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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 & Wilfling Bernd & Lau Chi Keung & 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 & Uddin Gazi Salah & Troster Victor
December 2021, Volume 25, Issue 5
- 255-265 Recovering cointegration via wavelets in the presence of non-linear patterns
by Martínez Compains Jorge & Gençay Ramazan & Rodríguez Carreño Ignacio & 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 & Miller Stephen M. & Gupta Rangan - 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 & Vinh Vo Xuan & Shahzad Syed Jawad Hussain & Raza Naveed - 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 & Saura Dulce & Pozo Eduardo F. - 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 & Zubarev Andrey & Rybak Konstantin - 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 & Loungani Prakash & Semmler Willi - 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 & Shukur Ghazi & Månsson Kristofer - 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 - 1-18 An elementary business cycle mechanism: learning from Harrod and Kaldor
by Franke Reiner - 1-38 Variance reduction estimation for return models with jumps using gamma asymmetric kernels
by Song Yuping & Hou Weijie & Zhou Shengyi
September 2019, Volume 23, Issue 4
- 1-2 Business cycles and indeterminacy in economic models: a special issue in Honor of Professor Kazuo Nishimura
by Fujiwara Ippei & Yano Makoto - 1-8 Two-sided altruism as a motive for intergenerational transfer
by Fujiu Hiroshi & Yano Makoto - 1-10 Two-sided altruism and time inconsistency
by Aoki Takaaki & Yano Makoto & Nishimura Kazuo - 1-13 A new route to the rapid growth of the service sector: rise of the standard of living
by Takahashi Harutaka & Otsubo Kansho Piotr - 1-14 Competitive equilibrium cycles for small discounting in discrete-time two-sector optimal growth models
by Venditti Alain - 1-15 Pollution, carrying capacity and the Allee effect
by Bosi Stefano & Desmarchelier David - 1-18 Bubble on real estate: the role of altruism and fiscal policy
by Clain-Chamosset-Yvrard Lise & Seegmuller Thomas - 1-18 Optimal growth in the Robinson-Shinkai-Leontief model: the case of capital-intensive consumption goods
by Deng Liuchun & Fujio Minako & Khan M. Ali - 1-21 Hopf bifurcation and the existence and stability of closed orbits in three-sector models of optimal endogenous growth
by Nishimura Kazuo & Shigoka Tadashi
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