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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.
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Authors

8 Gupta, Rangan
8 Jawadi, Fredj
7 Semmler, Willi
6 Chiarella, Carl
6 Gencay, Ramazan
5 Fabozzi, Frank J.
5 Gómez, 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, Frédérique
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, Rómulo A.
3 di Guilmi, Corrado
3 Dimpfl, Thomas
3 Donayre, Luiggi
3 Dufrénot, 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 Bårdsen, 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

Publications by Year

Citations contained in zbMATH Open

338 Publications have been cited 1,184 times in 981 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
39
2004
Forecasting stock market volatility with regime-switching GARCH models. Zbl 1081.91535
Marcucci, Juri
32
2005
The decomposition of economic relationships by time scale using wavelets: expenditure and income. Zbl 1078.91572
Ramsey, James B.; Lampart, Camille
26
1998
Wavelets in economics and finance: past and future. Zbl 1080.91570
Ramsey, James B.
24
2002
Microeconomic models for long memory in the volatility of financial time series. Zbl 1079.91565
Kirman, Alan; Teyssière, Gilles
23
2002
Estimating the Wishart affine stochastic correlation model using the empirical characteristic function. Zbl 1329.91148
Da Fonseca, José; Grasselli, Martino; Ielpo, Florian
21
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
17
1998
Experimental design for time-dependent models with correlated observations. Zbl 1082.62514
Ucinski, Dariusz; Atkinson, Anthony C.
17
2004
Non-linear models: where do we go next - time varying parameter models? Zbl 1193.91115
Granger, Clive W. J.
16
2008
Nonlinearities and cyclical behavior: the role of chartists and fundamentalists. Zbl 1080.91556
Westerhoff, Frank H.; Reitz, Stefan
16
2003
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
14
2007
Using transfer entropy to measure information flows between financial markets. Zbl 1506.62402
Dimpfl, Thomas; Peter, Franziska Julia
14
2013
The nature of power spikes: a regime-switch approach. Zbl 1260.91173
De Jong, Cyriel
12
2006
Inference and forecasting for ARFIMA models with an application to US and UK inflation. Zbl 1081.91585
Doornik, Jürgen A.; Ooms, Marius
11
2004
Regime-switching univariate diffusion models of the short-term interest rate. Zbl 1193.91171
Choi, Seungmoon
10
2009
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.
10
2008
Point and interval forecasting of spot electricity prices: linear vs. non-linear time series models. Zbl 1260.91176
Misiorek, Adam; Trueck, Stefan; Weron, Rafal
10
2006
MCMC Bayesian estimation of a skew-GED stochastic volatility model. Zbl 1081.91523
Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide
10
2004
Nonlinear monetary policy rules: some new evidence for the U.S. Zbl 1081.91594
Dolado, Juan; Pedrero, Ramón María-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
A practitioner’s guide to lag order selection for VAR impulse response analysis. Zbl 1081.91575
Ivanov, Ventzislav; Kilian, Lutz
9
2005
Routes to complexity induced by constraints in Cournot oligopoly games with linear reaction functions. Zbl 1506.91089
Bischi, Gian Italo; Lamantia, Fabio
9
2012
State-dependent effects of fiscal policy. Zbl 1506.62502
Fazzari, Steven M.; Morley, James; Panovska, Irina
9
2015
Multivariate extension of the Hodrick-Prescott filter-optimality and characterization. Zbl 1194.62107
Dermoune, Azzouz; Djehiche, Boualem; Rahmania, Nadji
8
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
The relationship between financial variables and real economic activity: evidence from spectral and wavelet analyses. Zbl 1080.91535
Kim, Sangbae; In, Francis Haeuck
8
2003
Estimating stochastic volatility models: a comparison of two importance samplers. Zbl 1081.91534
Lee, Kai Ming; Koopman, Siem Jan
8
2004
Modelling autoregressive processes with a shifting mean. Zbl 1194.62100
González, Andrés; Teräsvirta, Timo
7
2008
Stability analysis of continuous-time macroeconometric systems. Zbl 1078.91549
Barnett, William A.; He, Yijun
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
Detecting multiple changes in persistence. Zbl 1268.91149
Leybourne, Stephen; Kim, Tae-Hwan; Taylor, A. M. Robert
7
2007
Wavelet variance analysis of output in G-7 countries. Zbl 1268.91137
Gallegati, Marco; Gallegati, Mauro
7
2007
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
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
Markov-switching GARCH modelling of value-at-risk. Zbl 1193.91181
Sajjad, Rasoul; Coakley, Jerry; Nankervis, John C.
6
2008
Skew-normal mixture and Markov-switching GARCH processes. Zbl 1202.62117
Haas, Markus
6
2010
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
An approximate wavelet MLE of short- and long-memory parameters. Zbl 1078.91566
Jensen, Mark J.
6
1999
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, Frédérique; Salem, Mélika 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
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
Cointegration with structural breaks: an application to the Feldstein-Horioka puzzle. Zbl 1193.91116
Kejriwal, Mohitosh
5
2008
Option valuation with normal mixture GARCH models. Zbl 1193.91148
Badescu, Alex; Kulperger, Reg; Lazar, Emese
5
2008
Risk premia in electricity forward prices. Zbl 1260.91174
Diko, Pavel; Lawford, Steve; Limpens, Valerie
5
2006
Power properties of linearity tests for time series. Zbl 1078.91574
Teräsvirta, Timo
5
1996
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
On nonlinear, stochastic dynamics in economic and financial time series. Zbl 1079.91555
Schittenkopf, Christian; Dorffner, Georg; Dockner, Engelbert J.
5
2000
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
EVIM: a software package for extremel value analysis in MATLAB. Zbl 1079.91541
Gençay, Ramazan; Selçuk, Faruk; Ulugülyagci, Abdurrahman
5
2001
Characterizing the degree of stability of nonlinear dynamic models. Zbl 1080.91547
Bask, Mikael; de Luna, Xavier
5
2002
A new test of the martingale difference hypothesis. Zbl 1082.62539
Kuan, Chung-Ming; Lee, Wei-Ming
5
2004
Wavelet transforms and commodity prices. Zbl 1081.91515
Connor, Jeff; Rossiter, Rosemary
5
2005
A smooth transition autoregressive conditional duration model. Zbl 1260.91183
Chiang, Min-Hsien
5
2007
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
Beta autoregressive transition Markov-switching models for business cycle analysis. Zbl 1506.62487
Billio, Monica; Casarin, Roberto
5
2011
Asymmetry in stochastic volatility models: threshold or correlation? Zbl 1193.91182
Smith, Daniel R.
4
2009
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
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
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
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
Can GARCH models capture long-range dependence? Zbl 1082.62541
Maheu, John
4
2005
Common persistent factors in inflation and excess nominal money growth and a new measure of core inflation. Zbl 1080.91554
Morana, Claudio
4
2002
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
Microfounded animal spirits in the new macroeconomic consensus. Zbl 1506.91125
Franke, Reiner
4
2012
On the estimation of regime-switching Lévy models. Zbl 1507.62368
Chevallier, Julien; Goutte, Stéphane
4
2017
A model of the euro-area yield curve with discrete policy rates. Zbl 1507.62332
Renne, Jean-Paul
4
2017
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
4
2018
A smooth transition long-memory model. Zbl 1506.62478
Aloy, Marcel; Dufrénot, 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, António
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
On the performance of information criteria for model identification of count time series. Zbl 07675514
Weiß, Christian H.; Feld, Martin H.-J. M.
4
2020
Estimating stochastic volatility models using realized measures. Zbl 1507.62313
Bekierman, Jeremias; Gribisch, Bastian
4
2016
Information criteria for nonlinear time series models. Zbl 1507.62294
Rinke, Saskia; Sibbertsen, Philipp
4
2016
Multi-market direction-of-change modeling using dependence ratios. Zbl 1193.91166
Anatolyev, Stanislav
3
2009
Asymmetry in the business cycle: Friedman’s plucking model with correlated innovations. Zbl 1193.91110
Sinclair, Tara M.
3
2010
Rank-based entropy tests for serial independence. Zbl 1194.62065
Diks, Cees; Panchenko, Valentyn
3
2008
Smooth transition autoregressive models. New approaches to the model selection problem. Zbl 1194.90121
Maringer, Dietmar G.; Meyer, Mark
3
2008
Threshold adjustment of deviations from the law of one price. Zbl 1193.91174
Juvenal, Luciana; Taylor, Mark P.
3
2008
Wald tests of \(I(1)\) against \(I(d)\) alternatives: some new properties and an extension to processes with trending components. Zbl 1194.62128
Dolado, Juan J.; Gonzalo, Jesus; Mayoral, Laura
3
2008
Model selection uncertainty and detection of threshold effects. Zbl 1225.62160
Pitarakis, Jean-Yves
3
2006
Forecasting transaction counts with integer-valued GARCH models. Zbl 07681743
Aknouche, Abdelhakim; Almohaimeed, Bader S.; Dimitrakopoulos, Stefanos
1
2022
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
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
Gómez, Manuel A.
1
2021
On the performance of information criteria for model identification of count time series. Zbl 07675514
Weiß, Christian H.; Feld, Martin H.-J. M.
4
2020
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
Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence. Zbl 07675512
Feng, Lingbing; Shi, Yanlin
1
2020
Dissecting skewness under affine jump-diffusions. Zbl 07675532
Zhen, Fang; Zhang, Jin E.
1
2020
Unconventional monetary policy reaction functions: evidence from the US. Zbl 07675533
Agnello, Luca; Castro, Vitor; Dufrénot, Gilles; Jawadi, Fredj; Sousa, Ricardo M.
1
2020
Unconventional monetary policy in a nonlinear quadratic model. Zbl 07675542
Faulwasser, Timm; Gross, Marco; Semmler, Willi; Loungani, Prakash
1
2020
Testing for cointegration with threshold adjustment in the presence of structural breaks. Zbl 07675516
Schweikert, Karsten
1
2020
A model for ordinal responses with heterogeneous status quo outcomes. Zbl 07675517
Sirchenko, Andrei
1
2020
Temporal aggregation of random walk processes and implications for economic analysis. Zbl 07675521
Ahmad, Yamin S.; Paya, Ivan
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
3
2019
An explicit formula for the smoother weights of the Hodrick-Prescott filter. Zbl 07675511
Yamada, Hiroshi; Jahra, Fatima Tuj
2
2019
A regime switching skew-normal model of contagion. Zbl 07675482
Chan, Joshua C. C.; Fry-McKibbin, Renée A.; Hsiao, Cody Yu-Ling
1
2019
Think again: volatility asymmetry and volatility persistence. Zbl 07675483
Baur, Dirk G.; Dimpfl, Thomas
1
2019
Investment on human capital in a dynamic contest model. Zbl 07675485
Keskin, Kerim; Sağlam, Çağrı
1
2019
A parametric stationarity test with smooth breaks. Zbl 07675486
Tsong, Ching-Chuan; Lee, Cheng-Feng; Tsai, Li Ju
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
Hopf bifurcation and the existence and stability of closed orbits in three-sector models of optimal endogenous growth. Zbl 07675498
Nishimura, Kazuo; Shigoka, Tadashi
1
2019
Bubble on real estate: the role of altruism and fiscal policy. Zbl 07675501
Clain-Chamosset-Yvrard, Lise; Seegmuller, Thomas
1
2019
Variance reduction estimation for return models with jumps using gamma asymmetric kernels. Zbl 07675510
Song, Yuping; Hou, Weijie; Zhou, Shengyi
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
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
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
4
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
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
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 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
Bayesian subset selection for two-threshold variable autoregressive models. Zbl 1507.62290
Ni, Shuxia; Xia, Qiang; Liu, Jinshan
1
2018
Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market. Zbl 1507.62380
Escribano, Alvaro; Torrado, María
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 Lévy models. Zbl 1507.62368
Chevallier, Julien; Goutte, Stéphane
4
2017
A model of the euro-area yield curve with discrete policy rates. Zbl 1507.62332
Renne, Jean-Paul
4
2017
Specification analysis in regime-switching continuous-time diffusion models for market volatility. Zbl 1507.62314
Bu, Ruijun; Cheng, Jie; Hadri, Kaddour
2
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
Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach. Zbl 1507.62369
Chlibi, Souhir; Jawadi, Fredj; Sellami, Mohamed
1
2017
Time elements and oscillatory fluctuations in the Keynesian macroeconomic system. Zbl 1507.91121
Murakami, Hiroki
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
Information criteria for nonlinear time series models. Zbl 1507.62294
Rinke, Saskia; Sibbertsen, Philipp
4
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
3
2016
Structural changes in inflation dynamics: multiple breaks at different dates for different parameters. Zbl 1507.62378
Eo, Yunjong
3
2016
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility. Zbl 1507.62319
Jensen, Mark J.
3
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
Selecting the tuning parameter of the \(\ell_1\) trend filter. Zbl 1507.62409
Yamada, Hiroshi; Yoon, Gawon
3
2016
Li-Yorke chaos in models with backward dynamics. Zbl 1507.91113
Stockman, David R.
2
2016
Outliers and persistence in threshold autoregressive processes. Zbl 1507.62354
Ahmad, Yamin; Donayre, Luiggi
1
2016
House prices and monetary policy. Zbl 1507.62365
Brito, Paulo; Marini, Giancarlo; Piergallini, Alessandro
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
Testing cointegration in quantile regressions with an application to the term structure of interest rates. Zbl 1507.62324
Kuriyama, Nina
1
2016
Multi-criteria classification for pricing European options. Zbl 1507.62318
Gradojevic, Nikola
1
2016
State-dependent effects of fiscal policy. Zbl 1506.62502
Fazzari, Steven M.; Morley, James; Panovska, Irina
9
2015
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
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
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
3
2015
Factor instrumental variable quantile regression. Zbl 1506.62279
Chen, Jau-er
2
2015
Bank characteristics and the interbank money market: a distributional approach. Zbl 1506.62514
Iori, Giulia; Kapar, Burcu; Olmo, Jose
2
2015
Improving model performance with the integrated wavelet denoising method. Zbl 1506.91186
Chen, Yi-Ting; Sun, Edward W.; Yu, Min-Teh
2
2015
Efficient bond price approximations in non-linear equilibrium-based term structure models. Zbl 1506.91169
Andreasen, Martin M.; Zabczyk, Pawel
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
Noncausality and inflation persistence. Zbl 1506.91128
Lanne, Markku
1
2015
Estimating the Wishart affine stochastic correlation model using the empirical characteristic function. Zbl 1329.91148
Da Fonseca, José; Grasselli, Martino; Ielpo, Florian
21
2014
Functional cointegration: definition and nonparametric estimation. Zbl 1329.62369
Banerjee, Anurag; Pitarakis, Jean-Yves
2
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
Construction, management, and performance of sparse Markowitz portfolios. Zbl 1329.91124
Henriques, Julie; Ortega, Juan-Pablo
1
2014
The effect of round-off error on long memory processes. Zbl 1329.62382
La Spada, Gabriele; Lillo, Fabrizio
1
2014
Assessing the quality of volatility estimators via option pricing. Zbl 1292.91195
Sanfelici, Simona; Uboldi, Adamo
1
2014
Using transfer entropy to measure information flows between financial markets. Zbl 1506.62402
Dimpfl, Thomas; Peter, Franziska Julia
14
2013
A smooth transition long-memory model. Zbl 1506.62478
Aloy, Marcel; Dufrénot, 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, António
4
2013
State space Markov switching models using wavelets. Zbl 1506.62476
Alencar, Airlane P.; Morettin, Pedro A.; Toloi, Clelia M. C.
3
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
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Cited by 1,758 Authors

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6 Chiarella, Carl
6 Gupta, Rangan
6 Lux, Thomas C. H.
6 Yamada, Hiroshi
5 Gallegati, Marco
5 Grassetti, Francesca
5 Jawadi, Fredj
5 Karanasos, Menelaos
5 Peiris, M. Shelton
5 Perron, Pierre
5 Sun, Edward W.
5 Uddin, Gazi Salah
5 Weron, Rafał
5 Westerhoff, Frank H.
4 Bekiros, Stelios D.
4 Casarin, Roberto
4 Chan, Jennifer So Kuen
4 Chevallier, Julien
4 Dermoune, Azzouz
4 Donayre, Luiggi
4 Dufrénot, Gilles
4 Fabozzi, Frank J.
4 Flaschel, Peter
4 Gencay, Ramazan
4 Gori, Luca
4 López Fidalgo, Jesús F.
4 Montes-Rojas, Gabriel V.
4 Morana, Claudio
4 Morley, James C.
4 Psaradakis, Zacharias
4 Rubtsov, Alexey N.
4 Shang, Pengjian
4 Tóth, Bence
4 van Dijk, Dick
3 Alexander, Carol
3 Alfarano, Simone
3 Almohaimeed, Bader S.
3 Amman, Hans M.
3 Amo-Salas, Mariano
3 Auer, Benjamin R.
3 Bai, Jushan
3 Bauwens, Luc Claude A.
3 Bhatti, Chad R.
3 Billio, Monica
3 Bormetti, Giacomo
3 Boubaker, Heni
3 Bouchaud, Jean-Philippe
3 Brianzoni, Serena
3 Bu, Ruijun
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3 Chen, Pu
3 Chen, Yiting
3 Da Fonseca, José
3 Deng, Liuchun
3 Dette, Holger
3 Djehiche, Boualem
3 Dufays, Arnaud
3 Elliott, Robert James
3 Fanti, Luciano
3 Faria, João Ricardo
3 Ferrando, Sebastián Esteban
3 Franses, Philip Hans
3 Gallegati, Mauro
3 Gardini, Laura
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3 Janczura, Joanna
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3 Pavlidis, Efthymios G.
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Cited in 178 Journals

107 Studies in Nonlinear Dynamics and Econometrics
81 Journal of Economic Dynamics & Control
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50 Quantitative Finance
44 Computational Statistics and Data Analysis
31 Econometric Reviews
24 Economics Letters
22 Chaos, Solitons and Fractals
21 Mathematics and Computers in Simulation
20 Journal of Time Series Analysis
18 Physica A
18 Journal of Applied Statistics
16 Annals of Operations Research
16 Computational Economics
13 Journal of Statistical Planning and Inference
13 Computational Statistics
12 European Journal of Operational Research
11 Communications in Statistics. Theory and Methods
9 Journal of Statistical Computation and Simulation
9 Communications in Nonlinear Science and Numerical Simulation
8 Open Economies Review
7 Applied Mathematics and Computation
7 Journal of Mathematical Economics
7 Journal of Multivariate Analysis
7 Statistical Papers
7 Discrete Dynamics in Nature and Society
7 Econometric Theory
7 Asia-Pacific Financial Markets
7 Statistical Methods and Applications
7 Journal of Time Series Econometrics
6 Statistics & Probability Letters
6 Communications in Statistics. Simulation and Computation
6 Methodology and Computing in Applied Probability
6 Computational Management Science
6 Annals of Finance
5 Insurance Mathematics & Economics
5 The Econometrics Journal
5 CEJOR. Central European Journal of Operations Research
5 Decisions in Economics and Finance
5 Review of Derivatives Research
5 AStA. Advances in Statistical Analysis
4 Chaos
4 Journal of Systems Science and Complexity
4 Thai Journal of Mathematics
4 SIAM Journal on Financial Mathematics
4 Bulletin of Economic Research
3 Physics Letters. A
3 Annals of the Institute of Statistical Mathematics
3 The Annals of Statistics
3 Journal of Computational and Applied Mathematics
3 Journal of Economic Theory
3 The Annals of Applied Probability
3 Test
3 Economic Theory
3 Mathematical Problems in Engineering
3 International Journal of Theoretical and Applied Finance
3 Macroeconomic Dynamics
3 Statistical Inference for Stochastic Processes
3 Journal of Statistical Mechanics: Theory and Experiment
3 Statistical Methodology
3 Journal of the Korean Statistical Society
3 International Journal of Economic Theory
2 Journal of Statistical Physics
2 Automatica
2 Information Sciences
2 Journal of Optimization Theory and Applications
2 Kybernetika
2 Journal of Economics
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 Finance
2 Mathematical Methods of Operations Research
2 Probability in the Engineering and Informational Sciences
2 Journal of Applied Mathematics
2 Advances in Complex Systems
2 ASTIN Bulletin
2 Mathematical Biosciences and Engineering
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 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
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