De Gruyter
Studies in Nonlinear Dynamics & Econometrics
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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
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
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
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
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
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
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
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