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Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Studies in Nonlinear Dynamics & Econometrics / De Gruyter

0.26

Impact Factor

0.31

5-Years IF

25

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.09000 (%)0.03
19910.09000 (%)0.04
19920.09000 (%)0.04
19930.1000 (%)0.05
19940.11000 (%)0.05
19950.19000 (%)0.07
19960.2314149200 (%)0.09
19970.140.270.14102450.21167142142 (%)20.20.09
19980.460.270.461539120.3120924112411 (%)10.070.1
19990.440.310.41544190.435025113916 (%)20.40.13
20000.250.390.361155170.31522054416 (%)0.15
20010.060.410.361873250.341331615520 (%)0.16
20020.170.430.411588350.421729559241 (%)10.070.19
20030.670.450.5224112510.46125332264331 (%)20.080.19
20040.560.510.4134146770.5324639227330 (%)100.290.21
20050.480.540.7261721260.732365828102711 (%)40.150.22
20060.730.520.85292011750.872086044117992 (1%)80.280.21
20070.620.450.66242251380.6196553412884 (%)30.130.18
20080.40.480.61262511690.67145532113784 (%)20.080.2
20090.360.480.67262771620.58995018139932 (2%)30.120.19
20100.330.440.6222991630.5538521713178 (%)30.140.16
20110.50.530.6183171850.5834482412776 (%)40.220.21
20120.380.580.67373542350.6635401511678 (%)40.110.22
20130.380.710.62313852210.5728552112980 (%)110.350.25
20140.260.810.31284132220.5417681813442 (%)20.070.28
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:

[Click on heading to sort table]

YearTitleCited
1997Inference in TAR Models. (1997). Hansen, Bruce E.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:2:y:1997:i:1:n:1.

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85
1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income. (1998). Lampart, Camille ; Ramsey, James B.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:3:y:1998:i:1:n:2.

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84
2002Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks. (2002). Collard, Fabrice ; ben Salem, Melika ; Bensalem, Melika ; Bec, Frederique . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:6:y:2002:i:2:n:3.

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69
2001Energy Shocks and Financial Markets: Nonlinear Linkages. (2001). Ciner, Cetin . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:5:y:2001:i:3:n:3.

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55
2006Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models. (2006). Misiorek, Adam ; Trueck, Stefan ; Weron, Rafal . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:2.

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51
2002Wavelets in Economics and Finance: Past and Future. (2002). Ramsey, James B.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:6:y:2002:i:3:n:1.

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46
2005Forecasting Stock Market Volatility with Regime-Switching GARCH Models. (2005). Marcucci, Juri . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:4:n:6.

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43
2004The Long Memory of the Efficient Market. (2004). Farmer, Doyne J. ; Lillo, Fabrizio . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:3:n:1.

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42
2003Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists. (2003). Westerhoff, Frank H. ; Reitz, Stefan . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:7:y:2003:i:4:n:3.

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41
2004Household Income Dynamics in Two Transition Economies. (2004). Ravallion, Martin ; Lokshin, Michael . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:3:n:4.

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40
2002Microeconomic Models for Long Memory in the Volatility of Financial Time Series. (2002). TEYSSIeRE, Gilles . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:5:y:2002:i:4:n:3.

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36
1997Investigating Cyclical Asymmetries. (1997). Randal Verbrugge Randal Verbrugge, . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:2:y:1997:i:1:n:2.

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36
1998Smooth-Transition GARCH Models. (1998). Gonzalez-Rivera, Gloria . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:3:y:1998:i:2:n:1.

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34
2000A Graphical Investigation of the Size and Power of the Granger-Causality Tests in Integrated-Cointegrated VAR Systems. (2000). Mantalos, Panagiotis . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:4:y:2000:i:1:n:2.

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33
2005A Practitioners Guide to Lag Order Selection For VAR Impulse Response Analysis. (2005). Kilian, Lutz ; Ivanov, Ventzislav . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:1:n:2.

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33
2006The Nature of Power Spikes: A Regime-Switch Approach. (2006). De Jong, Cyriel . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:3.

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31
1998GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model. (1998). Ghysels, Eric ; Jasiak, Joanna . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:2:y:1998:i:4:n:4.

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29
2004Nonlinear Monetary Policy Rules: Some New Evidence for the U.S.. (2004). Ruge-Murcia, Francisco J. ; Pedrero, Ramon Maria-Dolores ; Dolado, Juan . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:3:n:2.

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29
2008Threshold Adjustment of Deviations from the Law of One Price. (2008). Juvenal, Luciana ; Taylor, Mark P.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:12:y:2008:i:3:n:8.

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27
2009Changes in U.S. Inflation Persistence. (2009). Kim, Chang-Jin ; Kang, Kyu Ho ; Morley, James . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:13:y:2009:i:4:n:1.

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27
2005The International CAPM and a Wavelet-Based Decomposition of Value at Risk. (2005). Fernandez, Viviana P.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:4:n:4.

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26
1998Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?. (1998). Vigfusson, Robert ; van Norden, Simon . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:3:y:1998:i:1:n:1.

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25
2005A Note on the Hiemstra-Jones Test for Granger Non-causality. (2005). Diks, Cees ; Panchenko, Valentyn . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:2:n:4.

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25
2008Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle. (2008). Kejriwal, Mohitosh . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:12:y:2008:i:1:n:3.

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25
2006Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices. (2006). Morten Ø. Nielsen, ; Haldrup, Niels . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:1.

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25
2005Wavelet Transforms and Commodity Prices. (2005). Connor, Jeff ; Rossiter, Rosemary . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:1:n:6.

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23
2006Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom. (2006). Davradakis, Emmanuel ; Taylor, Mark P.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:4:n:1.

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23
2007Wavelet Variance Analysis of Output in G-7 Countries. (2007). Gallegati, Marco . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:11:y:2007:i:3:n:6.

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23
2004Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation. (2004). Doornik, Jurgen A. ; Ooms, Marius . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:2:n:14.

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21
2008Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?. (2008). Clive W. J. Granger, . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:12:y:2008:i:3:n:1.

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21
2003The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses. (2003). In, Francis Haeuck ; Kim, Sangbae . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:7:y:2003:i:4:n:4.

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21
1996A Check on the Robustness of Hamiltons Markov Switching Model Approach to the Economic Analysis of the Business Cycle. (1996). Boldin, Michael D.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:1:y:1996:i:1:n:re1.

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20
2001Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis. (2001). Sarno, Lucio ; Taylor, Mark P.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:5:y:2001:i:3:n:1.

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20
1999Stability Analysis of Continuous-Time Macroeconometric Systems. (1999). Barnett, William A. ; He, Yijun . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:3:y:1999:i:4:n:1.

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19
A Component GARCH Model with Time Varying Weights. (2009). Storti, Giuseppe ; BAUWENS, Luc . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:13:y:2009:i:2:n:1.

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19
2001Wavelet Analysis of the Cost-of-Carry Model. (2001). Stevenson, Maxwell ; Lin, Shinn-Juh . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:5:y:2001:i:1:n:7.

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18
2004Mixture Processes for Financial Intradaily Durations. (2004). Gallo, Giampiero M. ; De Luca, Giovanni . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:2:n:8.

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17
2005Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance. (2005). Conrad, Christian ; Karanasos, Menelaos . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:4:n:5.

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17
2004An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests. (2004). Kapetanios, George ; Uctum, Merih ; Chortareas, Georgios E.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:1:n:4.

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17
2006Risk Premia in Electricity Forward Prices. (2006). Diko, Pavel ; Limpens, Valerie ; Lawford, Steve . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:7.

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16
Technical Trading Rules and the Size of the Risk Premium in Security Returns. (1997). Gencay, Ramazan ; Stengos, Thanasis . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:2:y:1997:i:2:n:1.

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16
1996SIMANN: A Global Optimization Algorithm using Simulated Annealing. (1996). Goffe, William L.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:1:y:1996:i:3:n:al1.

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16
2007Jump-and-Rest Effect of U.S. Business Cycles. (2007). Quiros, Gabriel Perez ; Camacho, Maximo . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:11:y:2007:i:4:n:3.

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14
2005Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test. (2005). Basci, Erdem ; Caner, Mehmet . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:4:n:2.

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14
2002Characterizing the Degree of Stability of Non-linear Dynamic Models. (2002). Bask, Mikael ; de Luna, Xavier . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:6:y:2002:i:1:n:3.

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14
2005Can GARCH Models Capture Long-Range Dependence?. (2005). Maheu, John . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:4:n:1.

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14
1997Endogenous Cycles in Competitive Models: An Overview. (1997). Reichlin, Pietro . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:1:y:1997:i:4:n:1.

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14
2002Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation. (2002). Morana, Claudio . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:6:y:2002:i:3:n:3.

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14
2002Power Properties of Nonlinearity Tests for Time Series with Markov Regimes. (2002). Spagnolo, Nicola ; Psaradakis, Zacharias . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:6:y:2002:i:3:n:2.

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13
2007Detecting Multiple Changes in Persistence. (2007). A. M. Robert Taylor, ; Kim, Tae-Hwan ; Leybourne, Stephen . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:11:y:2007:i:3:n:2.

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13

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income. (1998). Lampart, Camille ; Ramsey, James B.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:3:y:1998:i:1:n:2.

Full description at Econpapers || Download paper

28
2001Energy Shocks and Financial Markets: Nonlinear Linkages. (2001). Ciner, Cetin . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:5:y:2001:i:3:n:3.

Full description at Econpapers || Download paper

28
2006Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models. (2006). Misiorek, Adam ; Trueck, Stefan ; Weron, Rafal . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:2.

Full description at Econpapers || Download paper

24
2005Forecasting Stock Market Volatility with Regime-Switching GARCH Models. (2005). Marcucci, Juri . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:4:n:6.

Full description at Econpapers || Download paper

19
2008Cointegration with Structural Breaks: An Application to the Feldstein-Horioka Puzzle. (2008). Kejriwal, Mohitosh . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:12:y:2008:i:1:n:3.

Full description at Econpapers || Download paper

18
2006Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices. (2006). Morten Ø. Nielsen, ; Haldrup, Niels . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:1.

Full description at Econpapers || Download paper

16
2000A Graphical Investigation of the Size and Power of the Granger-Causality Tests in Integrated-Cointegrated VAR Systems. (2000). Mantalos, Panagiotis . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:4:y:2000:i:1:n:2.

Full description at Econpapers || Download paper

15
1997Inference in TAR Models. (1997). Hansen, Bruce E.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:2:y:1997:i:1:n:1.

Full description at Econpapers || Download paper

13
2009Changes in U.S. Inflation Persistence. (2009). Kim, Chang-Jin ; Kang, Kyu Ho ; Morley, James . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:13:y:2009:i:4:n:1.

Full description at Econpapers || Download paper

12
2002Wavelets in Economics and Finance: Past and Future. (2002). Ramsey, James B.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:6:y:2002:i:3:n:1.

Full description at Econpapers || Download paper

12
2008Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?. (2008). Clive W. J. Granger, . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:12:y:2008:i:3:n:1.

Full description at Econpapers || Download paper

11
2004The Long Memory of the Efficient Market. (2004). Farmer, Doyne J. ; Lillo, Fabrizio . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:3:n:1.

Full description at Econpapers || Download paper

11
2006The Nature of Power Spikes: A Regime-Switch Approach. (2006). De Jong, Cyriel . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:3.

Full description at Econpapers || Download paper

9
2009A Component GARCH Model with Time Varying Weights. (2009). Storti, Giuseppe ; BAUWENS, Luc . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:13:y:2009:i:2:n:1.

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9
2013Noncausality and asset pricing. (2013). . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:17:y:2013:i:2:p:211-220:n:6.

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8
2006Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom. (2006). Davradakis, Emmanuel ; Taylor, Mark P.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:4:n:1.

Full description at Econpapers || Download paper

8
2012A New Forecasting Model for USD/CNY Exchange Rate. (2012). Chen, Linna ; Cai, Zongwu ; Fang, Ying . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:16:y:2012:i:3:n:4.

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8
2005The International CAPM and a Wavelet-Based Decomposition of Value at Risk. (2005). Fernandez, Viviana P.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:4:n:4.

Full description at Econpapers || Download paper

8
2002Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks. (2002). Collard, Fabrice ; ben Salem, Melika ; Bensalem, Melika ; Bec, Frederique . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:6:y:2002:i:2:n:3.

Full description at Econpapers || Download paper

8
2005A Note on the Hiemstra-Jones Test for Granger Non-causality. (2005). Diks, Cees ; Panchenko, Valentyn . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:2:n:4.

Full description at Econpapers || Download paper

8
2003The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses. (2003). In, Francis Haeuck ; Kim, Sangbae . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:7:y:2003:i:4:n:4.

Full description at Econpapers || Download paper

8
2008Threshold Adjustment of Deviations from the Law of One Price. (2008). Juvenal, Luciana ; Taylor, Mark P.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:12:y:2008:i:3:n:8.

Full description at Econpapers || Download paper

7
2007The Dynamic Behaviour of an Endogenous Growth Model with Public Capital and Pollution. (2007). Greiner, Alfred . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:11:y:2007:i:2:n:4.

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7
2004Nonlinear Monetary Policy Rules: Some New Evidence for the U.S.. (2004). Ruge-Murcia, Francisco J. ; Pedrero, Ramon Maria-Dolores ; Dolado, Juan . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:3:n:2.

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7
2007Change-Points in U.S. Business Cycle Durations. (2007). Davig, Troy . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:11:y:2007:i:2:n:6.

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6
2010Fundamental and Behavioural Drivers of Electricity Price Volatility. (2010). Bunn, Derek W. ; Karakatsani, Nektaria V.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:14:y:2010:i:4:n:4.

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6
2012Technological Adoption with Imperfect Markets in the Italian Economy. (2012). Wymer, Clifford R. ; Giannetti, Marilena ; Saltari, Enrico ; Federici, Daniela . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:16:y:2012:i:2:n:5.

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6
2005A Practitioners Guide to Lag Order Selection For VAR Impulse Response Analysis. (2005). Kilian, Lutz ; Ivanov, Ventzislav . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:1:n:2.

Full description at Econpapers || Download paper

6
1998Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?. (1998). Vigfusson, Robert ; van Norden, Simon . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:3:y:1998:i:1:n:1.

Full description at Econpapers || Download paper

6
2006Risk Premia in Electricity Forward Prices. (2006). Diko, Pavel ; Limpens, Valerie ; Lawford, Steve . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:7.

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5
2011Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis. (2011). Casarin, Roberto . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:15:y:2011:i:4:n:2.

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5
2008Multivariate Skewed Students t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market. (2008). Fabozzi, Frank J. ; Sun, Wei ; Rachev, Svetlozar ; Stoyanov, Stoyan V.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:12:y:2008:i:2:n:3.

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5
2009Nonlinearity between Inequality and Growth. (2009). Yeh, Chih-Chuan ; Lin, Shu-Chin ; Huang, Ho-Chuan ; Kim, Dong-Hyeon . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:13:y:2009:i:2:n:3.

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5
2004MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model. (2004). Raggi, Davide ; Cappuccio, Nunzio ; Lubian, Diego . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:2:n:6.

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5
1998Smooth-Transition GARCH Models. (1998). Gonzalez-Rivera, Gloria . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:3:y:1998:i:2:n:1.

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5
2002Power Properties of Nonlinearity Tests for Time Series with Markov Regimes. (2002). Spagnolo, Nicola ; Psaradakis, Zacharias . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:6:y:2002:i:3:n:2.

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5
2006Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Albertas Deregulated Markets. (2006). Shahmoradi, Akbar ; Serletis, Apostolos . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:10.

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5
2014Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function. (2014). Martino, Grasselli ; Florian, Ielpo . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:18:y:2014:i:3:p:37:n:1.

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5
1996SIMANN: A Global Optimization Algorithm using Simulated Annealing. (1996). Goffe, William L.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:1:y:1996:i:3:n:al1.

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5
2010Estimation of Parameters in the Presence of Model Misspecification and Measurement Error. (2010). P. A. V. B. Swamy, ; Stephen G. F. Hall, ; P. A. V. B. Swamy, . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:14:y:2010:i:3:n:1.

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5
2003Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists. (2003). Westerhoff, Frank H. ; Reitz, Stefan . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:7:y:2003:i:4:n:3.

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5
2004Household Income Dynamics in Two Transition Economies. (2004). Ravallion, Martin ; Lokshin, Michael . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:3:n:4.

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4
2008A Powerful Test for Linearity When the Order of Integration is Unknown. (2008). Xiao, Bin ; Leybourne, Stephen J. ; Harvey, David I.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:12:y:2008:i:3:n:2.

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4
2005Wavelet Transforms and Commodity Prices. (2005). Connor, Jeff ; Rossiter, Rosemary . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:1:n:6.

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4
2006Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market. (2006). Luiz Felipe Moreira do Amaral, ; Stevenson, Maxwell J. ; Peat, Maurice . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:4.

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4
2004Mixture Processes for Financial Intradaily Durations. (2004). Gallo, Giampiero M. ; De Luca, Giovanni . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:2:n:8.

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4
2004Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation. (2004). Doornik, Jurgen A. ; Ooms, Marius . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:2:n:14.

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4
2004An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests. (2004). Kapetanios, George ; Uctum, Merih ; Chortareas, Georgios E.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:1:n:4.

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4
2009Asymmetry in the Business Cycle: Friedmans Plucking Model with Correlated Innovations. (2009). . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:14:y:2009:i:1:n:3.

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4
2007Detecting Multiple Changes in Persistence. (2007). A. M. Robert Taylor, ; Kim, Tae-Hwan ; Leybourne, Stephen . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:11:y:2007:i:3:n:2.

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4

Citing documents used to compute impact factor 18:

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YearTitleSee
2014Noncausal Bayesian Vector Autoregression. (2014). Luoto, Jani ; Lanne, Markku . In: CREATES Research Papers. RePEc:aah:create:2014-07.

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[Citation Analysis]
2014Forecasting with a noncausal VAR model. (2014). Saikkonen, Pentti . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:536-555.

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2014Dynamic modeling of commodity futures prices. (2014). Karapanagiotidis, Paul . In: MPRA Paper. RePEc:pra:mprapa:56805.

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2014Consistent estimation of breakpoints in time series, with application to wavelet analysis of Citigroup returns. (2014). Roberts, Leigh . In: Working Paper Series. RePEc:vuw:vuwecf:3169.

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[Citation Analysis]
2014The impact of financial transaction taxes: Evidence from Italy. (2014). Stein, Michael ; Ruhl, Tobias R.. In: Economics Bulletin. RePEc:ebl:ecbull:eb-14-00006.

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[Citation Analysis]
2014The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate. (2014). Funke, Michael ; Chen, Yu-Fu ; Glanemann, Nicole . In: Open Economies Review. RePEc:kap:openec:v:25:y:2014:i:2:p:311-336.

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[Citation Analysis]
2014The credibility of Hong Kong’s currency board system: Looking through the prism of MS-VAR models with time-varying transition probabilities. (2014). Blagov, Boris ; Funke, Michael . In: BOFIT Discussion Papers. RePEc:hhs:bofitp:2014_015.

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[Citation Analysis]
2014Regional recessions and recoveries in theory and practice: a resilience-based overview. (2014). Di Caro, Paolo . In: MPRA Paper. RePEc:pra:mprapa:60300.

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[Citation Analysis]
2014Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market. (2014). Huptas, Roman . In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:6:y:2014:i:4:p:237-273.

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[Citation Analysis]
2014Time-Varying Persistence in US Inflation. (2014). Gupta, Rangan . In: Working Papers. RePEc:pre:wpaper:201457.

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[Citation Analysis]
2014Aggregate sentiment dynamics: A canonical modelling approach and its pleasant nonlinearities. (2014). Franke, Reiner . In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:31:y:2014:i:c:p:64-72.

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[Citation Analysis]
2014Financial instability and debt deflation dynamics in a bottom-up approach. (2014). Di Guilmi, Corrado . In: Economics Bulletin. RePEc:ebl:ecbull:eb-13-00662.

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[Citation Analysis]
2014Not all international monetary shocks are alike for the Japanese economy. (2014). . In: CAMA Working Papers. RePEc:een:camaaa:2014-14.

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2014Liquidity expansion in China and the U.S. economy. (2014). Kang, Wensheng . In: MPRA Paper. RePEc:pra:mprapa:59338.

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[Citation Analysis]
2014Elasticity of substitution and the slowdown of the Italian productivity. (2014). Federici, Daniela ; Saltari, Enrico . In: MPRA Paper. RePEc:pra:mprapa:58302.

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[Citation Analysis]
2014Elasticity of substitution and the slowdown of the Italian productivity. (2014). Federici, Daniela ; Saltari, Enrico . In: MPRA Paper. RePEc:pra:mprapa:58422.

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[Citation Analysis]
2014Elasticity of substitution and the slowdown of Italian productivity. (2014). Federici, Daniela ; Saltari, Enrico . In: Working Papers. RePEc:sap:wpaper:wp166.

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[Citation Analysis]
2014State of confidence, overborrowing and the macroeconomic stabilization puzzle. (2014). Maggi, Bernardo . In: DSS Empirical Economics and Econometrics Working Papers Series. RePEc:sas:wpaper:20142.

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[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2014

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YearTitleSee
2014The Wishart short rate model. (2014). Gnoatto, Alessandro . In: Papers. RePEc:arx:papers:1203.5513.

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[Citation Analysis]
2014Pricing range notes within Wishart affine models. (2014). da Fonseca, Jose ; Grasselli, Martino . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:193-203.

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[Citation Analysis]

Recent citations received in: 2013

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YearTitleSee
2013NONCAUSAL VECTOR AUTOREGRESSION. (2013). Lanne, Markku ; Saikkonen, Pentti . In: Econometric Theory. RePEc:cup:etheor:v:29:y:2013:i:03:p:447-481_00.

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2013Noncausality and Inflation Persistence. (2013). . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1286.

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[Citation Analysis]
2013Is the relationship between prices and exchange rates homogeneous?. (2013). Hondroyiannis, George ; Swamy, P. A. V. B., ; Swamy, P. A. V. B., ; Hall, Stephen G. ; Tavlas, George S.. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:37:y:2013:i:c:p:411-438.

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[Citation Analysis]
2013Plant Productivity Dynamics and Private and Public R&D Spillovers: Technological, Geographic and Relational Proximity. (2013). Harris, Mark N. ; Greene, William H. ; Gillman, Max . In: CEI Working Paper Series. RePEc:hit:hitcei:2013-05.

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2013Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach. (2013). . In: IRENE Working Papers. RePEc:irn:wpaper:13-01.

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[Citation Analysis]
2013The Tempered Ordered Probit (TOP) model with an application to monetary policy. (2013). Spencer, Christopher ; Greene, William H. ; Gillman, Max ; Harris, Mark N.. In: Discussion Paper Series. RePEc:lbo:lbowps:2013_10.

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[Citation Analysis]
2013Is the Relationship Between Prices and Exchange Rates Homogeneous?. (2013). Kenjegaliev, Amangeldi ; Hall, Stephen ; P. A. V. B. Swamy, ; P. A. V. B. Swamy, ; Tavlas, George S. ; Hondroyiannis, George . In: Discussion Papers in Economics. RePEc:lec:leecon:13/13.

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2013Empirical evidence for nonlinearity and irreversibility of commodity futures prices. (2013). Karapanagiotidis, Paul . In: MPRA Paper. RePEc:pra:mprapa:56801.

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[Citation Analysis]
2013Essays on Expectations and the Econometrics of Asset Pricing. (2013). . In: MPRA Paper. RePEc:pra:mprapa:59064.

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2013Sectoral Composition of Government Spending and Macroeconomic (In)stability. (2013). Guo, Jang-Ting ; Wang, Wei-Neng ; Chang, Juin-Jen ; Shieh, Jhy-Yuan . In: IEAS Working Paper : academic research. RePEc:sin:wpaper:13-a010.

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2013Copula-based dynamic conditional correlation multiplicative error processes. (2013). Hautsch, Nikolaus ; Bodnar, Taras . In: CFS Working Paper Series. RePEc:zbw:cfswop:201319.

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[Citation Analysis]

Recent citations received in: 2012

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YearTitleSee
2012De facto currency baskets of China and East Asian economies: The rising weights. (2012). Niu, Linlin ; Fang, Ying ; Huang, Shicheng . In: BOFIT Discussion Papers. RePEc:hhs:bofitp:2012_002.

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2012Rational Speculators, Contrarians and Excess Volatility. (2012). . In: MPRA Paper. RePEc:pra:mprapa:43490.

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[Citation Analysis]
2012The role of ICT and Business Services in Italy. (2012). . In: Working Papers. RePEc:sap:wpaper:wp152.

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2012Facts and distortions in an endogenous growth model with physical capital, human capital and varieties. (2012). Sequeira, Tiago . In: Portuguese Economic Journal. RePEc:spr:portec:v:11:y:2012:i:3:p:171-188.

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[Citation Analysis]

Recent citations received in: 2011

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2011Econometric Analysis and Prediction of Recurrent Events. (2011). Pagan, Adrian . In: CREATES Research Papers. RePEc:aah:create:2011-33.

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2011International Synchronisation of the Pork Cycle. (2011). Holst, Carsten ; von Cramon-Taubadel, Stephan . In: 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland. RePEc:ags:eaae11:114532.

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2011Forecasting volatility: does continuous time do better than discrete time?. (2011). Breto, Carles ; Veiga, Helena . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws112518.

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2011Testing for Linear and Nonlinear Causality between Crude Oil Price Changes and Stock Market Returns. (2011). Anoruo, Emmanuel . In: International Journal of Business and Economic Sciences Applied Research (IJBESAR). RePEc:tei:journl:v:4:y:2011:i:3:p:75-92.

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[Citation Analysis]

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.