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June 2019, Volume 23, Issue 3
- 1-8 Gamification of global climate change: an experimental analysis
by Nastis Stefanos A. & Pagoni Eirini Grammatiki - 1-13 An efficient sequential learning algorithm in regime-switching environments
by Kim Jaeho & Lee Sunhyung - 1-17 Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data
by Tiwari Aviral Kumar & Cunado Juncal & Gupta Rangan & Wohar Mark E. - 1-22 Flexible HAR model for realized volatility
by Audrino Francesco & Huang Chen & Okhrin Ostap - 1-23 What cycles? Data detrending in DSGE models
by Sun Xiaojin & Tsang Kwok Ping
April 2019, Volume 23, Issue 2
- 1-14 A parametric stationarity test with smooth breaks
by Tsong Ching-Chuan & Lee Cheng-Feng & Tsai Li Ju - 1-14 A unified framework jointly explaining business conditions, stock returns, volatility and “volatility feedback news” effects
by Kim Chang-Jin & Kim Yunmi - 1-15 Foster-Hart optimization for currency portfolios
by Kurosaki Tetsuo & Kim Young Shin - 1-18 Regression discontinuity designs with unknown state-dependent discontinuity points: estimation and testing
by Yang Lixiong - 1-22 Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models
by Chan Jennifer So Kuen & Nitithumbundit Thanakorn & Peiris Shelton & Ng Kok-Haur - 1-27 Asymmetric impact of uncertainty in recessions: are emerging countries more vulnerable?
by Chatterjee Pratiti
February 2019, Volume 23, Issue 1
- 1-15 Investment on human capital in a dynamic contest model
by Keskin Kerim & Sağlam Çağrı - 1-16 A non-linear Keynesian Goodwin-type endogenous model of the cycle: Bayesian evidence for the USA
by Mariolis Theodore & Konstantakis Konstantinos N. & Michaelides Panayotis G. & Tsionas Efthymios G. - 1-19 Think again: volatility asymmetry and volatility persistence
by Baur Dirk G. & Dimpfl Thomas - 1-24 A regime switching skew-normal model of contagion
by Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling - 1-30 Methods for strengthening a weak instrument in the case of a persistent treatment
by Berthélemy Michel & Bonev Petyo & Dussaux Damien & Söderberg Magnus - 1-44 A nonlinear model of asset returns with multiple shocks
by Kahra Hannu & Martin Vance L. & Sarkar Saikat
December 2018, Volume 22, Issue 5
- 1-5 An Interview with Timo Teräsvirta
by Jawadi Fredj - 1-17 Testing for misspecification in the short-run component of GARCH-type models
by Chuffart Thomas & Flachaire Emmanuel & Péguin-Feissolle Anne - 1-17 Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
by Nguyen Anh D. M. & Pavlidis Efthymios G. & Peel David A. - 1-18 Can a Taylor rule better explain the Fed’s monetary policy through the 1920s and 1930s? A nonlinear cliometric analysis
by Damette Olivier & Jawadi Fredj & Parent Antoine - 1-19 Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market
by Escribano Alvaro & Torrado María - 1-19 Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach
by Kotz Hans-Helmut & Semmler Willi & Tahri Ibrahim - 1-21 Time-varying asymmetry and tail thickness in long series of daily financial returns
by Mazur Błażej & Pipień Mateusz - 1-25 Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
by Prono Todd - 1-25 Modeling time-variation over the business cycle (1960–2017): an international perspective
by Martínez-García Enrique - 1-28 P-star model for India: a nonlinear approach
by Chaubal Aditi
September 2018, Volume 22, Issue 4
- 1-8 A New Method for Specifying the Tuning Parameter of ℓ1 Trend Filtering
by Yamada Hiroshi - 1-16 Market concentration and market power of the Swedish mortgage Sector – a wavelet panel efficiency analysis
by Månsson Kristofer & Sjölander Pär & Shukur Ghazi - 1-16 The Rescaled VAR Model with an Application to Mixed-Frequency Macroeconomic Forecasting
by Giusto Andrea & İşcan Talan B. - 1-16 Bayesian Subset Selection for Two-Threshold Variable Autoregressive Models
by Ni Shuxia & Xia Qiang & Liu Jinshan - 1-21 A hidden Markov regime-switching smooth transition model
by Elliott Robert J. & Siu Tak Kuen & Lau John W.
June 2018, Volume 22, Issue 3
- 1-14 A simple solution of the spurious regression problem
by Wang Cindy Shin-Huei & Hafner Christian M. - 1-17 Local/import – and foreign currency prices: inflation, uncertainty and pass through endogeneity
by Herwartz Helmut & Roestel Jan - 1-17 Regime switching with structural breaks in output convergence
by Beylunioğlu Fuat C. & Yazgan M. Ege & Stengos Thanasis - 1-27 A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
by Haas Markus & Liu Ji-Chun - 1-29 Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
by Phillip Andrew & Chan Jennifer S.K. & Peiris Shelton
April 2018, Volume 22, Issue 2
- 1 Markov-switching quantile autoregression: a Gibbs sampling approach
by Liu Xiaochun & Luger Richard - 1-8 The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach
by Pavlidis Efthymios G. & Tsionas Mike - 1-15 Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models
by Chow Sheung-Chi & Cunado Juncal & Gupta Rangan & Wong Wing-Keung - 1-16 Estimation and inference of threshold regression models with measurement errors
by Chong Terence Tai-Leung & Chen Haiqiang & Wong Tsz-Nga & Yan Isabel Kit-Ming - 1-16 Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and granger causality tests
by Tipoy Christian K. & Breitenbach Marthinus C. & Zerihun Mulatu F. - 1-17 Uncertainty in the housing market: evidence from US states
by Christidou Maria & Fountas Stilianos
February 2018, Volume 22, Issue 1
- 1-2 Introduction: Special Issue Honoring the Contributions of Walter Enders
by Lee Junsoo & Ma Jun - 1-11 Time-varying correlations and Sharpe ratios during quantitative easing
by Jones Paul M. & O’Steen Haley - 1-11 Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples
by Donayre Luiggi & Eo Yunjong & Morley James - 1-14 Nonlinear Taylor rules: evidence from a large dataset
by Ma Jun & Olson Eric & Wohar Mark E. - 1-17 Evaluating the impact of the labor market conditions index on labor market forecasts
by Connolly Laura & Sheehan Alice - 1-19 Flexible Fourier form for volatility breaks
by Li Jing & Enders Walte - 1-19 Nonlinear evidence on the existence of jobless recoveries
by Bradley Michael D. & Jansen Dennis W. - 1-19 Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics
by Ardakani Omid M. & Kishor N. Kundan - 1-20 Public debt and economic growth conundrum: nonlinearity and inter-temporal relationship
by Arčabić Vladimir & Tica Josip & Lee Junsoo & Sonora Robert J. - 1-29 Testing for a unit root against ESTAR stationarity
by Harvey David I. & Leybourne Stephen J. & Whitehouse Emily J.
December 2017, Volume 21, Issue 5
- 1-17 On the determinants of the 2008 financial crisis: a Bayesian approach to the selection of groups and variables
by Chen Ray-Bing & Lee Kuo-Jung & Chen Yi-Chi & Chu Chi-Hsiang - 1-18 A new recognition algorithm for “head-and-shoulders” price patterns
by Chong Terence Tai-Leung & Poon Ka-Ho - 1-18 Generating prediction bands for path forecasts from SETAR models
by Grabowski Daniel & Winker Peter & Staszewska-Bystrova Anna - 1-19 Multi-level factor analysis of bond risk premia
by Kim Dukpa & Kim Yunjung & Bak Yuhyeon - 1-20 Interest rate pass-through: a nonlinear vector error-correction approach
by Popiel Michal Ksawery
September 2017, Volume 21, Issue 4
- 1-16 Using the hybrid Phillips curve with memory to forecast US inflation
by Chu Shiou-Yen & Shane Christopher - 1-18 Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models
by Reusens Peter & Croux Christophe - 1-18 Time-varying persistence of inflation: evidence from a wavelet-based approach
by Boubaker Heni & Canarella Giorgio & Miller Stephen M. & Gupta Rangan - 1-20 The reaction of stock market returns to unemployment
by Gonzalo Jesús & Taamouti Abderrahim - 1-21 Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries
by Cuestas Juan Carlos & Tang Bo - 1-22 Nonstationary autoregressive conditional duration models
by Mishra Anuj & Ramanathan Thekke Variyam
June 2017, Volume 21, Issue 3
- 1-12 Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach
by Bekiros Stelios & Muzaffar Ahmed T. & Uddin Gazi S. & Vidal-García Javier - 1-14 Detecting capital market convergence clubs
by Beylunioglu Fuat C. & Stengos Thanasis & Yazgan M. Ege - 1-22 VEC-MSF models in Bayesian analysis of short- and long-run relationships
by Pajor Anna & Wróblewska Justyna - 1-22 Estimation of long memory in volatility using wavelets
by Kraicová Lucie & Baruník Jozef - 1-28 Changes in persistence, spurious regressions and the Fisher hypothesis
by Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E.
April 2017, Volume 21, Issue 2
- 1-16 Macroeconomic (in)stability and endogenous market structure with productive government expenditure
by Chang Cheng-Wei & Lai Ching-Chong - 1-22 Time elements and oscillatory fluctuations in the Keynesian macroeconomic system
by Murakami Hiroki - 1-22 A Markov-switching regression model with non-Gaussian innovations: estimation and testing
by De Angelis Luca & Viroli Cinzia - 1-28 Semi-global solutions to DSGE models: perturbation around a deterministic path
by Ajevskis Viktors - 1-29 Forecast accuracy of a BVAR under alternative specifications of the zero lower bound
by Berg Tim Oliver
February 2017, Volume 21, Issue 1
- 1-2 Introduction: recent developments of switching models for financial data
by Dufrénot Gilles & Jawadi Fredj - 3-29 On the estimation of regime-switching Lévy models
by Chevallier Julien & Goutte Stéphane - 31-45 RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis
by Meng Ming & Lee Junsoo & Payne James E. - 47-63 Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
by Chlibi Souhir & Jawadi Fredj & Sellami Mohamed - 65-80 Specification analysis in regime-switching continuous-time diffusion models for market volatility
by Bu Ruijun & Cheng Jie & Hadri Kaddour - 81-97 A semiparametric nonlinear quantile regression model for financial returns
by Avdulaj Krenar & Barunik Jozef - 99-116 A model of the euro-area yield curve with discrete policy rates
by Renne Jean-Paul
December 2016, Volume 20, Issue 5
- 495-527 Steady-state priors and Bayesian variable selection in VAR forecasting
by Louzis Dimitrios P. - 529-547 Dating US business cycles with macro factors
by Fossati Sebastian - 549-565 Effects of filtering data on testing asymmetry in threshold autoregressive models
by Li Jing - 567-586 The place of gold in the cross-market dependencies
by Aboura Sofiane & Chevallier Julien & Jammazi Rania & Tiwari Aviral Kumar - 587-606 Li-Yorke chaos in models with backward dynamics
by Stockman David R. - 607-621 Hopf bifurcation in an overlapping generations resource economy with endogenous population growth rate
by Fazlıoğlu Burcu & Sağlam Hüseyin Çağrı & Yüksel Mustafa Kerem
September 2016, Volume 20, Issue 4
- 343-346 Introduction to Studies in Nonlinear Dynamics & Econometrics Issue in Honor of James B. Ramsey
by Rothman Philip - 347-364 Testing constancy of unconditional variance in volatility models by misspecification and specification tests
by Silvennoinen Annastiina & Teräsvirta Timo - 365-375 On the estimation of short memory components in long memory time series models
by Baillie Richard T. & Kapetanios George - 377-398 Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
by Ericsson Neil R. - 399-419 Grain prices, oil prices, and multiple smooth breaks in a VAR
by Enders Walter & Jones Paul - 421-440 A non-linear forecast combination procedure for binary outcomes
by Lahiri Kajal & Yang Liu - 441-453 Oil-price density forecasts of US GDP
by Ravazzolo Francesco & Rothman Philip - 455-475 Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
by Jensen Mark J. - 477-493 Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries
by Gallegati Marco & Gallegati Mauro & Ramsey James B. & Semmler Willi
June 2016, Volume 20, Issue 3
- 211-231 Structural changes in inflation dynamics: multiple breaks at different dates for different parameters
by Eo Yunjong - 233-249 Price discovery in the markets for credit risk: a Markov switching approach
by Dimpfl Thomas & Peter Franziska J. - 251-277 House prices and monetary policy
by Brito Paulo & Marini Giancarlo & Piergallini Alessandro - 279-300 Estimating stochastic volatility models using realized measures
by Bekierman Jeremias & Gribisch Bastian - 301-324 Public debt and macroeconomic activity: a predictive analysis for advanced economies
by Baglan Deniz & Yoldas Emre - 325-341 Information criteria for nonlinear time series models
by Rinke Saskia & Sibbertsen Philipp
April 2016, Volume 20, Issue 2
- 107-121 Testing cointegration in quantile regressions with an application to the term structure of interest rates
by Kuriyama Nina - 123-139 Multi-criteria classification for pricing European options
by Gradojevic Nikola - 141-157 Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification
by Wiriyawit Varang & Wong Benjamin - 159-183 Common time variation of parameters in reduced-form macroeconomic models
by Stevanovic Dalibor - 185-198 Equilibrium pricing of currency options under a discontinuous model in a two-country economy
by Xing Yu & Yang Xiaoping - 199-210 Revisiting the statistical specification of near-multicollinearity in the logistic regression model
by Atems Bebonchu & Bergtold Jason
February 2016, Volume 20, Issue 1
- 1-18 Are US real house prices stationary? New evidence from univariate and panel data
by Zhang Jing & de Jong Robert & Haurin Donald - 19-36 Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
by Lee Kyungsub - 37-56 Outliers and persistence in threshold autoregressive processes
by Ahmad Yamin & Donayre Luiggi - 57-74 Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
by Cuestas Juan Carlos & Gil-Alana Luis Alberiko - 75-96 Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes
by Tzagkarakis George & Dionysopoulos Thomas & Achim Alin - 97-105 Selecting the tuning parameter of the ℓ1 trend filter
by Yamada Hiroshi & Yoon Gawon
December 2015, Volume 19, Issue 5
- 531-559 Fourier inversion formulas for multiple-asset option pricing
by Feunou Bruno & Tafolong Ernest - 561-584 Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
by Nonejad Nima - 585-608 Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests
by Saafi Sami & Farhat Abdeljelil & Haj Mohamed Meriem Bel - 609-624 Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the Euro area
by Bekiros Stelios & Nguyen Duc Khuong & Uddin Gazi Salah & Sjö Bo - 625-655 Amplitude and phase synchronization of European business cycles: a wavelet approach
by Bruzda Joanna - 657-668 On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing
by Bampinas Georgios & Panagiotidis Theodore - 669-689 Stock market’s reaction to money supply: a nonparametric analysis
by Taamouti Abderrahim
September 2015, Volume 19, Issue 4
- 393-395 A video interview of James Stock
by Mizrach Bruce - 397-413 More powerful cointegration tests with non-normal errors
by Lee Hyejin & Lee Junsoo & Im Kyungso - 415-443 Asset pricing with flexible beliefs
by Axioglou Christos & Skouras Spyros - 445-467 Improving model performance with the integrated wavelet denoising method
by Chen Yi-Ting & Sun Edward W. & Yu Min-Teh - 469-481 Noncausality and inflation persistence
by Lanne Markku - 483-500 A triple-threshold leverage stochastic volatility model
by Wu Xin-Yu & Zhou Hai-Lin - 501-529 Estimating dynamic copula dependence using intraday data
by Grossmass Lidan & Poon Ser-Huang
June 2015, Volume 19, Issue 3
- 249-283 Bank characteristics and the interbank money market: a distributional approach
by Iori Giulia & Kapar Burcu & Olmo Jose - 285-315 State-dependent effects of fiscal policy
by Fazzari Steven M. & Morley James & Panovska Irina - 317-337 Panel conditional and multinomial logit with time-varying parameters
by Lee Myoung-jae - 339-353 Testing for co-nonlinearity
by Hungnes Håvard - 355-376 Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand
by Lieb Lenard & Candelon Bertrand - 377-391 Can we use seasonally adjusted variables in dynamic factor models?
by Camacho Maximo & Lovcha Yuliya & Quiros Gabriel Perez
April 2015, Volume 19, Issue 2
- 107-136 Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
by Bekiros Stelios & Paccagnini Alessia - 137-159 The limit distribution of evolving strategies in financial markets
by Chiarella Carl & Di Guilmi Corrado - 161-182 The changing dynamics of US inflation persistence: a quantile regression approach
by Wolters Maik H. & Tillmann Peter - 183-207 The effects of monetary policy regime shifts on the term structure of interest rates
by Abdymomunov Azamat & Kang Kyu Ho - 209-216 Endogenous technical change, employment and distribution in the Goodwin model of the growth cycle
by Tavani Daniele & Zamparelli Luca - 227-247 Do monetary policy shocks generate TAR or STAR dynamics in output?
by Donayre Luiggi
February 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
December 2014, Volume 18, Issue 5
- 1-13 A growth model with qualities, varieties, and human capital: stability and transitional dynamics
by Sequeira Tiago Neves & Ferreira-Lopes Alexandra & Gomes Orlando - 1-14 Functional cointegration: definition and nonparametric estimation
by Banerjee Anurag & Pitarakis Jean-Yves - 1-21 Nonlinearity, heterogeneity and unobserved effects in the carbon dioxide emissions-economic development relation for advanced countries
by Musolesi Antonio & Mazzanti Massimiliano - 1-23 A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
by Ignatieva Katja - 1-24 Real vs. nominal cycles: a multistate Markov-switching bi-factor approach
by Leiva-Leon Danilo
September 2014, Volume 18, Issue 4
- 1-15 Forecast densities for economic aggregates from disaggregate ensembles
by Ravazzolo Francesco & Vahey Shaun P. - 1-16 An extensive study on Markov switching models with endogenous regressors
by Wang Xia & Shang Yuhuang & Zheng Tingguo - 1-20 Construction, management, and performance of sparse Markowitz portfolios
by Henriques Julie & Ortega Juan-Pablo - 1-25 Do food commodity prices have asymmetric effects on euro-area inflation?
by Porqueddu Mario & Venditti Fabrizio - 1-38 The effect of round-off error on long memory processes
by La Spada Gabriele & Lillo Fabrizio
May 2014, Volume 18, Issue 3
- 1-16 Inequality-growth nexus along the development process
by Lin Yi-Chen & Huang Ho-Chuan (River) & Yeh Chih-Chuan - 1-18 Inventories, business cycles, and variable capital utilization
by Engelhardt Lucas M. - 1-20 The effects of the monetary policy stance on the transmission mechanism
by Galvao Ana Beatriz & Marcellino Massimiliano - 1-27 Estimating VAR-MGARCH models in multiple steps
by Carnero M. Angeles & Eratalay M. Hakan - 1-30 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 - 1-37 Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function
by Da Fonseca José & Grasselli Martino & Ielpo Florian
April 2014, Volume 18, Issue 2
- 1-12 Saddle-node bifurcations in an optimal growth model with preferences for wealth habit
by Sağlam Çağri & Turan Agah & Turan Hamide - 1-15 Are income differences within the OECD diminishing? Evidence from Fourier unit root tests
by King Alan & Ramlogan-Dobson Carlyn - 1-15 Fiscal policy in the BRICs
by Jawadi Fredj & Mallick Sushanta K. & Sousa Ricardo M. - 1-20 Forecasting trading volume in the Chinese stock market based on the dynamic VWAP
by Ye Xunyu & Yan Rui & Li Handong - 1-22 Assessing the quality of volatility estimators via option pricing
by Sanfelici Simona & Uboldi Adamo - 1-28 Time-varying fiscal policy in the US
by Pereira Manuel Coutinho & Lopes Artur Silva
February 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
December 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
September 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
May 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
April 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.
February 2013, Volume 17, Issue 1
- 1-20 Forecast uncertainty and the Bank of England’s interest rate decisions
by Schultefrankenfeld Guido