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January 2012, Volume 16, Issue 1
- 1-27 Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty
by Clements Michael P. - 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 - 1-29 Band-Limited Stochastic Processes in Discrete and Continuous Time
by Pollock D.S.G. - 1-33 The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach
by Chung Y. Peter & Zhou Zhong-guo
September 2011, Volume 15, Issue 4
- 1-13 Constrained k-class Estimators in the Presence of Weak Instruments
by Iglesias Emma M. - 1-21 A Computationally Practical Robust Simulation Estimator for Dynamic Panel Tobit Models
by Chang Sheng-Kai - 1-25 Stages of Economic Development in an Innovation-Education Growth Model
by Gómez Manuel A. - 1-32 Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
by Billio Monica & Casarin Roberto - 1-43 Panel Cointegration Rank Testing with Cross-Section Dependence
by Carrion-i-Silvestre Josep Lluis & Surdeanu Laura - 1-55 Early Detection Techniques for Market Risk Failure
by Olmo Jose & Pouliot William
May 2011, Volume 15, Issue 3
- 1-21 Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
by Yang Minxian - 1-23 Debt Sustainability in Selected Euro Area Countries: Empirical Evidence Estimating Time-Varying Parameters
by Fincke Bettina & Greiner Alfred - 1-23 Semi-Parametric Forecasting of Realized Volatility
by Becker Ralf & Clements Adam E & Hurn Stan - 1-26 Purchasing Power Parity Analyzed from a Continuous-Time Model
by Nicolau João - 1-28 Extracting the Cyclical Component in Hours Worked
by Bernardi Mauro & Della Corte Giuseppe & Proietti Tommaso - 1-33 International Output Convergence, Breaks, and Asymmetric Adjustment
by Christopoulos Dimitris K & Leon-Ledesma Miguel A.
March 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 - 1-25 Contemporaneous-Threshold Smooth Transition GARCH Models
by Dueker Michael J. & Psaradakis Zacharias & Sola Martin & Spagnolo Fabio - 1-28 Nonparametric Testing for Linearity in Cointegrated Error-Correction Models
by Seo Byeongseon - 1-28 Filtering Time Series with Penalized Splines
by Kauermann Goeran & Krivobokova Tatyana & Semmler Willi - 1-37 Alternative Estimators of Long-Range Dependence
by Fernandez Viviana - 1-43 Real-Time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty
by Flamini Alessandro & Milas Costas
December 2010, Volume 15, Issue 1
- 1-12 Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding
by Aparicio Teresa & Pozo Eduardo F. & Saura Dulce - 1-19 Testing the Martingale Property of Exchange Rates: A Replication
by Belaire-Franch Jorge & Contreras Dulce - 1-25 Spurious Regressions of Stationary AR(p) Processes with Structural Breaks
by Chu Ba & Kozhan Roman - 1-29 Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach
by Pérez-Alonso Alicia & Di Sanzo Silvestro - 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
September 2010, Volume 14, Issue 4
- 1-23 A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions
by McElroy Tucker S - 1-34 Covariate Measurement Error: Bias Reduction under Response-Based Sampling
by Ramalho Esmeralda A. - 1-38 Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model
by Yang Fuyu & Leon-Gonzalez Roberto - 1-42 Fundamental and Behavioural Drivers of Electricity Price Volatility
by Karakatsani Nektaria V & Bunn Derek W. - 1-43 Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models
by Maki Daiki - 1-56 Skew-Normal Mixture and Markov-Switching GARCH Processes
by Haas Markus
September 2010, Volume 14, Issue 3
- 1-21 Conditional Skewness, Kurtosis, and Density Specification Testing: Moment-Based versus Nonparametric Tests
by Ergun A. Tolga & Jun Jongbyung
May 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 - 1-30 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 - 1-35 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 - 1-40 Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
by Pavlidis Efthymios G & Paya Ivan & Peel David A
March 2010, Volume 14, Issue 2
- 1-20 Estimating the Term Premium by a Markov Switching Model with ARMA-GARCH Errors
by Yoo Byoung Hark - 1-26 Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model
by Huang Dashan & Yu Baimin & Lu Zudi & Fabozzi Frank J. & Focardi Sergio & Fukushima Masao - 1-31 Synchronization and On-Off Intermittency Phenomena in a Market Model with Complementary Goods and Adaptive Expectations
by Bignami Fernando & Agliari Anna - 1-32 Testing for Asymmetric Dependence
by Manner Hans - 1-50 Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk
by Dark Jonathan Graeme
December 2009, Volume 14, Issue 1
- 1-27 On Justifications for the ad hoc Black-Scholes Method of Option Pricing
by Berkowitz Jeremy - 1-31 Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated Innovations
by Sinclair Tara M - 1-33 Nonlinear Impacts of International Business Cycles on the U.K. -- A Bayesian Smooth Transition VAR Approach
by Gefang Deborah & Strachan Rodney - 1-37 The Sticky Information Macro Model: Beyond Perfect Foresight
by Gomes Orlando - 1-38 Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times
by Laakkonen Helinä & Lanne Markku
September 2009, Volume 13, Issue 4
- 1-23 Changes in U.S. Inflation Persistence
by Kang Kyu Ho & Kim Chang-Jin & Morley James - 1-25 Monetary Independence under Floating Exchange Rates: Evidence Based on International Breakeven Inflation Rates
by Herwartz Helmut & Roestel Jan - 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 - 1-29 Threshold Effects of Dismissal Protection Regulation and the Emergence of Temporary Work Agencies
by Chen Yu-Fu & Funke Michael - 1-52 A Non-Parametric Investigation of Risk Premia
by Peroni Chiara
May 2009, Volume 13, Issue 3
- 1-18 Inspecting the Poverty-Trap Mechanism: A Quantile Regression Approach
by Krüger Jens J. - 1-30 Modeling Jump and Continuous Components in the Volatility of Oil Futures
by Tseng Tseng-Chan & Chung Huimin & Huang Chin-Sheng - 1-32 Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
by Rombouts Jeroen V. K. & Bouaddi Mohammed - 1-35 Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization
by Dermoune Azzouz & Djehiche Boualem & Rahmania Nadji - 1-36 Asymmetry in Stochastic Volatility Models: Threshold or Correlation?
by Smith Daniel R
May 2009, Volume 13, Issue 2
- 1-12 The J2 Status of "Chaos" in Period Macroeconomic Models
by Flaschel Peter & Proaño Christian R. - 1-20 Nonlinearity between Inequality and Growth
by Lin Shu-Chin & Huang Ho-Chuan & Kim Dong-Hyeon & Yeh Chih-Chuan - 1-21 Discovering Hidden Structures Using Mixture Models: Application to Nonlinear Time Series Processes
by Shahbaba Babak - 1-30 Finite Sample Theory of QMLEs in ARCH Models with an Exogenous Variable in the Conditional Variance Equation
by Iglesias Emma M - 1-30 Testing for Conditional Heteroscedasticity in the Components of Inflation
by Broto Carmen & Ruiz Esther - 1-33 A Component GARCH Model with Time Varying Weights
by Bauwens Luc & Storti Giuseppe
March 2009, Volume 13, Issue 1
- 1-20 Modelling Good and Bad Volatility
by Pelagatti Matteo M - 1-21 (Un)anticipated Technological Change in an Endogenous Growth Model
by Conway Bruce A & Rosenblatt-Wisch Rina & Schenk-Hoppé Klaus Reiner - 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 - 1-24 Multi-Market Direction-of-Change Modeling Using Dependence Ratios
by Anatolyev Stanislav - 1-41 Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate
by Choi Seungmoon
December 2008, Volume 12, Issue 4
- 1-18 The Nonlinear Dynamics of Foreign Reserves and Currency Crises
by Chong Terence T. L. & He Qing & Hinich Melvin J - 1-31 Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life
by Lo Ming Chien - 1-32 The Consumption-Wealth Ratio under Asymmetric Adjustment
by Gabriel Vasco J. & Alexandre Fernando & Bação Pedro - 1-34 Happiness due to Consumption and its Increases, Wealth and Status
by Wirl Franz & Novak Andreas J. & Hof Franz X. - 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 - 1-37 The Dynamics of Mutual Funds and Market Timing Measurement
by Matallin-Saez Juan Carlos
September 2008, Volume 12, Issue 3
- 1-11 Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
by Granger Clive W.J. - 1-18 Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry
by Rothman Philip A - 1-20 Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?
by Kim Chang-Jin & Kim Yunmi - 1-24 A Powerful Test for Linearity When the Order of Integration is Unknown
by Harvey David I & Leybourne Stephen J & Xiao Bin - 1-27 Optimal Test for Markov Switching GARCH Models
by Hu Liang & Shin Yongcheol - 1-29 Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths
by Hultblad Brigitta & Karlsson Sune - 1-31 Markov-Switching GARCH Modelling of Value-at-Risk
by Sajjad Rasoul & Coakley Jerry & Nankervis John C - 1-46 Threshold Adjustment of Deviations from the Law of One Price
by Juvenal Luciana & Taylor Mark P.
May 2008, Volume 12, Issue 2
- 1-5 A Video Interview with James Hamilton
by Mizrach Bruce - 1-21 Unemployment and Economic Growth Cycles
by Roa Maria J & Vazquez Francisco Jose & Saura Dulce - 1-25 Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps
by Chan Wing Hong - 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. - 1-40 On the Robustness of Symmetry Tests for Stock Returns
by Chen Yi-Ting & Lin Chang-Ching - 1-42 Option Valuation with Normal Mixture GARCH Models
by Badescu Alex & Kulperger Reg & Lazar Emese
March 2008, Volume 12, Issue 1
- 1-18 Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics
by Nesmith Travis D & Jones Barry E - 1-21 Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem
by Maringer Dietmar G. & Meyer Mark - 1-21 Rank-based Entropy Tests for Serial Independence
by Diks Cees & Panchenko Valentyn - 1-26 Evaluation of Surrogate and Bootstrap Tests for Nonlinearity in Time Series
by Kugiumtzis Dimitris - 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
December 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 - 1-25 Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models
by Michis Antonis & Sapatinas Theofanis - 1-35 Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules
by Basu Deepankar & de Jong Robert M - 1-39 Jump-and-Rest Effect of U.S. Business Cycles
by Camacho Maximo & Perez Quiros Gabriel - 1-41 Movements in the Equity Premium: Evidence from a Time-Varying VAR
by De Santis Massimiliano
September 2007, Volume 11, Issue 3
- 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 - 1-25 Wavelet Variance Analysis of Output in G-7 Countries
by Gallegati Marco & Gallegati Mauro - 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 - 1-32 Which Are the World's Wobblier Currencies? Reference Exchange Rates and Their Variation
by Bowden Roger J. & Zhu Jennifer Z - 1-33 Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution
by Kiliç Rehim - 1-34 Detecting Multiple Changes in Persistence
by Leybourne Stephen & Kim Tae-Hwan & Taylor A.M. Robert
May 2007, Volume 11, Issue 2
- 1-12 The Dynamic Behaviour of an Endogenous Growth Model with Public Capital and Pollution
by Greiner Alfred - 1-23 Change-Points in U.S. Business Cycle Durations
by Davig Troy - 1-24 A Class Test for Fractional Integration
by Hinich Melvin J. & Chong Terence T.L. - 1-34 Equilibrium Efficiency in the Ramsey Model with Habit Formation
by Gómez Manuel A. - 1-39 Volatility Components and Long Memory-Effects Revisited
by Haas Markus - 1-42 A Dynamic Semiparametric Proportional Hazard Model
by Gerhard Frank & Hautsch Nikolaus
March 2007, Volume 11, Issue 1
- 1-27 Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified
by Ma Jun & Nelson Charles R & Startz Richard - 28-55 Gains from Synchronization
by Barnett William A & Dalkir Mehmet S - 56-90 Time Series Models for Forecasting: Testing or Combining?
by Chen Zhuo & Yang Yuhong - 91-107 Short-Run Patience and Wealth Inequality
by Maliar Lilia & Maliar Serguei - 108-144 A Smooth Transition Autoregressive Conditional Duration Model
by Chiang Min-Hsien - 145-162 Fractionally Integrated Long Horizon Regressions
by Lee Jin - 163-199 A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests
by Liu Wei & Maynard Alex S
December 2006, Volume 10, Issue 4
- 1-17 Nonlinear Expectation Formation, Endogenous Business Cycles and Stylized Facts
by Westerhoff Frank H. - 1-20 Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom
by Taylor Mark P. & Davradakis Emmanuel - 1-24 Bayesian Analysis of Structural Effects in an Ordered Equation System
by Li Mingliang & Tobias Justin L - 1-26 Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?
by Trifi Amine - 1-34 The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
by Haug Alfred A & Siklos Pierre L - 1-35 Measuring the Interaction of Wage and Price Phillips Curves for the U.S. Economy
by Chen Pu & Flaschel Peter - 1-37 A Switching ARCH Model for the German DAX Index
by Kaufmann Sylvia & Scheicher Martin
September 2006, Volume 10, Issue 3
- 1-15 Randomly Modulated Periodic Signals in Alberta's Electricity Market
by Hinich Melvin J. & Serletis Apostolos - 1-16 Analysis and Modelling of Electricity Futures Prices
by Borovkova Svetlana & Geman Helyette - 1-17 Estimating Trends in Weather Series: Consequences for Pricing Derivatives
by Jewson Stephen & Penzer Jeremy - 1-20 Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets
by Serletis Apostolos & Shahmoradi Akbar - 1-24 Risk Premia in Electricity Forward Prices
by Diko Pavel & Lawford Steve & Limpens Valerie - 1-24 Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
by Haldrup Niels & Nielsen Morten Ø. - 1-25 Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market
by Stevenson Maxwell J & Moreira do Amaral Luiz Felipe & Peat Maurice - 1-28 Analytical Approximation for the Price Dynamics of Spark Spread Options
by Benth Fred E & Saltyte-Benth Jurate - 1-28 The Nature of Power Spikes: A Regime-Switch Approach
by De Jong Cyriel - 1-36 Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models
by Misiorek Adam & Trueck Stefan & Weron Rafal
May 2006, Volume 10, Issue 2
- 1-6 Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"
by Basci Erdem & Caner Mehmet & Yoon Gawon - 1-21 Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?
by Calza Alessandro & Sousa João - 1-25 On the Power of Absolute Convergence Tests
by Chumacero Rómulo A. - 1-31 Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
by Psaradakis Zacharias & Sola Martin & Spagnolo Fabio - 1-43 Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
by Martins-Filho Carlos & Yao Feng - 1-52 Unemployment and Inflation Regimes
by Warne Anders & Vredin Anders
March 2006, Volume 10, Issue 1
- 1-18 Heterogeneous Consumption Goods, Sectoral Change, and Economic Growth
by Steger Thomas M. - 1-21 Indexing Speculative Pressure on an Exchange Rate Regime: A Case Study of Macedonia
by Banaian King & Lo Ming Chien - 1-23 Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
by Davidson James E. H. & Peel David A & Byers J. David - 1-27 On Robust Trend Function Hypothesis Testing
by Harvey David I & Leybourne Stephen J & Taylor A.M. Robert - 1-30 Model Selection Uncertainty and Detection of Threshold Effects
by Pitarakis Jean-Yves - 1-34 Non-linear Real Exchange Rate Effects in the UK Labour Market
by Milas Costas & Legrenzi Gabriella
December 2005, Volume 9, Issue 4
- 1-15 Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches
by Hinich Melvin J & Mendes Eduardo M & Stone Lewi - 1-21 Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test
by Basci Erdem & Caner Mehmet - 1-37 The International CAPM and a Wavelet-Based Decomposition of Value at Risk
by Fernandez Viviana P - 1-38 Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance
by Conrad Christian & Karanasos Menelaos - 1-43 Can GARCH Models Capture Long-Range Dependence?
by Maheu John - 1-55 Forecasting Stock Market Volatility with Regime-Switching GARCH Models
by Marcucci Juri
September 2005, Volume 9, Issue 3
- 1-10 Comment on "Investigating Nonlinearity"
by Hamilton James D. - 1-14 An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes
by Berument Hakan & Akdi Yilmaz & Atakan Cemal - 1-33 Bayesian Modeling of School Effects Using Hierarchical Models with Smoothing Priors
by Li Mingliang & Tobias Justin - 1-35 Some New Results on Industrial Sector Mode-Locking and Business Cycle Formation
by Süssmuth Bernd & Woitek Ulrich - 1-43 Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression Model
by Bond Derek & Harrison Michael J. & O'Brien Edward J.
June 2005, Volume 9, Issue 2
- 1-9 A Note on the Hiemstra-Jones Test for Granger Non-causality
by Diks Cees & Panchenko Valentyn - 1-18 Economic Growth and Revealed Social Preference
by Day Richard H. & Yang Chengyu - 1-24 What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study
by Bessec Marie & Bouabdallah Othman - 1-30 Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity
by Smallwood Aaron D - 1-32 A Test of the Martingale Hypothesis
by Park Joon Y. & Whang Yoon-Jae - 1-38 Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model
by Goldman Elena & Tsurumi Hiroki - 1-38 Solving Ramsey Problems with Nonlinear Projection Methods
by Gapen Michael T. & Cosimano Thomas F.
March 2005, Volume 9, Issue 1
- 1-5 A Video Interview of Buz Brock
by Mizrach Bruce - 1-15 Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices
by Hristova Daniela - 1-15 Inflation Dynamics of Turkey: A Structural Estimation
by Yazgan M. Ege & Yilmazkuday Hakan - 1-20 Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures
by Ramalho Joaquim J.S. - 1-20 Transitional Dynamics in an Endogenous Growth Model with Physical Capital, Human Capital and R&D
by Gómez Manuel A - 1-22 Wavelet Transforms and Commodity Prices
by Connor Jeff & Rossiter Rosemary - 1-36 A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
by Ivanov Ventzislav & Kilian Lutz - 1-43 Nonlinear Error-Correction Models for the FF/DM Rate
by Baghli Mustapha
December 2004, Volume 8, Issue 4
- 1-9 Linearizations and Equilibrium Correction Models
by Bårdsen Gunnar & Hurn Stan & Lindsay Kenneth A. - 1-11 An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity
by Brannas Kurt & Nordstrom Jonas - 1-18 Combining Forecasts with Nonparametric Kernel Regressions
by Li Fuchun & Tkacz Greg - 1-25 A Stochastic Version of Zeeman's Market Model
by Rheinlaender Thorsten & Steinkamp Marcus - 1-26 A New Test of the Martingale Difference Hypothesis
by Kuan Chung-Ming & Lee Wei-Ming - 1-28 Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets
by Robles-Fernandez M. Dolores & Nieto Luisa & Fernandez M. Angeles
September 2004, Volume 8, Issue 3
- 1-23 Working Time and Employment Under Uncertainty
by Chen Yu-Fu & Funke Michael - 1-24 Neural Tests for Conditional Heteroskedasticity in ARCH-M Models
by de Peretti Christian & Siani Carole - 1-28 A Nonparametric Dimension Test of the Term Structure
by Gil-Bazo Javier & Rubio Gonzalo - 1-33 Household Income Dynamics in Two Transition Economies
by Lokshin Michael & Ravallion Martin - 1-34 Nonlinear Monetary Policy Rules: Some New Evidence for the U.S
by Dolado Juan & Pedrero Ramón María-Dolores & Ruge-Murcia Francisco J. - 1-35 The Long Memory of the Efficient Market
by Lillo Fabrizio & Farmer J. Doyne
May 2004, Volume 8, Issue 2
- 1-5 Introduction
by Dagum Estela Bee & Proietti Tommaso - 1-9 On the Stationarity of First-order Nonlinear Time Series Models: Some Developments
by Fonseca Giovanni - 1-15 Analyzing Financial Time Series through Robust Estimators
by Grossi Luigi - 1-16 Experimental Design for Time-Dependent Models with Correlated Observations
by Ucinski Dariusz & Atkinson Anthony C. - 1-17 Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
by Lee Kai Ming & Koopman Siem Jan - 1-18 Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing
by Dagum Estela Bee & Luati Alessandra - 1-19 Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns
by Cleveland William P. - 1-19 GARCH-type Models with Generalized Secant Hyperbolic Innovations
by Palmitesta Paola & Provasi Corrado - 1-19 Statistical Tests for Lyapunov Exponents of Deterministic Systems
by Wolff Rodney & Yao Qiwei & Tong Howell - 1-20 Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation
by Vidoni Paolo - 1-20 Mixture Processes for Financial Intradaily Durations
by De Luca Giovanni & Gallo Giampiero M.