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: 693 Publications (since 1996) References Indexed: 363 Publications with 14,608 References. all top 5 Latest Issues 28, No. 3 (2024) 28, No. 2 (2024) 28, No. 1 (2024) 27, No. 5 (2023) 27, No. 4 (2023) 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) ...and 21 more Volumes all top 5 Authors 8 Gupta, Rangan 8 Jawadi, Fredj 8 Semmler, Willi 6 Blazsek, Szabolcs 6 Chiarella, Carl 6 Gencay, Ramazan 6 Sola, Martin 5 Barnett, William Arnold 5 Escribano, Alvaro 5 Fabozzi, Frank J. 5 GĂłmez, Manuel A. 5 Lee, Junsoo 5 Psaradakis, Zacharias 5 Serletis, Apostolos 5 Teräsvirta, Timo 4 Bekiros, Stelios D. 4 Funke, Michael 4 Ignatieva, Katja 4 Koop, Gary 4 Leybourne, Stephen J. 4 Morley, James C. 4 Nishimura, Kazuo 4 Pavlidis, Efthymios G. 4 Peel, David A. 4 Proietti, Tommaso 4 Rachev, Svetlozar T. 4 Ramsey, James B. 4 Rothman, Philip 4 Taylor, Mark P. 4 Uddin, Gazi Salah 4 Westerhoff, Frank H. 3 Barunik, Jozef 3 Bec, FrĂ©dĂ©rique 3 Belaire-Franch, Jorge 3 Canarella, Giorgio 3 Casarin, Roberto 3 Chan, Jennifer So Kuen 3 Chen, Pu 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 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 Jensen, Mark J. 3 Kapetanios, George 3 Kim, Young Shin Aaron 3 Licht, Adrian 3 Martin, Vance L. 3 Milas, Costas 3 Olmo, Jose 3 Paya, Ivan 3 Ravazzolo, Francesco 3 Spagnolo, Fabio 3 Stengos, Thanasis 3 Xia, Qiang 3 Yamada, Hiroshi 3 Yang, Lixiong 3 Yano, Makoto 3 Yazgan, M. Ege 2 Ahmad, Yamin S. 2 Aknouche, Abdelhakim 2 Alexeev, Vitali 2 Anatolyev, Stanislav 2 Ayala, Astrid 2 BĂĄrdsen, Gunnar 2 Beylunioglu, Fuat C. 2 Boldin, Michael D. 2 Boubaker, Heni 2 Bradley, Michael D. 2 Brannas, Kurt 2 Caner, Mehmet 2 Carnero, M. Angeles 2 Chan, Joshua C. C. 2 Chang, Sheng-Kai 2 Chaubal, Aditi 2 Chen, Haiqiang 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. ...and 1,035 more Authors all top 5 Fields 543 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 490 Statistics (62-XX) 31 Numerical analysis (65-XX) 11 Dynamical systems and ergodic theory (37-XX) 8 General and overarching topics; collections (00-XX) 8 Probability theory and stochastic processes (60-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 368 Publications have been cited 1,304 times in 1,080 Documents Cited by ▼ Year ▼ Inference in TAR models. Zbl 1078.91558 Hansen, Bruce E. 50 1997 The long memory of the efficient market. Zbl 1081.91595 Lillo, Fabrizio; Farmer, J. Doyne 41 2004 Forecasting stock market volatility with regime-switching GARCH models. Zbl 1081.91535 Marcucci, Juri 35 2005 The decomposition of economic relationships by time scale using wavelets: expenditure and income. Zbl 1078.91572 Ramsey, James B.; Lampart, Camille 27 1998 Wavelets in economics and finance: past and future. Zbl 1080.91570 Ramsey, James B. 26 2002 Microeconomic models for long memory in the volatility of financial time series. Zbl 1079.91565 Kirman, Alan; Teyssière, Gilles 24 2002 Estimating the Wishart affine stochastic correlation model using the empirical characteristic function. Zbl 1329.91148 Da Fonseca, JosĂ©; Grasselli, Martino; Ielpo, Florian 21 2014 Non-linear models: where do we go next - time varying parameter models? Zbl 1193.91115 Granger, Clive W. J. 20 2008 Experimental design for time-dependent models with correlated observations. Zbl 1082.62514 Ucinski, Dariusz; Atkinson, Anthony C. 19 2004 Smooth-transition GARCH models. Zbl 1078.91565 González-Rivera, Gloria 19 1998 GARCH for irregularly spaced financial data: the ACD-GARCH model. Zbl 1078.91564 Ghysels, Eric; Jasiak, Joanna 17 1998 Nonlinearities and cyclical behavior: the role of chartists and fundamentalists. Zbl 1080.91556 Westerhoff, Frank H.; Reitz, Stefan 16 2003 Using transfer entropy to measure information flows between financial markets. Zbl 1506.62402 Dimpfl, Thomas; Peter, Franziska Julia 15 2013 The nature of power spikes: a regime-switch approach. Zbl 1260.91173 De Jong, Cyriel 13 2006 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 13 2007 Inference and forecasting for ARFIMA models with an application to US and UK inflation. Zbl 1081.91585 Doornik, JĂĽrgen A.; Ooms, Marius 12 2004 Point and interval forecasting of spot electricity prices: linear vs. non-linear time series models. Zbl 1260.91176 Misiorek, Adam; Trueck, Stefan; Weron, Rafal 12 2006 Nonlinear monetary policy rules: some new evidence for the U.S. Zbl 1081.91594 Dolado, Juan; Pedrero, RamĂłn MarĂa-Dolores; Ruge-Murcia, Francisco J. 11 2004 MCMC Bayesian estimation of a skew-GED stochastic volatility model. Zbl 1081.91523 Cappuccio, Nunzio; Lubian, Diego; Raggi, Davide 11 2004 A practitioner’s guide to lag order selection for VAR impulse response analysis. Zbl 1081.91575 Ivanov, Ventzislav; Kilian, Lutz 11 2005 A note on the Hiemstra-Jones test for Granger non-causality. Zbl 1082.62510 Diks, Cees; Panchenko, Valentyn 10 2005 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 Regime-switching univariate diffusion models of the short-term interest rate. Zbl 1193.91171 Choi, Seungmoon 10 2009 State-dependent effects of fiscal policy. Zbl 1506.62502 Fazzari, Steven M.; Morley, James; Panovska, Irina 10 2015 The relationship between financial variables and real economic activity: evidence from spectral and wavelet analyses. Zbl 1080.91535 Kim, Sangbae; In, Francis Haeuck 9 2003 Detecting multiple changes in persistence. Zbl 1268.91149 Leybourne, Stephen; Kim, Tae-Hwan; Taylor, A. M. Robert 9 2007 Routes to complexity induced by constraints in Cournot oligopoly games with linear reaction functions. Zbl 1506.91089 Bischi, Gian Italo; Lamantia, Fabio 9 2012 Time-varying betas help in asset pricing: the threshold CAPM. Zbl 1080.91528 Akdeniz, Levent; Altay-Salih, Aslihan; Caner, Mehmet 8 2003 Estimating stochastic volatility models: a comparison of two importance samplers. Zbl 1081.91534 Lee, Kai Ming; Koopman, Siem Jan 8 2004 Markov-switching GARCH modelling of value-at-risk. Zbl 1193.91181 Sajjad, Rasoul; Coakley, Jerry; Nankervis, John C. 8 2008 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 Energy shocks and financial markets: nonlinear linkages. Zbl 1079.91523 Ciner, Cetin 7 2001 Mixture processes for financial intradaily durations. Zbl 1081.91526 De Luca, Giovanni; Gallo, Giampiero M. 7 2004 SIMANN: a global optimization algorithm using simulated annealing. Zbl 1078.91519 Goffe, William L. 7 1996 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 Modelling autoregressive processes with a shifting mean. Zbl 1194.62100 González, AndrĂ©s; Teräsvirta, Timo 7 2008 Estimation of time varying skewness and kurtosis with an application to value at risk. Zbl 1194.62099 Dark, Jonathan Graeme 7 2010 Wavelet variance analysis of output in G-7 countries. Zbl 1268.91137 Gallegati, Marco; Gallegati, Mauro 7 2007 Skew-normal mixture and Markov-switching GARCH processes. Zbl 1202.62117 Haas, Markus 7 2010 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 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 A new test of the martingale difference hypothesis. Zbl 1082.62539 Kuan, Chung-Ming; Lee, Wei-Ming 6 2004 Detecting nonlinearity in time series: surrogate and bootstrap approaches. Zbl 1081.91590 Hinich, Melvin J.; Mendes, Eduardo M.; Stone, Lewi 6 2005 A component GARCH model with time varying weights. Zbl 1193.91168 Bauwens, Luc; Storti, Giuseppe 6 2009 Multivariate extension of the Hodrick-Prescott filter-optimality and characterization. Zbl 1194.62107 Dermoune, Azzouz; Djehiche, Boualem; Rahmania, Nadji 6 2009 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 Risk premia in electricity forward prices. Zbl 1260.91174 Diko, Pavel; Lawford, Steve; Limpens, Valerie 6 2006 Beta autoregressive transition Markov-switching models for business cycle analysis. Zbl 1506.62487 Billio, Monica; Casarin, Roberto 6 2011 Estimating stochastic volatility models using realized measures. Zbl 1507.62313 Bekierman, Jeremias; Gribisch, Bastian 6 2016 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 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. 5 1996 If nonlinear models cannot forecast, what use are they? Zbl 1078.91543 Ramsey, James B. 5 1996 EVIM: a software package for extremel value analysis in MATLAB. Zbl 1079.91541 Gençay, Ramazan; Selçuk, Faruk; UlugĂĽlyagci, Abdurrahman 5 2001 Wavelet transforms and commodity prices. Zbl 1081.91515 Connor, Jeff; Rossiter, Rosemary 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 A fast algorithm for the BDS statistic. Zbl 1078.91559 LeBaron, Blake 5 1997 On nonlinear, stochastic dynamics in economic and financial time series. Zbl 1079.91555 Schittenkopf, Christian; Dorffner, Georg; Dockner, Engelbert J. 5 2000 Asymptotic properties of some projection-based Robbins-Monro procedures in a Hilbert space. Zbl 1178.62089 Chen, Xiaohong; White, Halbert 5 2002 Characterizing the degree of stability of nonlinear dynamic models. Zbl 1080.91547 Bask, Mikael; de Luna, Xavier 5 2002 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 Nonlinear impacts of international business cycles on the U.K. – a Bayesian smooth transition VAR approach. Zbl 1193.91088 Gefang, Deborah; Strachan, Rodney 5 2010 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 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 5 2015 Regime-switching cointegration. Zbl 1506.62515 Jochmann, Markus; Koop, Gary 5 2015 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 test of the martingale hypothesis. Zbl 1082.62075 Park, Joon Y.; Whang, Yoon-Jae 4 2005 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 Investigating cyclical asymmetries. Zbl 1078.91575 Verbrugge, Randal 4 1997 Technical trading rules and the size of the risk premium in security returns. Zbl 1078.91541 Gencay, Ramazan; Stengos, Thanasis 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 A stochastic version of Zeeman’s market model. Zbl 1081.91517 Rheinlaender, Thorsten; Steinkamp, Marcus 4 2004 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 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 4 2008 Asymmetry in stochastic volatility models: threshold or correlation? Zbl 1193.91182 Smith, Daniel R. 4 2009 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 Microfounded animal spirits in the new macroeconomic consensus. Zbl 1506.91125 Franke, Reiner 4 2012 A smooth transition long-memory model. Zbl 1506.62478 Aloy, Marcel; DufrĂ©not, Gilles; Tong, Charles Lai; Peguin-Feissolle, Anne 4 2013 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 Determining the number of global and country-specific factors in the euro area. Zbl 1506.62499 Dias, Francisco; Pinheiro, Maximiano; Rua, AntĂłnio 4 2013 A triple-threshold leverage stochastic volatility model. Zbl 1506.62421 Wu, Xin-Yu; Zhou, Hai-Lin 4 2015 Information criteria for nonlinear time series models. Zbl 1507.62294 Rinke, Saskia; Sibbertsen, Philipp 4 2016 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 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 On the performance of information criteria for model identification of count time series. Zbl 07675514 WeiĂź, Christian H.; Feld, Martin H.-J. M. 4 2020 A random walk or color chaos on the stock market? Time-frequency analysis of S&P indexes. Zbl 1078.91561 Chen, Ping 3 1996 Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility. Zbl 07950937 Blazsek, Szabolcs; Escribano, Alvaro; Licht, Adrian 2 2024 Matrix autoregressive models: generalization and Bayesian estimation. Zbl 07950945 Celani, Alessandro; Pagnottoni, Paolo 2 2024 Combining large numbers of density predictions with Bayesian predictive synthesis. Zbl 07950948 Chernis, Tony 1 2024 Anticipating extreme losses using score-driven shape filters. Zbl 07863045 Ayala, Astrid; Blazsek, Szabolcs; Escribano, Alvaro 1 2023 Multivariate Markov-switching score-driven models: an application to the global crude oil market. Zbl 07679720 Blazsek, Szabolcs; Escribano, Alvaro; Licht, Adrian 3 2022 Forecasting transaction counts with integer-valued GARCH models. Zbl 07681743 Aknouche, Abdelhakim; Almohaimeed, Bader S.; Dimitrakopoulos, Stefanos 2 2022 Instability in regime switching models. Zbl 07681751 Chen, Pu; Hsiao, Chih-Ying; Semmler, Willi 1 2022 Bayesian bandwidth estimation for local linear fitting in nonparametric regression models. Zbl 07679706 Shang, Han Lin; Zhang, Xibin 1 2022 The effect of price discrimination on dynamic duopoly games with bounded rationality. Zbl 07679718 Song, Qi-Qing; Zhang, Wei-li; Jiang, Yi-Rong; Geng, Juan 1 2022 Multiple structural breaks in cointegrating regressions: a model selection approach. Zbl 07679715 Schmidt, Alexander; Schweikert, Karsten 1 2022 Time-varying threshold cointegration with an application to the Fisher hypothesis. Zbl 07679716 Yang, Lixiong 1 2022 Fast maximum likelihood estimation of parameters for square root and Bessel processes. Zbl 07679730 Fergusson, Kevin 1 2021 A monitoring procedure for detecting structural breaks in factor copula models. Zbl 07679731 Manner, Hans; Stark, Florian; Wied, Dominik 1 2021 When is discretionary fiscal policy effective? Zbl 07679734 Fazzari, Steven M.; Morley, James; Panovska, Irina 1 2021 Stochastic model specification in Markov switching vector error correction models. Zbl 07676039 Hauzenberger, Niko; Huber, Florian; Pfarrhofer, Michael; Zörner, Thomas O. 1 2021 Variable elasticity of substitution and economic growth in the neoclassical model. Zbl 07679740 GĂłmez, Manuel A. 1 2021 On the performance of information criteria for model identification of count time series. Zbl 07675514 WeiĂź, 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 A model for ordinal responses with heterogeneous status quo outcomes. Zbl 07675517 Sirchenko, Andrei 2 2020 Dissecting skewness under affine jump-diffusions. Zbl 07675532 Zhen, Fang; Zhang, Jin E. 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 A threshold mixed count time series model: estimation and application. Zbl 07675524 Dungey, Mardi; Martin, Vance L.; Tang, Chrismin; Tremayne, Andrew 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 The role of the threshold effect for the dynamics of futures and spot prices of energy commodities. Zbl 07675537 Rubaszek, Michal; Karolak, Zuzanna; Kwas, Marek; Uddin, Gazi Salah 1 2020 Unconventional monetary policy in a nonlinear quadratic model. Zbl 07675542 Faulwasser, Timm; Gross, Marco; Semmler, Willi; Loungani, Prakash 1 2020 Money growth variability and output: evidence with credit card-augmented Divisia monetary aggregates. Zbl 07675543 Liu, Jinan; Serletis, Apostolos 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 Regression discontinuity designs with unknown state-dependent discontinuity points: estimation and testing. Zbl 07675490 Yang, Lixiong 2 2019 Foster-Hart optimization for currency portfolios. Zbl 07675491 Kurosaki, Tetsuo; Kim, Young Shin 2 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 2 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, RenĂ©e A.; Hsiao, Cody Yu-Ling 2 2019 Bubble on real estate: the role of altruism and fiscal policy. Zbl 07675501 Clain-Chamosset-Yvrard, Lise; Seegmuller, Thomas 2 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; SaÄźlam, ÇaÄźrı 1 2019 A parametric stationarity test with smooth breaks. Zbl 07675486 Tsong, Ching-Chuan; Lee, Cheng-Feng; Tsai, Li Ju 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 Flexible HAR model for realized volatility. Zbl 07675493 Audrino, Francesco; Huang, Chen; Okhrin, Ostap 1 2019 Variance reduction estimation for return models with jumps using gamma asymmetric kernels. Zbl 07675510 Song, Yuping; Hou, Weijie; Zhou, Shengyi 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 Two-sided altruism and time inconsistency. Zbl 07675503 Aoki, Takaaki; Nishimura, Kazuo; Yano, Makoto 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 Bayesian subset selection for two-threshold variable autoregressive models. Zbl 1507.62290 Ni, Shuxia; Xia, Qiang; Liu, Jinshan 2 2018 Testing for a unit root against ESTAR stationarity. Zbl 1507.62386 Harvey, David I.; Leybourne, Stephen J.; Whitehouse, Emily J. 1 2018 Time-varying correlations and Sharpe ratios during quantitative easing. Zbl 1507.62320 Jones, Paul M.; O’Steen, Haley 1 2018 Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics. Zbl 1507.62357 Ardakani, Omid M.; Kishor, N. Kundan 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 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 Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule. Zbl 1507.91122 Nguyen, Anh D. 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Zbl 1506.62480 Bampinas, Georgios; Panagiotidis, Theodore 4 2015 ...and 268 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,937 Authors 12 Michetti, Elisabetta 10 Mammana, Cristiana 9 Lillo, Fabrizio 9 Semmler, Willi 8 Teräsvirta, Timo 7 Escobar, Marcos 6 Casarin, Roberto 6 Chiarella, Carl 6 Gallegati, Marco 6 Gupta, Rangan 6 Lux, Thomas C. H. 6 Yamada, Hiroshi 5 Blazsek, Szabolcs 5 Fabozzi, Frank J. 5 Grassetti, Francesca 5 Jawadi, Fredj 5 Karanasos, Menelaos 5 Peiris, M. Shelton 5 Perron, Pierre 5 Phillips, Peter Charles Bonest 5 Psaradakis, Zacharias 5 Sun, Edward W. 5 Uddin, Gazi Salah 5 Weron, RafaĹ‚ 5 Westerhoff, Frank H. 4 Bekiros, Stelios D. 4 Bormetti, Giacomo 4 Chan, Jennifer So Kuen 4 Chen, Pu 4 Chevallier, Julien 4 Dermoune, Azzouz 4 Donayre, Luiggi 4 DufrĂ©not, Gilles 4 Flaschel, Peter 4 Gencay, Ramazan 4 Gori, Luca 4 LĂłpez Fidalgo, JesĂşs F. 4 Martin, Vance L. 4 Montes-Rojas, Gabriel V. 4 Morana, Claudio 4 Morley, James C. 4 Rubtsov, Alexey N. 4 Shang, Pengjian 4 TĂłth, Bence 4 van Dijk, Dick 4 WeiĂź, Christian H. 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 Ayala, Astrid 3 Bai, Jushan 3 Bauwens, Luc Claude A. 3 Benzaquen, Michael 3 Bhatti, Chad R. 3 Billio, Monica 3 Boubaker, Heni 3 Bouchaud, Jean-Philippe 3 Brianzoni, Serena 3 Bu, Ruijun 3 Canarella, Giorgio 3 Cavicchioli, Maddalena 3 Chan, Joshua C. C. 3 Chen, Yiting 3 Chen, Zhanshou 3 Conrad, Christian 3 Da Fonseca, JosĂ© 3 Deng, Liuchun 3 Dette, Holger 3 Djehiche, Boualem 3 Dufays, Arnaud 3 Elliott, Robert James 3 Escribano, Alvaro 3 Fanti, Luciano 3 Faria, JoĂŁo Ricardo 3 Ferrando, Sebastián Esteban 3 Franses, Philip Hans 3 Gallegati, Mauro 3 Gardini, Laura 3 Gerlach, Richard H. 3 Grasselli, Martino 3 Grillenzoni, Carlo 3 Grossi, Luigi 3 Hommes, Cars H. 3 Ignatieva, Katja 3 Janczura, Joanna 3 Kejriwal, Mohitosh 3 Kendrick, David A. 3 Khan, Mohammed Ali 3 Kim, Young Shin Aaron 3 Kirman, Alan P. 3 Lahiri, Kajal 3 Laurini, Fabrizio 3 Lee, Kyungsub 3 Licht, Adrian 3 Liu, Xiaoquan 3 Livieri, Giulia ...and 1,837 more Authors all top 5 Cited in 187 Journals 118 Studies in Nonlinear Dynamics and Econometrics 83 Journal of Economic Dynamics & Control 79 Journal of Econometrics 51 Quantitative Finance 47 Computational Statistics and Data Analysis 32 Econometric Reviews 24 Economics Letters 22 Chaos, Solitons and Fractals 22 Journal of Time Series Analysis 21 Mathematics and Computers in Simulation 20 Annals of Operations Research 18 Physica A 18 Journal of Applied Statistics 16 Computational Economics 15 Journal of Business and Economic Statistics 14 Journal of Forecasting 13 Journal of Statistical Planning and Inference 13 Computational Statistics 13 Communications in Statistics. 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Advances in Statistical Analysis 5 Environmetrics 4 International Economic Review 4 Economic Theory 4 Chaos 4 International Journal of Theoretical and Applied Finance 4 CEJOR. Central European Journal of Operations Research 4 Journal of Systems Science and Complexity 4 Thai Journal of Mathematics 4 SIAM Journal on Financial Mathematics 3 Physics Letters. A 3 Annals of the Institute of Statistical Mathematics 3 The Annals of Statistics 3 International Statistical Review 3 Journal of Economic Theory 3 The Annals of Applied Probability 3 Test 3 Mathematical Problems in Engineering 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 The Annals of Applied Statistics 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 Statistics 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 Australian & New Zealand Journal of Statistics 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 Advances in Data Analysis and Classification. ADAC 2 Mathematics and Financial Economics 2 European Journal of Pure and Applied Mathematics 2 Electronic Journal of Statistics 2 Afrika Statistika 2 Advances in Decision Sciences 2 Games 2 Quantitative Economics 2 Dynamic Games and Applications 2 Statistics and Computing ...and 87 more Journals all top 5 Cited in 34 Fields 712 Statistics (62-XX) 639 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 106 Probability theory and stochastic processes (60-XX) 77 Numerical analysis (65-XX) 37 Dynamical systems and ergodic theory (37-XX) 23 Operations research, mathematical programming (90-XX) 18 Harmonic analysis on Euclidean spaces (42-XX) 16 Computer science (68-XX) 15 Systems theory; control (93-XX) 13 Ordinary differential equations (34-XX) 11 Information and communication theory, circuits (94-XX) 9 Biology and other natural sciences (92-XX) 7 Partial differential equations (35-XX) 5 Statistical mechanics, structure of matter (82-XX) 5 Geophysics (86-XX) 3 General and overarching topics; collections (00-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 Measure and integration (28-XX) 2 Approximations and expansions (41-XX) 2 Operator theory (47-XX) 2 Fluid mechanics (76-XX) 2 Mathematics education (97-XX) 1 Functions of a complex variable (30-XX) 1 Special functions (33-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) Citations by Year