Agah & Turan Hamide - 15 Are income differences within the OECD diminishing? Evidence from Fourier unit root tests
by King Alan & Ramlogan-Dobson Carlyn - 20 Forecasting trading volume in the Chinese stock market based on the dynamic VWAP
by Ye Xunyu & Yan Rui & Li Handong - 22 Assessing the quality of volatility estimators via option pricing
by Sanfelici Simona & Uboldi Adamo - 28 Time-varying fiscal policy in the US
by Pereira Manuel Coutinho & Lopes Artur Silva - 15 Fiscal policy in the BRICs
by Jawadi Fredj & Mallick Sushanta K. & Sousa Ricardo M.
2014, Volume 18, Issue 1
- 1-21 A tractable model for indices approximating the growth optimal portfolio
by Baldeaux Jan & Ignatieva Katja & Platen Eckhard - 23-40 Breaks, trends and unit roots in commodity prices: a robust investigation
by Ghoshray Atanu & Kejriwal Mohitosh & Wohar Mark - 41-49 Time variation in an optimal asymmetric preference monetary policy model
by Cassou Steven P. & Vázquez Jesús - 51-72 Modelling nonlinearities in equity returns: the mean impact curve analysis
by Martin Vance L. & Sarkar Saikat & Kanto Antti Jaakko - 73-88 Persistence in real exchange rate convergence
by Stengos Thanasis & Yazgan M. Ege - 89-101 Herd behavior, bubbles and social interactions in financial markets
by Chang Sheng-Kai
2013, Volume 17, Issue 5
- 483-498 Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information?
by Morley James & Piger Jeremy & Tien Pao-Lin - 499-520 Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
by Nakajima Jouchi - 521-549 Regimes and long memory in realized volatility
by Goldman Elena & Nam Jouahn & Tsurumi Hiroki & Wang Jun - 551-571 Estimating C-CAPM and the equity premium over the frequency domain
by Kalyvitis Sarantis & Panopoulou Ekaterini - 573-617 Determining the number of global and country-specific factors in the euro area
by Dias Francisco & Rua António & Pinheiro Maximiano - 619-639 A maximum score test for binary response models
by Mayer Walter J. & Wu Chen
2013, Volume 17, Issue 4
- 345-372 Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models
by Burda Martin & Maheu John M. - 373-393 Off-the-record target zones: theory with an application to Hong Kong’s currency board
by Chen Yu-Fu & Funke Michael & Glanemann Nicole - 395-420 Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product
by Arora Siddharth & Little Max A. & McSharry Patrick E. - 421-438 Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
by Niu Wei-Fang - 439-459 A value-at-risk analysis of carry trades using skew-GARCH models
by Wang Yu-Jen & Chung Huimin & Guo Jia-Hau - 461-482 Income taxes and endogenous fluctuations: a generalization
by Gokan Yoichi
2013, Volume 17, Issue 3
- 239-249 The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations
by Reitz Stefan & Taylor Mark P. - 251-263 Common large innovations across nonlinear time series
by Franses Philip Hans & Paap Richard - 265-279 The forward rate premium puzzle: a case of misspecification?
by Hall Stephen G. & Kenjegaliev Amangeldi & Swamy P. A. V. B. & Tavlas George S. - 281-296 A smooth transition long-memory model
by Aloy Marcel & Tong Charles Lai & Peguin-Feissolle Anne & Dufrénot Gilles - 297-312 Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
by Pavlidis Efthymios G. & Paya Ivan & Peel David A. - 313-333 Threshold linkages between volatility and trading volume: evidence from developed and emerging markets
by Jawadi Fredj & Ureche-Rangau Loredana - 335-343 Inventory investment and the business cycle: the usual suspect
by Bec Frédérique & Salem Melika Ben
2013, Volume 17, Issue 2
- 121-139 Stochastically weighted average conditional moment tests of functional form
by Hill Jonathan B. - 141-165 Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico
by de Mello Luiz & Moccero Diego & Mogliani Matteo - 167-177 Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
by Beck Alexander & Kim Young Shin Aaron & Rachev Svetlozar & Feindt Michael & Fabozzi Frank - 179-197 Quasi-maximum likelihood estimation of multivariate diffusions
by Huang Xiao - 199-209 Time-varying cointegration, identification, and cointegration spaces
by Martins Luis Filipe & Gabriel Vasco J. - 211-220 Noncausality and asset pricing
by Lof Matthijs - 221-238 State space Markov switching models using wavelets
by Alencar Airlane P. & Morettin Pedro A. & Toloi Clelia M.C.
2013, Volume 17, Issue 1
- 1-20 Forecast uncertainty and the Bank of England’s interest rate decisions
by Schultefrankenfeld Guido - 21-46 A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series
by Brownlees Christian T. & Vannucci Marina - 47-83 Learning under signal-to-noise ratio uncertainty
by Ilek Alex - 85-102 Using transfer entropy to measure information flows between financial markets
by Dimpfl Thomas & Peter Franziska Julia - 103-120 Computational aspects of portfolio risk estimation in volatile markets: a survey
by Fabozzi Frank J. & Stoyanov Stoyan V. & Rachev Svetlozar T.
2012, Volume 16, Issue 5
- 1-33 Predicting Stock Returns Using a Variable Order Markov Tree Model
by Shmilovici Armin & Ben-Gal Irad - 1-37 Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications
by Yoldas Emre - 1-31 How Do You Make A Time Series Sing Like a Choir? Extracting Embedded Frequencies from Economic and Financial Time Series using Empirical Mode Decomposition
by Crowley Patrick M. - 1-27 The Transitional Dynamics of an Endogenous Growth Model: Generalizing Production Functions
by Gómez Manuel A. & Sequeira Tiago Neves - 1-26 Estimation of a Nonlinear Taylor Rule Using Real-Time U.S. Data
by Lamarche Jean-Francois & Koustasy Zisimos
2012, Volume 16, Issue 4
- 1-41 Microfounded Animal Spirits in the New Macroeconomic Consensus
by Franke Reiner - 1-49 An Experimental Study on Expectations and Learning in Overlapping Generations Models
by Heemeijer Peter & Hommes Cars & Sonnemans Joep & Tuinstra Jan - 1-38 Asset Pricing with Heterogeneous Investment Horizons
by Anufriev Mikhail & Bottazzi Giulio - 1-30 Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations
by Lines Marji & Westerhoff Frank - 1-29 The Fiscal Cost of Financial Instability
by Chiarella Carl & Di Guilmi Corrado - 1-23 Identification of Interaction Effects in Survey Expectations: A Cautionary Note
by Alfarano Simone & Milakovic Mishael - 1-20 Heterogeneous Learning Dynamics and Speed of Convergence
by Berardi Michele - 1-1 Introduction to the Current Issue
by Lines Marji & Manzan Sebastiano & Westerhoff Frank
2012, Volume 16, Issue 3
- 1-20 A New Forecasting Model for USD/CNY Exchange Rate
by Cai Zongwu & Chen Linna & Fang Ying - 1-39 A Nonlinear Threshold Model for the Dependence of Extremes of Stationary Sequences
by Martinez Oscar & Olmo Jose - 1-36 Borrowing Constraints and House Price Dynamics: The Case of Large Shocks
by Eerola Essi & Määttänen Niku - 1-33 Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models
by Ruiz Esther & Pérez Ana - 1-24 A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis
by Meinl Thomas & Sun Edward W.
2012, Volume 16, Issue 2
- 1-36 How Much Should a Nation Save? A New Answer
by de La Grandville Olivier - 1-38 Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies
by Chiarella Carl & Flaschel Peter & Köper Carsten & Proaño Christian & Semmler Willi - 1-37 Economic Stability and the Choice of the Target Inflation Index
by Flamini Alessandro - 1-30 Routes to Complexity Induced by Constraints in Cournot Oligopoly Games with Linear Reaction Functions
by Bischi Gian Italo & Lamantia Fabio - 1-28 Continuous-Tme Econometrics of Structural Models
by Wymer Clifford R. - 1-27 The Macrodynamics of External Overborrowing and Systemic Instability in a Small Open Economy
by Maggi Bernardo & Cavallaro Eleonora & Mulino Marcella - 1-25 Expectations Dynamics: Policy, Announcements and Limits to Dynamic Inconsistency
by Hughes Hallett Andrew & Acocella Nicola & Di Bartolomeo Giovanni - 1-23 The Convergence of Economic Developments
by Caputo Michele - 1-1 Introduction to the Current Issue
by De Arcangelis Giuseppe & Saltari Enrico
2012, Volume 16, Issue 1
- 1-33 The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach
by Chung Y. Peter & Zhou Zhong-guo - 1-29 Band-Limited Stochastic Processes in Discrete and Continuous Time
by Pollock D.S.G. - 1-27 Flexible Modelling of Duration of Unemployment Using Functional Hazard Models and Penalized Splines: A Case Study Comparing Germany and the UK
by Westerheide Nina & Kauermann Goeran - 1-24 Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges
by Brännäs Kurt & De Gooijer Jan G. & Lönnbark Carl & Soultanaeva Albina - 1-22 Asymmetric Unemployment Rate Dynamics in Australia
by Bårdsen Gunnar & Hurn Stanley & McHugh Zöe
2011, Volume 15, Issue 4
- 1-55 Early Detection Techniques for Market Risk Failure
by Olmo Jose & Pouliot William - 1-43 Panel Cointegration Rank Testing with Cross-Section Dependence
by Carrion-i-Silvestre Josep Lluis & Surdeanu Laura - 1-32 Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
by Billio Monica & Casarin Roberto - 1-25 Stages of Economic Development in an Innovation-Education Growth Model
by Gómez Manuel A. - 1-21 A Computationally Practical Robust Simulation Estimator for Dynamic Panel Tobit Models
by Chang Sheng-Kai - 1-13 Constrained k-class Estimators in the Presence of Weak Instruments
by Iglesias Emma M.
2011, Volume 15, Issue 3
- 1-26 Purchasing Power Parity Analyzed from a Continuous-Time Model
by Nicolau João - 1-33 International Output Convergence, Breaks, and Asymmetric Adjustment
by Christopoulos Dimitris K & Leon-Ledesma Miguel A. - 1-28 Extracting the Cyclical Component in Hours Worked
by Bernardi Mauro & Della Corte Giuseppe & Proietti Tommaso - 1-23 Semi-Parametric Forecasting of Realized Volatility
by Becker Ralf & Clements Adam E & Hurn Stan - 1-21 Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
by Yang Minxian
2011, Volume 15, Issue 2
- 1-25 Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods
by Karagianni Stella & Kyrtsou Catherine - 1-43 Real-Time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty
by Flamini Alessandro & Milas Costas - 1-37 Alternative Estimators of Long-Range Dependence
by Fernandez Viviana - 1-28 Filtering Time Series with Penalized Splines
by Kauermann Goeran & Krivobokova Tatyana & Semmler Willi - 1-25 Contemporaneous-Threshold Smooth Transition GARCH Models
by Dueker Michael J. & Psaradakis Zacharias & Sola Martin & Spagnolo Fabio
2010, Volume 15, Issue 1
- 1-43 Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency
by Lee Jihyun & Kim Tong S & Lee Hoe Kyung - 1-55 The Determinants of International Financial Integration Revisited: The Role of Networks and Geographic Neutrality
by Arribas Ivan & Perez Francisco & Tortosa-Ausina Emili - 1-29 Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach
by Pérez-Alonso Alicia & Di Sanzo Silvestro - 1-25 Spurious Regressions of Stationary AR(p) Processes with Structural Breaks
by Chu Ba & Kozhan Roman - 1-19 Testing the Martingale Property of Exchange Rates: A Replication
by Belaire-Franch Jorge & Contreras Dulce - 1-12 Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding
by Aparicio Teresa & Pozo Eduardo F. & Saura Dulce
2010, Volume 14, Issue 4
- 1-42 Fundamental and Behavioural Drivers of Electricity Price Volatility
by Karakatsani Nektaria V & Bunn Derek W. - 1-56 Skew-Normal Mixture and Markov-Switching GARCH Processes
by Haas Markus - 1-43 Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models
by Maki Daiki - 1-38 Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model
by Yang Fuyu & Leon-Gonzalez Roberto - 1-34 Covariate Measurement Error: Bias Reduction under Response-Based Sampling
by Ramalho Esmeralda A. - 1-23 A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions
by McElroy Tucker S
2010, Volume 14, Issue 3
- 1-23 An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns
by Herrmann Klaus & Fischer Matthias - 1-40 Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
by Pavlidis Efthymios G & Paya Ivan & Peel David A - 1-35 Estimation of Parameters in the Presence of Model Misspecification and Measurement Error
by Swamy P. A. V. B. & Tavlas George S & Hall Stephen G. F. & Hondroyiannis George - 1-30 First and Second Order Asymptotic Bias Correction of Nonlinear Estimators in a Non-Parametric Setting and an Application to the Smoothed Maximum Score Estimator
by Iglesias Emma M - 1-21 Conditional Skewness, Kurtosis, and Density Specification Testing: Moment-Based versus Nonparametric Tests
by Ergun A. Tolga & Jun Jongbyung
2010, Volume 14, Issue 2
- 1-20 Estimating the Term Premium by a Markov Switching Model with ARMA-GARCH Errors
by Yoo Byoung Hark - 1-50 Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk
by Dark Jonathan Graeme - 1-32 Testing for Asymmetric Dependence
by Manner Hans - 1-31 Synchronization and On-Off Intermittency Phenomena in a Market Model with Complementary Goods and Adaptive Expectations
by Bignami Fernando & Agliari Anna - 1-26 Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model
by Huang Dashan & Yu Baimin & Lu Zudi & Fabozzi Frank J. & Focardi Sergio & Fukushima Masao
2009, Volume 14, Issue 1
- 1-38 Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times
by Laakkonen Helinä & Lanne Markku - 1-37 The Sticky Information Macro Model: Beyond Perfect Foresight
by Gomes Orlando - 1-33 Nonlinear Impacts of International Business Cycles on the U.K. -- A Bayesian Smooth Transition VAR Approach
by Gefang Deborah & Strachan Rodney - 1-31 Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated Innovations
by Sinclair Tara M - 1-27 On Justifications for the ad hoc Black-Scholes Method of Option Pricing
by Berkowitz Jeremy
2009, Volume 13, Issue 4
- 1-52 A Non-Parametric Investigation of Risk Premia
by Peroni Chiara - 1-29 Threshold Effects of Dismissal Protection Regulation and the Emergence of Temporary Work Agencies
by Chen Yu-Fu & Funke Michael - 1-27 Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis
by Kim Chang Sik - 1-25 Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates
by Herwartz Helmut & Roestel Jan - 1-23 Changes in U.S. Inflation Persistence
by Kang Kyu Ho & Kim Chang-Jin & Morley James
2009, Volume 13, Issue 3
- 1-36 Asymmetry in Stochastic Volatility Models: Threshold or Correlation?
by Smith Daniel R - 1-35 Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization
by Dermoune Azzouz & Djehiche Boualem & Rahmania Nadji - 1-32 Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
by Rombouts Jeroen V. K. & Bouaddi Mohammed - 1-30 Modeling Jump and Continuous Components in the Volatility of Oil Futures
by Tseng Tseng-Chan & Chung Huimin & Huang Chin-Sheng - 1-18 Inspecting the Poverty-Trap Mechanism: A Quantile Regression Approach
by Krüger Jens J.
2009, Volume 13, Issue 2
- 1-33 A Component GARCH Model with Time Varying Weights
by Bauwens Luc & Storti Giuseppe - 1-30 Testing for Conditional Heteroscedasticity in the Components of Inflation
by Broto Carmen & Ruiz Esther - 1-21 Discovering Hidden Structures Using Mixture Models: Application to Nonlinear Time Series Processes
by Shahbaba Babak - 1-20 Nonlinearity between Inequality and Growth
by Lin Shu-Chin & Huang Ho-Chuan & Kim Dong-Hyeon & Yeh Chih-Chuan - 1-12 The J2 Status of "Chaos" in Period Macroeconomic Models
by Flaschel Peter & Proaño Christian R.
2009, Volume 13, Issue 1
- 1-24 The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing
by Driffill John & Kenc Turalay & Sola Martin & Spagnolo Fabio - 1-41 Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate
by Choi Seungmoon - 1-24 Multi-Market Direction-of-Change Modeling Using Dependence Ratios
by Anatolyev Stanislav - 1-21 (Un)anticipated Technological Change in an Endogenous Growth Model
by Conway Bruce A & Rosenblatt-Wisch Rina & Schenk-Hoppé Klaus Reiner - 1-20 Modelling Good and Bad Volatility
by Pelagatti Matteo M
2008, Volume 12, Issue 4
- 1-31 Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life
by Lo Ming Chien - 1-37 The Dynamics of Mutual Funds and Market Timing Measurement
by Matallin-Saez Juan Carlos - 1-35 Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components
by Dolado Juan J. & Gonzalo Jesus & Mayoral Laura - 1-34 Happiness due to Consumption and its Increases, Wealth and Status
by Wirl Franz & Novak Andreas J. & Hof Franz X. - 1-32 The Consumption-Wealth Ratio under Asymmetric Adjustment
by Gabriel Vasco J. & Alexandre Fernando & Bação Pedro - 1-18 The Nonlinear Dynamics of Foreign Reserves and Currency Crises
by Chong Terence T. L. & He Qing & Hinich Melvin J
2008, Volume 12, Issue 3
- 1-20 Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?
by Kim Chang-Jin & Kim Yunmi - 1-46 Threshold Adjustment of Deviations from the Law of One Price
by Juvenal Luciana & Taylor Mark P. - 1-31 Markov-Switching GARCH Modelling of Value-at-Risk
by Sajjad Rasoul & Coakley Jerry & Nankervis John C - 1-29 Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths
by Hultblad Brigitta & Karlsson Sune - 1-27 Optimal Test for Markov Switching GARCH Models
by Hu Liang & Shin Yongcheol - 1-24 A Powerful Test for Linearity When the Order of Integration is Unknown
by Harvey David I & Leybourne Stephen J & Xiao Bin - 1-18 Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry
by Rothman Philip A - 1-11 Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
by Granger Clive W.J.
2008, Volume 12, Issue 2
- 1-21 Unemployment and Economic Growth Cycles
by Roa Maria J & Vazquez Francisco Jose & Saura Dulce - 1-5 A Video Interview with James Hamilton
by Mizrach Bruce - 1-42 Option Valuation with Normal Mixture GARCH Models
by Badescu Alex & Kulperger Reg & Lazar Emese - 1-40 On the Robustness of Symmetry Tests for Stock Returns
by Chen Yi-Ting & Lin Chang-Ching - 1-37 Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
by Sun Wei & Rachev Svetlozar & Stoyanov Stoyan V. & Fabozzi Frank J. - 1-25 Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps
by Chan Wing Hong
2008, Volume 12, Issue 1
- 1-28 Modelling Autoregressive Processes with a Shifting Mean
by González Andrés & Teräsvirta Timo - 1-39 Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle
by Kejriwal Mohitosh - 1-26 Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series
by Kugiumtzis Dimitris - 1-21 Rank-based Entropy Tests for Serial Independence
by Diks Cees & Panchenko Valentyn - 1-18 Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics
by Nesmith Travis D & Jones Barry E
2007, Volume 11, Issue 4
- 1-25 The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?
by Bec Frédérique & Bastien Alexia - 1-41 Movements in the Equity Premium: Evidence from a Time-Varying VAR
by De Santis Massimiliano - 1-39 Jump-and-Rest Effect of U.S. Business Cycles
by Camacho Maximo & Perez Quiros Gabriel - 1-35 Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules
by Basu Deepankar & de Jong Robert M - 1-25 Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models
by Michis Antonis & Sapatinas Theofanis
2007, Volume 11, Issue 3
- 1-28 A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
by Enders Walter & Falk Barry L & Siklos Pierre - 1-34 Detecting Multiple Changes in Persistence
by Leybourne Stephen & Kim Tae-Hwan & Taylor A.M. Robert - 1-33 Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution
by Kiliç Rehim - 1-32 Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation
by Bowden Roger J. & Zhu Jennifer Z - 1-25 Wavelet Variance Analysis of Output in G-7 Countries
by Gallegati Marco & Gallegati Mauro - 1-19 Complex Dynamics in the Neoclassical Growth Model with Differential Savings and Non-Constant Labor Force Growth
by Brianzoni Serena & Mammana Cristiana & Michetti Elisabetta
2007, Volume 11, Issue 2
- 1-23 Change-Points in U.S. Business Cycle Durations
by Davig Troy - 1-42 A Dynamic Semiparametric Proportional Hazard Model
by Gerhard Frank & Hautsch Nikolaus - 1-39 Volatility Components and Long Memory-Effects Revisited
by Haas Markus - 1-34 Equilibrium Efficiency in the Ramsey Model with Habit Formation
by Gómez Manuel A. - 1-24 A Class Test for Fractional Integration
by Hinich Melvin J. & Chong Terence T.L.