Studies in Nonlinear Dynamics and Econometrics Short Title: Stud. Nonlinear Dyn. Econom. Publisher: De Gruyter, Berlin ISSN: 1081-1826; 1558-3708/e Online: https://www.degruyter.com/journal/key/snde/html#issues Comments: Journal; Published electronic only from 1 (1996) - 16 (2012). Documents Indexed: 655 Publications (since 1996) References Indexed: 326 Publications with 12,889 References. all top 5 Latest Issues 27, No. 3 (2023) 27, No. 2 (2023) 27, No. 1 (2023) 26, No. 5 (2022) 26, No. 4 (2022) 26, No. 3 (2022) 26, No. 2 (2022) 26, No. 1 (2022) 25, No. 5 (2021) 25, No. 4 (2021) 25, No. 3 (2021) 25, No. 2 (2021) 25, No. 1 (2021) 24, No. 5 (2020) 24, No. 4 (2020) 24, No. 3 (2020) 24, No. 2 (2020) 24, No. 1 (2020) 23, No. 5 (2019) 23, No. 4 (2019) 23, No. 3 (2019) 23, No. 2 (2019) 23, No. 1 (2019) 22, No. 5 (2018) 22, No. 4 (2018) 22, No. 3 (2018) 22, No. 2 (2018) 22, No. 1 (2018) 21, No. 5 (2017) 21, No. 4 (2017) 21, No. 3 (2017) 21, No. 2 (2017) 21, No. 1 (2017) 20, No. 5 (2016) 20, No. 4 (2016) 20, No. 3 (2016) 20, No. 2 (2016) 20, No. 1 (2016) 19, No. 5 (2015) 19, No. 4 (2015) 19, No. 3 (2015) 19, No. 2 (2015) 19, No. 1 (2015) 18, No. 5 (2014) 18, No. 4 (2014) 18, No. 3 (2014) 18, No. 2 (2014) 18, No. 1 (2014) 17, No. 5 (2013) 17, No. 4 (2013) 17, No. 3 (2013) 17, No. 2 (2013) 17, No. 1 (2013) 16, No. 5 (2012) 16, No. 4 (2012) 16, No. 3 (2012) 16, No. 2 (2012) 16, No. 1 (2012) 15, No. 4 (2011) 15, No. 3 (2011) 15, No. 2 (2011) 15, No. 1 (2011) 14, No. 4 (2010) 14, No. 3 (2010) 14, No. 2 (2010) 14, No. 1 (2010) 13, No. 4 (2009) 13, No. 3 (2009) 13, No. 2 (2009) 13, No. 1 (2009) 12, No. 4 (2008) 12, No. 3 (2008) 12, No. 2 (2008) 12, No. 1 (2008) 11, No. 4 (2007) 11, No. 3 (2007) 11, No. 2 (2007) 11, No. 1 (2007) 10, No. 4 (2006) 10, No. 3 (2006) 10, No. 2 (2006) 10, No. 1 (2006) 9, No. 4 (2005) 9, No. 3 (2005) 9, No. 2 (2005) 9, No. 1 (2005) 8, No. 4 (2004) 8, No. 3 (2004) 8, No. 2 (2004) 8, No. 1 (2004) 7, No. 4 (2003) 7, No. 3 (2003) 7, No. 2 (2003) 7, No. 1 (2003) 6, No. 4 (2003) 6, No. 3 (2002) 6, No. 2 (2002) 6, No. 1 (2002) 5, No. 4 (2002) 5, No. 3 (2001) ...and 16 more Volumes all top 5 Authors 8 Gupta, Rangan 8 Jawadi, Fredj 7 Semmler, Willi 6 Chiarella, Carl 6 Gencay, Ramazan 5 Fabozzi, Frank J. 5 GĂłmez, Manuel A. 5 Lee, Junsoo 5 Sola, Martin 5 Teräsvirta, Timo 4 Barnett, William Arnold 4 Bekiros, Stelios D. 4 Funke, Michael 4 Leybourne, Stephen J. 4 Morley, James C. 4 Nishimura, Kazuo 4 Pavlidis, Efthymios G. 4 Peel, David A. 4 Proietti, Tommaso 4 Psaradakis, Zacharias 4 Rachev, Svetlozar T. 4 Ramsey, James B. 4 Rothman, Philip 4 Taylor, Mark P. 4 Uddin, Gazi Salah 4 Westerhoff, Frank H. 3 Bec, FrĂ©dĂ©rique 3 Belaire-Franch, Jorge 3 Chan, Jennifer So Kuen 3 Chen, Yiting 3 Chen, Yufu 3 Chevallier, Julien 3 Chong, Terence Tai-Leung 3 Chumacero, RĂłmulo A. 3 di Guilmi, Corrado 3 Dimpfl, Thomas 3 Donayre, Luiggi 3 DufrĂ©not, Gilles 3 Enders, Walter 3 Escribano, Alvaro 3 Flaschel, Peter 3 Franses, Philip Hans 3 Gallegati, Mauro 3 Greiner, Alfred 3 Haas, Markus 3 Harvey, David I. 3 Hinich, Melvin J. 3 Hurn, Stan 3 Iglesias, Emma M. 3 Ignatieva, Katja 3 Jensen, Mark J. 3 Kapetanios, George 3 Martin, Vance L. 3 Milas, Costas 3 Olmo, Jose 3 Paya, Ivan 3 Serletis, Apostolos 3 Spagnolo, Fabio 3 Stengos, Thanasis 3 Yamada, Hiroshi 3 Yano, Makoto 3 Yazgan, M. Ege 2 Ahmad, Yamin S. 2 Aknouche, Abdelhakim 2 Anatolyev, Stanislav 2 BĂĄrdsen, Gunnar 2 Barunik, Jozef 2 Beylunioglu, Fuat C. 2 Blazsek, Szabolcs 2 Boldin, Michael D. 2 Boubaker, Heni 2 Bradley, Michael D. 2 Brannas, Kurt 2 Canarella, Giorgio 2 Caner, Mehmet 2 Carnero, M. Angeles 2 Chan, Joshua C. C. 2 Chang, Sheng-Kai 2 Chaubal, Aditi 2 Chen, Haiqiang 2 Chen, Pu 2 Chu, Ba 2 Chung, Huimin 2 Coakley, Jerry 2 Cuestas, Juan Carlos 2 Cuñado, Juncal 2 Dagum, Estelle Bee 2 Dahl, Christian M. 2 de Jong, Robert M. 2 Dimitrakopoulos, Stefanos 2 Dolado, Juan J. 2 Driffill, John 2 Eo, Yunjong 2 Fazzari, Steven Mark 2 Fernandez, Viviana P. 2 Feunou, Bruno 2 Flamini, Alessandro 2 Fountas, Stilianos 2 Franke, Reiner 2 Gabriel, Vasco J. ...and 968 more Authors all top 5 Fields 505 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 452 Statistics (62-XX) 31 Numerical analysis (65-XX) 11 Dynamical systems and ergodic theory (37-XX) 8 Probability theory and stochastic processes (60-XX) 7 General and overarching topics; collections (00-XX) 7 Harmonic analysis on Euclidean spaces (42-XX) 4 Operations research, mathematical programming (90-XX) 4 Systems theory; control (93-XX) 3 History and biography (01-XX) 2 Partial differential equations (35-XX) 1 Difference and functional equations (39-XX) 1 Functional analysis (46-XX) 1 Geophysics (86-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 316 Publications have been cited 1,075 times in 887 Documents Cited by ▼ Year ▼ Inference in TAR models. Zbl 1078.91558 Hansen, Bruce E. 46 1997 The long memory of the efficient market. Zbl 1081.91595 Lillo, Fabrizio; Farmer, J. Doyne 33 2004 Forecasting stock market volatility with regime-switching GARCH models. Zbl 1081.91535 Marcucci, Juri 31 2005 The decomposition of economic relationships by time scale using wavelets: expenditure and income. Zbl 1078.91572 Ramsey, James B.; Lampart, Camille 25 1998 Microeconomic models for long memory in the volatility of financial time series. Zbl 1079.91565 Kirman, Alan; Teyssière, Gilles 23 2002 Wavelets in economics and finance: past and future. Zbl 1080.91570 Ramsey, James B. 23 2002 Estimating the Wishart affine stochastic correlation model using the empirical characteristic function. Zbl 1329.91148 Da Fonseca, JosĂ©; Grasselli, Martino; Ielpo, Florian 20 2014 Smooth-transition GARCH models. Zbl 1078.91565 González-Rivera, Gloria 18 1998 GARCH for irregularly spaced financial data: the ACD-GARCH model. Zbl 1078.91564 Ghysels, Eric; Jasiak, Joanna 16 1998 Nonlinearities and cyclical behavior: the role of chartists and fundamentalists. Zbl 1080.91556 Westerhoff, Frank H.; Reitz, Stefan 16 2003 Non-linear models: where do we go next - time varying parameter models? Zbl 1193.91115 Granger, Clive W. J. 16 2008 Complex dynamics in the neoclassical growth model with differential savings and non-constant labor force growth. Zbl 1268.91108 Brianzoni, Serena; Mammana, Cristiana; Michetti, Elisabetta 12 2007 Experimental design for time-dependent models with correlated observations. Zbl 1082.62514 Ucinski, Dariusz; Atkinson, Anthony C. 12 2004 The nature of power spikes: a regime-switch approach. Zbl 1260.91173 De Jong, Cyriel 10 2006 Inference and forecasting for ARFIMA models with an application to US and UK inflation. Zbl 1081.91585 Doornik, JĂĽrgen A.; Ooms, Marius 10 2004 Nonlinear monetary policy rules: some new evidence for the U.S. Zbl 1081.91594 Dolado, Juan; Pedrero, RamĂłn MarĂa-Dolores; Ruge-Murcia, Francisco J. 10 2004 A note on the Hiemstra-Jones test for Granger non-causality. Zbl 1082.62510 Diks, Cees; Panchenko, Valentyn 10 2005 Point and interval forecasting of spot electricity prices: linear vs. non-linear time series models. Zbl 1260.91176 Misiorek, Adam; Trueck, Stefan; Weron, Rafal 9 2006 MCMC Bayesian estimation of a skew-GED stochastic volatility model. Zbl 1081.91523 Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide 9 2004 A practitioner’s guide to lag order selection for VAR impulse response analysis. Zbl 1081.91575 Ivanov, Ventzislav; Kilian, Lutz 9 2005 Regime-switching univariate diffusion models of the short-term interest rate. Zbl 1193.91171 Choi, Seungmoon 9 2009 Estimation of value-at-risk and expected shortfall based on nonlinear models of return dynamics and extreme value theory. Zbl 1225.62141 Martins-Filho, Carlos; Yao, Feng 8 2006 Estimating stochastic volatility models: a comparison of two importance samplers. Zbl 1081.91534 Lee, Kai Ming; Koopman, Siem Jan 8 2004 Multivariate skewed Student’s \(t\) copula in the analysis of nonlinear and asymmetric dependence in the German equity market. Zbl 1193.91183 Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan V.; Fabozzi, Frank J. 8 2008 Multivariate extension of the Hodrick-Prescott filter-optimality and characterization. Zbl 1194.62107 Dermoune, Azzouz; Djehiche, Boualem; Rahmania, Nadji 8 2009 Detecting multiple changes in persistence. Zbl 1268.91149 Leybourne, Stephen; Kim, Tae-Hwan; Taylor, A. M. Robert 7 2007 Stability analysis of continuous-time macroeconometric systems. Zbl 1078.91549 Barnett, William A.; He, Yijun 7 1999 An approximate wavelet MLE of short- and long-memory parameters. Zbl 1078.91566 Jensen, Mark J. 7 1999 Energy shocks and financial markets: nonlinear linkages. Zbl 1079.91523 Ciner, Cetin 7 2001 Time-varying betas help in asset pricing: the threshold CAPM. Zbl 1080.91528 Akdeniz, Levent; Altay-Salih, Aslihan; Caner, Mehmet 7 2003 The relationship between financial variables and real economic activity: evidence from spectral and wavelet analyses. Zbl 1080.91535 Kim, Sangbae; In, Francis Haeuck 7 2003 Modelling autoregressive processes with a shifting mean. Zbl 1194.62100 González, AndrĂ©s; Teräsvirta, Timo 7 2008 Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the euro area. Zbl 1506.62482 Bekiros, Stelios; Nguyen, Duc Khuong; Uddin, Gazi Salah; Sjö, Bo 7 2015 Interest rate setting and inflation targeting: evidence of a nonlinear Taylor rule for the United Kingdom. Zbl 1259.91086 Taylor, Mark P.; Davradakis, Emmanuel 6 2006 Issues of aggregation over time of conditional heteroscedastic volatility models: what kind of diffusion do we recover? Zbl 1260.91245 Trifi, Amine 6 2006 Spurious inference in the GARCH \((1,1)\) model when it is weakly identified. Zbl 1260.91186 Ma, Jun; Nelson, Charles R.; Startz, Richard 6 2007 Wavelet variance analysis of output in G-7 countries. Zbl 1268.91137 Gallegati, Marco; Gallegati, Mauro 6 2007 A check on the robustness of Hamilton’s Markov switching model approach to the economic analysis of the business cycle. Zbl 1078.91568 Boldin, Michael D. 6 1996 SIMANN: a global optimization algorithm using simulated annealing. Zbl 1078.91519 Goffe, William L. 6 1996 Asymptotic properties of some projection-based Robbins-Monro procedures in a Hilbert space. Zbl 1178.62089 Chen, Xiaohong; White, Halbert 6 2002 Asymmetries in monetary policy reaction function: evidence for U.S., French and German central banks. Zbl 1080.91548 Bec, FrĂ©dĂ©rique; Salem, MĂ©lika Ben; Collard, Fabrice 6 2002 Extensions of the forward search to time series. Zbl 1081.91592 Riani, Marco 6 2004 Mixture processes for financial intradaily durations. Zbl 1081.91526 De Luca, Giovanni; Gallo, Giampiero M. 6 2004 A component GARCH model with time varying weights. Zbl 1193.91168 Bauwens, Luc; Storti, Giuseppe 6 2009 Estimation of time varying skewness and kurtosis with an application to value at risk. Zbl 1194.62099 Dark, Jonathan Graeme 6 2010 Using transfer entropy to measure information flows between financial markets. Zbl 1506.62402 Dimpfl, Thomas; Peter, Franziska Julia 6 2013 Risk premia in electricity forward prices. Zbl 1260.91174 Diko, Pavel; Lawford, Steve; Limpens, Valerie 5 2006 A threshold model of real U.S. GDP and the problem of constructing confidence intervals in TAR models. Zbl 1268.91129 Enders, Walter; Falk, Barry L.; Siklos, Pierre 5 2007 Optimal cycles and chaos: a survey. Zbl 1078.91547 Nishimura, Kazuo; Sorger, Gerhard 5 1996 If nonlinear models cannot forecast, what use are they? Zbl 1078.91543 Ramsey, James B. 5 1996 Wavelet transforms and commodity prices. Zbl 1081.91515 Connor, Jeff; Rossiter, Rosemary 5 2005 Detecting nonlinearity in time series: surrogate and bootstrap approaches. Zbl 1081.91590 Hinich, Melvin J.; Mendes, Eduardo M.; Stone, Lewi 5 2005 Dual long memory in inflation dynamics across countries of the Euro area and the link between inflation uncertainty and macroeconomic performance. Zbl 1081.91574 Conrad, Christian; Karanasos, Menelaos 5 2005 Cointegration with structural breaks: an application to the Feldstein-Horioka puzzle. Zbl 1193.91116 Kejriwal, Mohitosh 5 2008 Markov-switching GARCH modelling of value-at-risk. Zbl 1193.91181 Sajjad, Rasoul; Coakley, Jerry; Nankervis, John C. 5 2008 Skew-normal mixture and Markov-switching GARCH processes. Zbl 1202.62117 Haas, Markus 5 2010 Beta autoregressive transition Markov-switching models for business cycle analysis. Zbl 1506.62487 Billio, Monica; Casarin, Roberto 5 2011 State-dependent effects of fiscal policy. Zbl 1506.62502 Fazzari, Steven M.; Morley, James; Panovska, Irina 5 2015 A smooth transition autoregressive conditional duration model. Zbl 1260.91183 Chiang, Min-Hsien 4 2007 Power properties of linearity tests for time series. Zbl 1078.91574 Teräsvirta, Timo 4 1996 Technical trading rules and the size of the risk premium in security returns. Zbl 1078.91541 Gencay, Ramazan; Stengos, Thanasis 4 1997 A fast algorithm for the BDS statistic. Zbl 1078.91559 LeBaron, Blake 4 1997 Avoiding the pitfalls: can regime-switching tests reliably detect bubbles? Zbl 1078.91531 van Norden, Simon; Vigfusson, Robert 4 1998 The Hodrick-Prescott filter, a generalization, and a new procedure for extracting an empirical cycle from a series. Zbl 1079.91559 Reeves, Jonathan J.; Blyth, Conrad A.; Triggs, Christopher M.; Small, John P. 4 2000 A graphical investigation of the size and power of the Granger-causality tests in integrated-cointegrated VAR systems. Zbl 1080.62536 Mantalos, Panagiotis 4 2000 On nonlinear, stochastic dynamics in economic and financial time series. Zbl 1079.91555 Schittenkopf, Christian; Dorffner, Georg; Dockner, Engelbert J. 4 2000 EVIM: a software package for extremel value analysis in MATLAB. Zbl 1079.91541 Gençay, Ramazan; Selçuk, Faruk; UlugĂĽlyagci, Abdurrahman 4 2001 Characterizing the degree of stability of nonlinear dynamic models. Zbl 1080.91547 Bask, Mikael; de Luna, Xavier 4 2002 Common persistent factors in inflation and excess nominal money growth and a new measure of core inflation. Zbl 1080.91554 Morana, Claudio 4 2002 Terror cycles. Zbl 1080.91574 Faria, Joao Ricardo 4 2003 Determinism in financial time series. Zbl 1080.91565 Small, Michael; Tse, Chi K. 4 2003 A new test of the martingale difference hypothesis. Zbl 1082.62539 Kuan, Chung-Ming; Lee, Wei-Ming 4 2004 A stochastic version of Zeeman’s market model. Zbl 1081.91517 Rheinlaender, Thorsten; Steinkamp, Marcus 4 2004 Solving Ramsey problems with nonlinear projection methods. Zbl 1081.91563 Gapen, Michael T.; Cosimano, Thomas F. 4 2005 What causes the forecasting failure of Markov-switching models? A Monte Carlo study. Zbl 1082.62525 Bessec, Marie; Bouabdallah, Othman 4 2005 Can GARCH models capture long-range dependence? Zbl 1082.62541 Maheu, John 4 2005 Option valuation with normal mixture GARCH models. Zbl 1193.91148 Badescu, Alex; Kulperger, Reg; Lazar, Emese 4 2008 Nonlinear impacts of international business cycles on the U.K. – a Bayesian smooth transition VAR approach. Zbl 1193.91088 Gefang, Deborah; Strachan, Rodney 4 2010 Synchronization and on-off intermittency phenomena in a market model with complementary goods and adaptive expectations. Zbl 1193.91054 Bignami, Fernando; Agliari, Anna 4 2010 Specifying smooth transition regression models in the presence of conditional heteroskedasticity of unknown form. Zbl 1194.62105 Pavlidis, Efthymios G.; Paya, Ivan; Peel, David A. 4 2010 Routes to complexity induced by constraints in Cournot oligopoly games with linear reaction functions. Zbl 1506.91089 Bischi, Gian Italo; Lamantia, Fabio 4 2012 A smooth transition long-memory model. Zbl 1506.62478 Aloy, Marcel; DufrĂ©not, Gilles; Tong, Charles Lai; Peguin-Feissolle, Anne 4 2013 Determining the number of global and country-specific factors in the euro area. Zbl 1506.62499 Dias, Francisco; Pinheiro, Maximiano; Rua, AntĂłnio 4 2013 Regime-switching cointegration. Zbl 1506.62515 Jochmann, Markus; Koop, Gary 4 2015 On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing. Zbl 1506.62480 Bampinas, Georgios; Panagiotidis, Theodore 4 2015 Estimating stochastic volatility models using realized measures. Zbl 1507.62313 Bekierman, Jeremias; Gribisch, Bastian 4 2016 On the estimation of regime-switching LĂ©vy models. Zbl 1507.62368 Chevallier, Julien; Goutte, StĂ©phane 4 2017 Nonlinear Taylor rules: evidence from a large dataset. Zbl 1507.62396 Ma, Jun; Olson, Eric; Wohar, Mark E. 4 2018 Instrumental-variables estimation in Markov switching models with endogenous explanatory variables: an application to the term structure of interest rates. Zbl 1178.91207 Psaradakis, Zacharias; Sola, Martin; Spagnolo, Fabio 3 2006 Analytical approximation for the price dynamics of spark spread options. Zbl 1260.91256 Benth, Fred E.; Saltyte-Benth, Jurate 3 2006 Time series models for forecasting: testing or combining? Zbl 1260.91189 Chen, Zhuo; Yang, Yuhong 3 2007 A random walk or color chaos on the stock market? Time-frequency analysis of S&P indexes. Zbl 1078.91561 Chen, Ping 3 1996 The identification of spurious Lyapunov exponents in Jacobian algorithms. Zbl 1078.39501 Gencay, Ramazan; Dechert, W. Davis 3 1996 Endogenous cycles in competitive models: an overview. Zbl 1078.91548 Reichlin, Pietro 3 1997 Investigating cyclical asymmetries. Zbl 1078.91575 Verbrugge, Randal 3 1997 Finite sample properties the efficient method of moments. Zbl 1078.91557 Chumacero, RĂłmulo A. 3 1997 The current depth-of-recession and unemployment-rate forecasts. Zbl 1078.91570 Parker, Randall E.; Rothman, Philip 3 1998 A Markov-Chain sampling algorithm for GARCH models. Zbl 1078.91569 Nakatsuma, Teruo 3 1998 Information-theoretic analysis of serial and cointegration. Zbl 1079.62539 Aparicio, F. M.; Escribano, A. 3 1998 Monetary policy with a nonlinear Phillips curve and asymmetric loss. Zbl 1078.91553 Tambakis, Demosthenes N. 3 1999 Bayesian bandwidth estimation for local linear fitting in nonparametric regression models. Zbl 07679706 Shang, Han Lin; Zhang, Xibin 1 2022 Multiple structural breaks in cointegrating regressions: a model selection approach. Zbl 07679715 Schmidt, Alexander; Schweikert, Karsten 1 2022 Multivariate Markov-switching score-driven models: an application to the global crude oil market. Zbl 07679720 Blazsek, Szabolcs; Escribano, Alvaro; Licht, Adrian 1 2022 Forecasting transaction counts with integer-valued GARCH models. Zbl 07681743 Aknouche, Abdelhakim; Almohaimeed, Bader S.; Dimitrakopoulos, Stefanos 1 2022 A monitoring procedure for detecting structural breaks in factor copula models. Zbl 07679731 Manner, Hans; Stark, Florian; Wied, Dominik 1 2021 Variable elasticity of substitution and economic growth in the neoclassical model. Zbl 07679740 GĂłmez, Manuel A. 1 2021 Bayesian analysis of periodic asymmetric power GARCH models. Zbl 07675535 Aknouche, Abdelhakim; Demmouche, Nacer; Dimitrakopoulos, Stefanos; Touche, Nassim 3 2020 The nonlinear effects of uncertainty shocks. Zbl 07675536 Jackson, Laura E.; Kliesen, Kevin L.; Owyang, Michael T. 3 2020 On the performance of information criteria for model identification of count time series. Zbl 07675514 WeiĂź, Christian H.; Feld, Martin H.-J. M. 2 2020 Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence. Zbl 07675512 Feng, Lingbing; Shi, Yanlin 1 2020 Testing for cointegration with threshold adjustment in the presence of structural breaks. Zbl 07675516 Schweikert, Karsten 1 2020 Temporal aggregation of random walk processes and implications for economic analysis. Zbl 07675521 Ahmad, Yamin S.; Paya, Ivan 1 2020 Unconventional monetary policy reaction functions: evidence from the US. Zbl 07675533 Agnello, Luca; Castro, Vitor; DufrĂ©not, Gilles; Jawadi, Fredj; Sousa, Ricardo M. 1 2020 Optimal growth in the Robinson-Shinkai-Leontief model: the case of capital-intensive consumption goods. Zbl 07675504 Deng, Liuchun; Fujio, Minako; Khan, M. Ali 2 2019 A regime switching skew-normal model of contagion. Zbl 07675482 Chan, Joshua C. C.; Fry-McKibbin, RenĂ©e A.; Hsiao, Cody Yu-Ling 1 2019 Investment on human capital in a dynamic contest model. Zbl 07675485 Keskin, Kerim; SaÄźlam, ÇaÄźrı 1 2019 Asymmetric impact of uncertainty in recessions: are emerging countries more vulnerable? Zbl 07675487 Chatterjee, Pratiti 1 2019 Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models. Zbl 07675489 Chan, Jennifer So Kuen; Ng, Kok-Haur; Nitithumbundit, Thanakorn; Peiris, Shelton 1 2019 Regression discontinuity designs with unknown state-dependent discontinuity points: estimation and testing. Zbl 07675490 Yang, Lixiong 1 2019 Foster-Hart optimization for currency portfolios. Zbl 07675491 Kurosaki, Tetsuo; Kim, Young Shin 1 2019 Flexible HAR model for realized volatility. Zbl 07675493 Audrino, Francesco; Huang, Chen; Okhrin, Ostap 1 2019 Bubble on real estate: the role of altruism and fiscal policy. Zbl 07675501 Clain-Chamosset-Yvrard, Lise; Seegmuller, Thomas 1 2019 Two-sided altruism and time inconsistency. Zbl 07675503 Aoki, Takaaki; Nishimura, Kazuo; Yano, Makoto 1 2019 Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules. Zbl 07675507 Zhu, Yanli; Chen, Haiqiang; Lin, Ming 1 2019 An explicit formula for the smoother weights of the Hodrick-Prescott filter. Zbl 07675511 Yamada, Hiroshi; Jahra, Fatima Tuj 1 2019 Nonlinear Taylor rules: evidence from a large dataset. Zbl 1507.62396 Ma, Jun; Olson, Eric; Wohar, Mark E. 4 2018 Markov-switching quantile autoregression: a Gibbs sampling approach. Zbl 1507.62288 Liu, Xiaochun; Luger, Richard 3 2018 Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and Granger causality tests. Zbl 1507.62405 Tipoy, Christian K.; Breitenbach, Marthinus C.; Zerihun, Mulatu F. 2 2018 Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models. Zbl 1507.62371 Chow, Sheung-Chi; Cunado, Juncal; Gupta, Rangan; Wong, Wing-Keung 2 2018 Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications. Zbl 1507.62292 Phillip, Andrew; Chan, Jennifer S. K.; Peiris, Shelton 2 2018 Testing for a unit root against ESTAR stationarity. Zbl 1507.62386 Harvey, David I.; Leybourne, Stephen J.; Whitehouse, Emily J. 1 2018 Estimation and inference of threshold regression models with measurement errors. Zbl 1507.62281 Chong, Terence Tai-Leung; Chen, Haiqiang; Wong, Tsz-Nga; Yan, Isabel Kit-Ming 1 2018 Uncertainty in the housing market: evidence from US states. Zbl 1507.62372 Christidou, Maria; Fountas, Stilianos 1 2018 A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. Zbl 1507.62285 Haas, Markus; Liu, Ji-Chun 1 2018 A hidden Markov regime-switching smooth transition model. Zbl 1507.62283 Elliott, Robert J.; Siu, Tak Kuen; Lau, John W. 1 2018 A new method for specifying the tuning parameter of \(\ell_1\) trend filtering. Zbl 1507.62408 Yamada, Hiroshi 1 2018 Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market. Zbl 1507.62380 Escribano, Alvaro; Torrado, MarĂa 1 2018 Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE. Zbl 1507.62293 Prono, Todd 1 2018 An interview with Timo Teräsvirta. Zbl 1507.01036 Jawadi, Fredj 1 2018 On the estimation of regime-switching LĂ©vy models. Zbl 1507.62368 Chevallier, Julien; Goutte, StĂ©phane 4 2017 A model of the euro-area yield curve with discrete policy rates. Zbl 1507.62332 Renne, Jean-Paul 3 2017 Nonstationary autoregressive conditional duration models. Zbl 1507.62329 Mishra, Anuj; Ramanathan, Thekke Variyam 2 2017 Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries. Zbl 1507.62316 Cuestas, Juan Carlos; Tang, Bo 2 2017 Specification analysis in regime-switching continuous-time diffusion models for market volatility. Zbl 1507.62314 Bu, Ruijun; Cheng, Jie; Hadri, Kaddour 1 2017 Forecast accuracy of a BVAR under alternative specifications of the zero lower bound. Zbl 1507.62360 Berg, Tim Oliver 1 2017 Semi-global solutions to DSGE models: perturbation around a deterministic path. Zbl 1507.91109 Ajevskis, Viktors 1 2017 Time-varying persistence of inflation: evidence from a wavelet-based approach. Zbl 1507.62363 Boubaker, Heni; Canarella, Giorgio; Gupta, Rangan; Miller, Stephen M. 1 2017 Generating prediction bands for path forecasts from SETAR models. Zbl 1507.62385 Grabowski, Daniel; Staszewska-Bystrova, Anna; Winker, Peter 1 2017 Estimating stochastic volatility models using realized measures. Zbl 1507.62313 Bekierman, Jeremias; Gribisch, Bastian 4 2016 Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials. Zbl 1507.62375 Cuestas, Juan Carlos; Gil-Alana, Luis Alberiko 3 2016 Information criteria for nonlinear time series models. Zbl 1507.62294 Rinke, Saskia; Sibbertsen, Philipp 3 2016 Structural changes in inflation dynamics: multiple breaks at different dates for different parameters. Zbl 1507.62378 Eo, Yunjong 3 2016 Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data. Zbl 1507.62325 Lee, Kyungsub 2 2016 Selecting the tuning parameter of the \(\ell_1\) trend filter. Zbl 1507.62409 Yamada, Hiroshi; Yoon, Gawon 2 2016 Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility. Zbl 1507.62319 Jensen, Mark J. 2 2016 Outliers and persistence in threshold autoregressive processes. Zbl 1507.62354 Ahmad, Yamin; Donayre, Luiggi 1 2016 Testing cointegration in quantile regressions with an application to the term structure of interest rates. Zbl 1507.62324 Kuriyama, Nina 1 2016 Grain prices, oil prices, and multiple smooth breaks in a VAR. Zbl 1507.62377 Enders, Walter; Jones, Paul 1 2016 Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector. Zbl 1507.62379 Ericsson, Neil R. 1 2016 Oil-price density forecasts of US GDP. Zbl 1507.62401 Ravazzolo, Francesco; Rothman, Philip 1 2016 Li-Yorke chaos in models with backward dynamics. Zbl 1507.91113 Stockman, David R. 1 2016 Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the euro area. Zbl 1506.62482 Bekiros, Stelios; Nguyen, Duc Khuong; Uddin, Gazi Salah; Sjö, Bo 7 2015 State-dependent effects of fiscal policy. Zbl 1506.62502 Fazzari, Steven M.; Morley, James; Panovska, Irina 5 2015 Regime-switching cointegration. Zbl 1506.62515 Jochmann, Markus; Koop, Gary 4 2015 On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing. Zbl 1506.62480 Bampinas, Georgios; Panagiotidis, Theodore 4 2015 The changing dynamics of US inflation persistence: a quantile regression approach. Zbl 1506.62533 Wolters, Maik H.; Tillmann, Peter 3 2015 Endogenous technical change, employment and distribution in the Goodwin model of the growth cycle. Zbl 1506.91106 Tavani, Daniele; Zamparelli, Luca 3 2015 A triple-threshold leverage stochastic volatility model. Zbl 1506.62421 Wu, Xin-Yu; Zhou, Hai-Lin 3 2015 Improving model performance with the integrated wavelet denoising method. Zbl 1506.91186 Chen, Yi-Ting; Sun, Edward W.; Yu, Min-Teh 2 2015 Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks. Zbl 1506.91003 Nonejad, Nima 2 2015 Efficient bond price approximations in non-linear equilibrium-based term structure models. Zbl 1506.91169 Andreasen, Martin M.; Zabczyk, Pawel 1 2015 Factor instrumental variable quantile regression. Zbl 1506.62279 Chen, Jau-er 1 2015 Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model. Zbl 1506.62483 Bekiros, Stelios; Paccagnini, Alessia 1 2015 Do monetary policy shocks generate TAR or STAR dynamics in output? Zbl 1506.62500 Donayre, Luiggi 1 2015 Bank characteristics and the interbank money market: a distributional approach. Zbl 1506.62514 Iori, Giulia; Kapar, Burcu; Olmo, Jose 1 2015 Estimating the Wishart affine stochastic correlation model using the empirical characteristic function. Zbl 1329.91148 Da Fonseca, JosĂ©; Grasselli, Martino; Ielpo, Florian 20 2014 Functional cointegration: definition and nonparametric estimation. Zbl 1329.62369 Banerjee, Anurag; Pitarakis, Jean-Yves 2 2014 Assessing the quality of volatility estimators via option pricing. Zbl 1292.91195 Sanfelici, Simona; Uboldi, Adamo 1 2014 Construction, management, and performance of sparse Markowitz portfolios. Zbl 1329.91124 Henriques, Julie; Ortega, Juan-Pablo 1 2014 A tractable model for indices approximating the growth optimal portfolio. Zbl 1283.91198 Baldeaux, Jan; Ignatieva, Katja; Platen, Eckhard 1 2014 Modelling nonlinearities in equity returns: the mean impact curve analysis. Zbl 1283.91072 Martin, Vance L.; Sarkar, Saikat; Kanto, Antti Jaakko 1 2014 Using transfer entropy to measure information flows between financial markets. Zbl 1506.62402 Dimpfl, Thomas; Peter, Franziska Julia 6 2013 A smooth transition long-memory model. Zbl 1506.62478 Aloy, Marcel; DufrĂ©not, Gilles; Tong, Charles Lai; Peguin-Feissolle, Anne 4 2013 Determining the number of global and country-specific factors in the euro area. Zbl 1506.62499 Dias, Francisco; Pinheiro, Maximiano; Rua, AntĂłnio 4 2013 Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product. Zbl 1506.62479 Arora, Siddharth; Little, Max A.; McSharry, Patrick E. 3 2013 Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns. Zbl 1506.62412 Nakajima, Jouchi 3 2013 State space Markov switching models using wavelets. Zbl 1506.62476 Alencar, Airlane P.; Morettin, Pedro A.; Toloi, Clelia M. C. 2 2013 Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study. Zbl 1506.62526 Pavlidis, Efthymios G.; Paya, Ivan; Peel, David A. 2 2013 Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models. Zbl 1506.62400 Burda, Martin; Maheu, John M. 2 2013 Stochastically weighted average conditional moment tests of functional form. Zbl 1506.62509 Hill, Jonathan B. 1 2013 Quasi-maximum likelihood estimation of multivariate diffusions. Zbl 1506.62510 Huang, Xiao 1 2013 Time-varying cointegration, identification, and cointegration spaces. Zbl 1506.62522 Martins, Luis Filipe; Gabriel, Vasco J. 1 2013 Noncausality and asset pricing. Zbl 1506.62520 Lof, Matthijs 1 2013 The forward rate premium puzzle: a case of misspecification? Zbl 1506.62508 Hall, Stephen G.; Kenjegaliev, Amangeldi; Swamy, P. A. V. B.; Tavlas, George S. 1 2013 Off-the-record target zones: theory with an application to Hong Kong’s currency board. Zbl 1506.62493 Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole 1 2013 Income taxes and endogenous fluctuations: a generalization. Zbl 1506.91101 Gokan, Yoichi 1 2013 Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information? Zbl 1506.62524 Morley, James; Piger, Jeremy; Tien, Pao-Lin 1 2013 Regimes and long memory in realized volatility. Zbl 1506.62404 Goldman, Elena; Nam, Jouahn; Tsurumi, Hiroki; Wang, Jun 1 2013 Routes to complexity induced by constraints in Cournot oligopoly games with linear reaction functions. Zbl 1506.91089 Bischi, Gian Italo; Lamantia, Fabio 4 2012 Microfounded animal spirits in the new macroeconomic consensus. Zbl 1506.91125 Franke, Reiner 3 2012 ...and 216 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,583 Authors 11 Michetti, Elisabetta 10 Mammana, Cristiana 8 Lillo, Fabrizio 8 Teräsvirta, Timo 7 Escobar, Marcos 7 Semmler, Willi 6 Chiarella, Carl 6 Gupta, Rangan 6 Lux, Thomas C. H. 5 Gallegati, Marco 5 Karanasos, Menelaos 5 Peiris, M. Shelton 5 Perron, Pierre 5 Sun, Edward W. 5 Uddin, Gazi Salah 5 Weron, RafaĹ‚ 5 Westerhoff, Frank H. 5 Yamada, Hiroshi 4 Bekiros, Stelios D. 4 Casarin, Roberto 4 Chan, Jennifer So Kuen 4 Chevallier, Julien 4 Dermoune, Azzouz 4 Donayre, Luiggi 4 Fabozzi, Frank J. 4 Gencay, Ramazan 4 Gori, Luca 4 Grassetti, Francesca 4 Morana, Claudio 4 Morley, James C. 4 Phillips, Peter Charles Bonest 4 Psaradakis, Zacharias 4 Rubtsov, Alexey N. 4 TĂłth, Bence 4 van Dijk, Dick 4 Yu, Jun 3 Alexander, Carol 3 Alfarano, Simone 3 Almohaimeed, Bader S. 3 Amman, Hans M. 3 Amo-Salas, Mariano 3 Auer, Benjamin R. 3 Bauwens, Luc Claude A. 3 Bhatti, Chad R. 3 Billio, Monica 3 Boubaker, Heni 3 Bouchaud, Jean-Philippe 3 Brianzoni, Serena 3 Bu, Ruijun 3 Cavicchioli, Maddalena 3 Chen, Pu 3 Chen, Yiting 3 Dette, Holger 3 Djehiche, Boualem 3 Dufays, Arnaud 3 DufrĂ©not, Gilles 3 Elliott, Robert James 3 Fanti, Luciano 3 Faria, JoĂŁo Ricardo 3 Ferrando, Sebastián Esteban 3 Flaschel, Peter 3 Franses, Philip Hans 3 Gallegati, Mauro 3 Gardini, Laura 3 Grasselli, Martino 3 Ignatieva, Katja 3 Janczura, Joanna 3 Jawadi, Fredj 3 Kejriwal, Mohitosh 3 Kendrick, David A. 3 Kirman, Alan P. 3 Lahiri, Kajal 3 Liu, Xiaoquan 3 Luger, Richard 3 Maki, Daiki 3 Martin, Vance L. 3 Martins-Filho, Carlos 3 McAleer, Michael 3 Montes-Rojas, Gabriel V. 3 Nadarajah, Saralees 3 Neto, David 3 Olmo, Jose 3 Ooms, Marius 3 Panagiotidis, Theodore 3 Panovska, Irina 3 Paolella, Marc S. 3 Pavlidis, Efthymios G. 3 Pipiras, Vladas 3 Platen, Eckhard 3 Proietti, Tommaso 3 Rachev, Svetlozar T. 3 Ramsey, James B. 3 Ravazzolo, Francesco 3 Renault, Eric 3 Riani, Marco 3 Rombouts, Jeroen V. K. 3 Shen, Liya 3 Shi, Yanlin 3 Shintani, Mototsugu 3 Sriboonchitta, Songsak ...and 1,483 more Authors all top 5 Cited in 170 Journals 107 Studies in Nonlinear Dynamics and Econometrics 75 Journal of Econometrics 66 Journal of Economic Dynamics & Control 46 Quantitative Finance 40 Computational Statistics and Data Analysis 31 Econometric Reviews 20 Chaos, Solitons and Fractals 20 Journal of Time Series Analysis 20 Economics Letters 16 Physica A 16 Computational Economics 15 Journal of Applied Statistics 13 Annals of Operations Research 12 Mathematics and Computers in Simulation 12 Computational Statistics 12 European Journal of Operational Research 11 Communications in Statistics. Theory and Methods 10 Journal of Statistical Planning and Inference 9 Journal of Statistical Computation and Simulation 7 Applied Mathematics and Computation 7 Open Economies Review 7 Discrete Dynamics in Nature and Society 7 Journal of Time Series Econometrics 6 Journal of Mathematical Economics 6 Methodology and Computing in Applied Probability 6 Econometric Theory 6 Asia-Pacific Financial Markets 6 Computational Management Science 6 Statistical Methods and Applications 6 Annals of Finance 5 Journal of Multivariate Analysis 5 Communications in Statistics. Simulation and Computation 5 Statistical Papers 5 The Econometrics Journal 5 Communications in Nonlinear Science and Numerical Simulation 5 CEJOR. Central European Journal of Operations Research 5 Review of Derivatives Research 5 AStA. Advances in Statistical Analysis 4 Insurance Mathematics & Economics 4 Statistics & Probability Letters 4 Decisions in Economics and Finance 4 Thai Journal of Mathematics 4 SIAM Journal on Financial Mathematics 4 Bulletin of Economic Research 3 Annals of the Institute of Statistical Mathematics 3 The Annals of Statistics 3 International Economic Review 3 Journal of Computational and Applied Mathematics 3 Journal of Economic Theory 3 The Annals of Applied Probability 3 Test 3 Economic Theory 3 Macroeconomic Dynamics 3 Statistical Inference for Stochastic Processes 3 Journal of Systems Science and Complexity 3 Statistical Methodology 3 Journal of the Korean Statistical Society 2 Journal of Statistical Physics 2 Physics Letters. A 2 Automatica 2 Journal of Optimization Theory and Applications 2 Kybernetika 2 Computers & Operations Research 2 Mathematical and Computer Modelling 2 Signal Processing 2 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 2 SIAM Journal on Scientific Computing 2 Mathematical Problems in Engineering 2 Mathematical Methods of Operations Research 2 Chaos 2 International Journal of Theoretical and Applied Finance 2 Probability in the Engineering and Informational Sciences 2 Journal of Applied Mathematics 2 Stochastics 2 Journal of Forecasting 2 Advances in Data Analysis and Classification. ADAC 2 European Journal of Pure and Applied Mathematics 2 Electronic Journal of Statistics 2 The Annals of Applied Statistics 2 International Journal of Economic Theory 2 Afrika Statistika 2 Advances in Decision Sciences 2 Journal of Business and Economic Statistics 2 Games 2 Dynamic Games and Applications 2 Dependence Modeling 2 Environmetrics 1 Advances in Applied Probability 1 Biological Cybernetics 1 The Canadian Journal of Statistics 1 European Journal of Physics 1 Journal of Computational Physics 1 Journal of Fluid Mechanics 1 Journal of Mathematical Analysis and Applications 1 Lithuanian Mathematical Journal 1 Metrika 1 Psychometrika 1 ACM Transactions on Mathematical Software 1 Applied Mathematics and Optimization 1 Biometrical Journal ...and 70 more Journals all top 5 Cited in 33 Fields 588 Statistics (62-XX) 529 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 92 Probability theory and stochastic processes (60-XX) 65 Numerical analysis (65-XX) 30 Dynamical systems and ergodic theory (37-XX) 20 Operations research, mathematical programming (90-XX) 15 Harmonic analysis on Euclidean spaces (42-XX) 14 Systems theory; control (93-XX) 13 Computer science (68-XX) 9 Ordinary differential equations (34-XX) 8 Biology and other natural sciences (92-XX) 8 Information and communication theory, circuits (94-XX) 7 Partial differential equations (35-XX) 5 Statistical mechanics, structure of matter (82-XX) 4 General and overarching topics; collections (00-XX) 4 Geophysics (86-XX) 3 History and biography (01-XX) 3 Difference and functional equations (39-XX) 3 Integral transforms, operational calculus (44-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 2 Combinatorics (05-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Approximations and expansions (41-XX) 2 Fluid mechanics (76-XX) 1 Measure and integration (28-XX) 1 Special functions (33-XX) 1 Operator theory (47-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Optics, electromagnetic theory (78-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Quantum theory (81-XX) 1 Astronomy and astrophysics (85-XX) 1 Mathematics education (97-XX) Citations by Year