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Studies in Nonlinear Dynamics & Econometrics
Ed. by Mizrach, Bruce
5 Issues per year
IMPACT FACTOR 2017: 0.855
CiteScore 2017: 0.76
SCImago Journal Rank (SJR) 2017: 0.668
Source Normalized Impact per Paper (SNIP) 2017: 0.894
Mathematical Citation Quotient (MCQ) 2017: 0.02
- Online
- ISSN
- 1558-3708
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- Factor-based forecasting in the presence of outliers: Are factors better selected and estimated by the median than by the mean? by Kristensen, Johannes Tang
- Forecasting Stock Market Volatility with Regime-Switching GARCH Models by Marcucci, Juri
- Public debt and economic growth conundrum: nonlinearity and inter-temporal relationship by Arčabić, Vladimir/ Tica, Josip/ Lee, Junsoo and Sonora, Robert J.
- Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials by Cuestas, Juan Carlos and Gil-Alana, Luis Alberiko
- Regime-switching cointegration by Jochmann, Markus and Koop, Gary
- Are US real house prices stationary? New evidence from univariate and panel data by Zhang, Jing/ de Jong, Robert and Haurin, Donald
- Testing cointegration in quantile regressions with an application to the term structure of interest rates by Kuriyama, Nina
- Frontmatter
- State-dependent effects of fiscal policy by Fazzari, Steven M./ Morley, James and Panovska, Irina
- Frontmatter
- Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach by Atanasova, Christina
- Breaks, trends and unit roots in commodity prices: a robust investigation by Ghoshray, Atanu/ Kejriwal, Mohitosh and Wohar, Mark
- Time-varying fiscal policy in the US by Pereira, Manuel Coutinho and Lopes, Artur Silva
- Herd behavior, bubbles and social interactions in financial markets by Chang, Sheng-Kai
- Assessing the quality of volatility estimators via option pricing by Sanfelici, Simona and Uboldi, Adamo
- Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data by Beck, Alexander/ Kim, Young Shin Aaron/ Rachev, Svetlozar/ Feindt, Michael and Fabozzi, Frank
- Using transfer entropy to measure information flows between financial markets by Dimpfl, Thomas and Peter, Franziska Julia
- Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns by Nakajima, Jouchi
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Issues
Volume 22 (2018)
Volume 21 (2017)
Volume 20 (2016)
Volume 19 (2015)
Volume 18 (2014)
Volume 17 (2013)
Volume 16 (2012)
Volume 15 (2011)
Volume 14 (2010)
Volume 13 (2009)
Volume 12 (2008)
Volume 11 (2007)
Volume 10 (2006)
Volume 9 (2005)
Volume 8 (2004)
Volume 7 (2003)
Volume 6 (2003)
Volume 5 (2002)
Volume 4 (2001)
Volume 3 (1999)
Volume 2 (1998)
Volume 1 (1997)
Volume 12, Issue 3 (Sep 2008)
Regime-Switching Models in Economics and Finance
Article
Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
Granger, Clive W.J.
Published Online: 09/16/2008
A Powerful Test for Linearity When the Order of Integration is Unknown
Harvey, David I / Leybourne, Stephen J / Xiao, Bin
Published Online: 09/16/2008
Optimal Test for Markov Switching GARCH Models
Hu, Liang / Shin, Yongcheol
Published Online: 09/16/2008
Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths
Hultblad, Brigitta / Karlsson, Sune
Published Online: 09/16/2008
Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?
Kim, Chang-Jin / Kim, Yunmi
Published Online: 09/16/2008
Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry
Rothman, Philip A
Published Online: 09/16/2008
Markov-Switching GARCH Modelling of Value-at-Risk
Sajjad, Rasoul / Coakley, Jerry / Nankervis, John C
Published Online: 09/16/2008
Threshold Adjustment of Deviations from the Law of One Price
Juvenal, Luciana / Taylor, Mark P.
Published Online: 09/16/2008
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