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Studies in Nonlinear Dynamics & Econometrics / De Gruyter


0.7

Impact Factor

0.49

5-Years IF

30

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.04
19910.1000 (%)0.04
19920.09000 (%)0.04
19930.11000 (%)0.05
19940.12000 (%)0.04
19950.19000 (%)0.07
19960.231414139001 (%)0.09
19970.210.260.21102460.252251431432 (%)20.20.09
19980.540.280.541539150.38281241324134 (1.4%)10.070.1
19990.440.320.46544210.4867251139182 (3%)20.40.13
20000.30.390.521155240.44932064423 (%)0.15
20010.130.390.381873260.361951625521 (%)0.14
20020.140.40.461588390.4429529459272 (%)10.070.17
20030.640.430.5824112570.51157332164372 (1.3%)20.080.18
20040.690.480.4934146880.6301392773361 (%)100.290.19
20050.50.520.75261721330.7736458291027610 (2.7%)50.190.2
20060.780.510.93292011860.9334860471171093 (%)80.280.2
20070.750.450.75242251640.731525541128962 (1.3%)40.170.18
20080.510.480.72262511890.752165327137981 (%)20.080.2
20090.440.490.74262771900.6914150221391032 (1.4%)40.150.19
20100.380.460.69222991900.6475522013190 (%)30.140.17
20110.520.490.68183172200.6960482512786 (%)40.220.19
20120.530.520.75373542730.77754021116871 (1.3%)50.140.19
20130.40.580.71313852750.71645522129923 (4.7%)130.420.2
20140.280.60.34284132790.6883681913445 (%)70.250.2
20150.560.610.52314443030.68905933136712 (2.2%)70.230.19
20160.610.680.48334772890.6113593614570 (%)0.2
20170.70.730.49285052600.5112644516079 (%)20.070.22
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:


#YearTitleCited
11998The 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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130
21997Inference in TAR Models. (1997). Hansen, Bruce. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:2:y:1997:i:1:n:1.

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114
32001Energy 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

101
42006Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models. (2006). Weron, Rafał ; Trueck, Stefan ; Misiorek, Adam. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:2.

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98
52002Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks. (2002). Collard, Fabrice ; Bec, Frédérique ; Ben Salem, Melika ; Bensalem, Melika . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:6:y:2002:i:2:n:3.

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89
62002Wavelets 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

81
72005Forecasting 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

76
82006Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices. (2006). Nielsen, Morten ; Haldrup, Niels ; Morten Ø. Nielsen, . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:1.

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67
92000A 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

64
102005A 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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61
112004The Long Memory of the Efficient Market. (2004). Farmer, J. ; Lillo, Fabrizio. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:3:n:1.

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60
121996A Check on the Robustness of Hamiltons Markov Switching Model Approach to the Economic Analysis of the Business Cycle. (1996). Boldin, Michael. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:1:y:1996:i:1:n:re1.

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55
132005A Note on the Hiemstra-Jones Test for Granger Non-causality. (2005). Panchenko, Valentyn ; Diks, Cees. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:2:n:4.

Full description at Econpapers || Download paper

53
142003Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists. (2003). Westerhoff, Frank ; Reitz, Stefan. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:7:y:2003:i:4:n:3.

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49
152002Microeconomic Models for Long Memory in the Volatility of Financial Time Series. (2002). Kirman, Alan ; TEYSSIeRE, Gilles . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:5:y:2002:i:4:n:3.

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48
162006The 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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46
172004Household 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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46
182004Nonlinear Monetary Policy Rules: Some New Evidence for the U.S.. (2004). Ruge-Murcia, Francisco ; Maria-Dolores, Ramón ; Dolado, Juan ; Pedrero, Ramon Maria-Dolores . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:3:n:2.

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46
191997Investigating Cyclical Asymmetries. (1997). Verbrugge, Randal ; 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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40
202005The International CAPM and a Wavelet-Based Decomposition of Value at Risk. (2005). Fernandez, Viviana. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:4:n:4.

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38
212008Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?. (2008). Granger, Clive ; 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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34
222008Threshold Adjustment of Deviations from the Law of One Price. (2008). Taylor, Mark ; Juvenal, Luciana. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:12:y:2008:i:3:n:8.

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34
232007Wavelet 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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34
242006Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom. (2006). Taylor, Mark ; Davradakis, Emmanuel . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:4:n:1.

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34
251998Smooth-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
261998Avoiding 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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33
272008Cointegration 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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31
282005Wavelet 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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30
292009Changes in U.S. Inflation Persistence. (2009). Morley, James ; Kim, Chang-Jin ; Kang, Kyuho. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:13:y:2009:i:4:n:1.

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30
302007Detecting Multiple Changes in Persistence. (2007). Taylor, Robert ; Leybourne, Stephen ; Kim, Tae-Hwan ; A. M. Robert Taylor, . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:11:y:2007:i:3:n:2.

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30
311998GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model. (1998). Jasiak, Joann ; Ghysels, Eric. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:2:y:1998:i:4:n:4.

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29
322003The 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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27
332008A Powerful Test for Linearity When the Order of Integration is Unknown. (2008). Leybourne, Stephen ; Harvey, David ; Xiao, Bin . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:12:y:2008:i:3:n:2.

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24
342001Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis. (2001). Taylor, Mark ; Sarno, Lucio. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:5:y:2001:i:3:n:1.

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23
352014Forecast densities for economic aggregates from disaggregate ensembles. (2014). Vahey, Shaun ; Ravazzolo, Francesco ; Francesco, Ravazzolo ; Vahey Shaun P., . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:18:y:2014:i:4:p:15:n:4.

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23
362006Risk Premia in Electricity Forward Prices. (2006). Lawford, Steve ; Diko, Pavel ; Limpens, Valerie . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:7.

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23
37A 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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23
382001Wavelet 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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23
392005Dual 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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22
402004Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation. (2004). Ooms, Marius ; Doornik, Jurgen. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:2:n:14.

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21
412015The changing dynamics of US inflation persistence: a quantile regression approach. (2015). Wolters, Maik ; Peter, Tillmann ; Wolters Maik H., . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:2:p:161-182:n:4.

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21
421999Stability Analysis of Continuous-Time Macroeconometric Systems. (1999). Barnett, William ; He, Yijun . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:3:y:1999:i:4:n:1.

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21
432004An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests. (2004). Uctum, Merih ; Chortareas, Georgios ; Kapetanios, George. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:1:n:4.

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20
442004Mixture Processes for Financial Intradaily Durations. (2004). Gallo, Giampiero ; De Luca, Giovanni. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:2:n:8.

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18
452003Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach. (2003). Atanasova, Christina . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:7:y:2003:i:4:n:5.

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18
462007The 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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18
472010Fundamental 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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18
481996SIMANN: 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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17
492014Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function. (2014). Ielpo, Florian ; DA FONSECA, José ; 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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17
502005Can 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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17

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12006Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models. (2006). Weron, Rafał ; Trueck, Stefan ; Misiorek, Adam. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:2.

Full description at Econpapers || Download paper

39
21998The 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

34
32001Energy 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

33
42005Forecasting 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

25
52006Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices. (2006). Nielsen, Morten ; Haldrup, Niels ; Morten Ø. Nielsen, . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:1.

Full description at Econpapers || Download paper

23
62002Wavelets 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

22
72000A 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

21
82005A Note on the Hiemstra-Jones Test for Granger Non-causality. (2005). Panchenko, Valentyn ; Diks, Cees. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:2:n:4.

Full description at Econpapers || Download paper

21
92005A 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

19
101997Inference in TAR Models. (1997). Hansen, Bruce. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:2:y:1997:i:1:n:1.

Full description at Econpapers || Download paper

16
112015On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing. (2015). Panagiotidis, Theodore ; Bampinas, Georgios ; Theodore, Panagiotidis ; Georgios, Bampinas . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:5:p:657-668:n:6.

Full description at Econpapers || Download paper

15
122004The Long Memory of the Efficient Market. (2004). Farmer, 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

14
132015State-dependent effects of fiscal policy. (2015). Morley, James ; Fazzari, Steven ; Irina, Panovska ; James, Morley ; Fazzari Steven M., . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:3:p:285-315:n:5.

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14
142015The changing dynamics of US inflation persistence: a quantile regression approach. (2015). Wolters, Maik ; Peter, Tillmann ; Wolters Maik H., . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:2:p:161-182:n:4.

Full description at Econpapers || Download paper

14
152008A Powerful Test for Linearity When the Order of Integration is Unknown. (2008). Leybourne, Stephen ; Harvey, David ; Xiao, Bin . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:12:y:2008:i:3:n:2.

Full description at Econpapers || Download paper

13
162015Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the Euro area. (2015). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Bo, Sjo ; Salah, Uddin Gazi ; Khuong, Nguyen Duc ; Stelios, Bekiros . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:5:p:609-624:n:5.

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12
172002Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks. (2002). Collard, Fabrice ; Bec, Frédérique ; Ben Salem, Melika ; Bensalem, Melika . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:6:y:2002:i:2:n:3.

Full description at Econpapers || Download paper

10
182007The 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.

Full description at Econpapers || Download paper

9
192004Nonlinear Monetary Policy Rules: Some New Evidence for the U.S.. (2004). Ruge-Murcia, Francisco ; Maria-Dolores, Ramón ; Dolado, Juan ; Pedrero, Ramon Maria-Dolores . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:3:n:2.

Full description at Econpapers || Download paper

9
202014Forecast densities for economic aggregates from disaggregate ensembles. (2014). Vahey, Shaun ; Ravazzolo, Francesco ; Francesco, Ravazzolo ; Vahey Shaun P., . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:18:y:2014:i:4:p:15:n:4.

Full description at Econpapers || Download paper

9
212002Microeconomic Models for Long Memory in the Volatility of Financial Time Series. (2002). Kirman, Alan ; TEYSSIeRE, Gilles . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:5:y:2002:i:4:n:3.

Full description at Econpapers || Download paper

9
222006The 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

8
232014Nonlinearity, heterogeneity and unobserved effects in the carbon dioxide emissions-economic development relation for advanced countries. (2014). Musolesi, Antonio ; Mazzanti, Massimiliano ; Antonio, Musolesi . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:18:y:2014:i:5:p:21:n:3.

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8
242008Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?. (2008). Granger, Clive ; 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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7
252005The International CAPM and a Wavelet-Based Decomposition of Value at Risk. (2005). Fernandez, Viviana. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:4:n:4.

Full description at Econpapers || Download paper

7
262006Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom. (2006). Taylor, Mark ; Davradakis, Emmanuel . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:4:n:1.

Full description at Econpapers || Download paper

7
272012Microfounded Animal Spirits in the New Macroeconomic Consensus. (2012). Franke, Reiner. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:16:y:2012:i:4:n:4.

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7
282007Wavelet 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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7
292010Fundamental 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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7
302003Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists. (2003). Westerhoff, Frank ; Reitz, Stefan. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:7:y:2003:i:4:n:3.

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6
312009Modeling Jump and Continuous Components in the Volatility of Oil Futures. (2009). Huang, Chin-Sheng ; Tseng, Tseng-Chan ; Chung, Huimin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:13:y:2009:i:3:n:5.

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6
322008Cointegration 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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6
332004Household 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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6
341998Avoiding 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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5
352013Determining the number of global and country-specific factors in the euro area. (2013). Rua, António ; Pinheiro, Maximiano ; Francisco, Dias ; Antonio, Rua ; Maximiano, Pinheiro . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:17:y:2013:i:5:p:573-617:n:3.

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5
362014Breaks, trends and unit roots in commodity prices: a robust investigation. (2014). Wohar, Mark ; Kejriwal, Mohitosh ; Ghoshray, Atanu ; Atanu, Ghoshray ; Mark, Wohar ; Mohitosh, Kejriwal . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:18:y:2014:i:1:p:23-40:n:5.

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5
371996A Check on the Robustness of Hamiltons Markov Switching Model Approach to the Economic Analysis of the Business Cycle. (1996). Boldin, Michael. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:1:y:1996:i:1:n:re1.

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5
382007Detecting Multiple Changes in Persistence. (2007). Taylor, Robert ; Leybourne, Stephen ; Kim, Tae-Hwan ; A. M. Robert Taylor, . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:11:y:2007:i:3:n:2.

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5
392012Routes to Complexity Induced by Constraints in Cournot Oligopoly Games with Linear Reaction Functions. (2012). Bischi, Gian Italo ; Lamantia, Fabio. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:16:y:2012:i:2:n:4.

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5
402014Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function. (2014). Ielpo, Florian ; DA FONSECA, José ; 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
412006Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Albertas Deregulated Markets. (2006). Shahmoradi, Asghar ; Serletis, Apostolos. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:3:n:10.

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4
422017Generating prediction bands for path forecasts from SETAR models. (2017). Winker, Peter ; Staszewska-Bystrova, Anna ; Anna, Staszewska-Bystrova ; Daniel, Grabowski. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:5:p:18:n:4.

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4
432011Analysing the Dynamics between U.S. Inflation and Dow Jones Index Using Non-Linear Methods. (2011). KYRTSOU, Catherine ; Karagianni, Stella . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:15:y:2011:i:2:n:4.

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4
442015Bank characteristics and the interbank money market: a distributional approach. (2015). Olmo, Jose ; Iori, Giulia ; Jose, Olmo ; Burcu, Kapar ; Giulia, Iori . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:3:p:249-283:n:6.

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4
452003The 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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4
462003Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach. (2003). Atanasova, Christina . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:7:y:2003:i:4:n:5.

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4
472009Nonlinear Impacts of International Business Cycles on the U.K. -- A Bayesian Smooth Transition VAR Approach. (2009). Strachan, Rodney ; Gefang, Deborah. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:14:y:2009:i:1:n:2.

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4
482009A 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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4
492011Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis. (2011). Casarin, Roberto ; Billio, Monica. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:15:y:2011:i:4:n:2.

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4
502009Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times. (2009). Laakkonen, Helinä ; Lanne, Markku. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:14:y:2009:i:1:n:5.

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4

Citing documents used to compute impact factor 45:


YearTitle
2017Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime . In: CIRANO Working Papers. RePEc:cir:cirwor:2017s-05.

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2017Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-5.

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2017Modelling an Emergent Economy and Parameter Instability Problem. (2017). Dobrescu, Emilian. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:2:p:5-28.

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2017Testing for State-Dependent Predictive Ability. (2017). Fossati, Sebastian. In: Working Papers. RePEc:ris:albaec:2017_009.

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2017The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches. (2017). Wohar, Mark ; GUPTA, RANGAN ; Gil-Alana, Luis ; Aye, Goodness C. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:283-294.

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2017Changes in Persistence in Outlier Contaminated Time Series. (2017). Hirsch, Tristan ; Rinke, Saskia . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-583.

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2017Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations. (2017). Xu, Bing ; Lorusso, Marco ; Byrne, Joseph. In: MPRA Paper. RePEc:pra:mprapa:80668.

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2017Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations. (2017). Lorusso, Marco ; Byrne, Joseph ; Xu, Bing. In: CEERP Working Paper Series. RePEc:hwc:wpaper:006.

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2017Residential investment and recession predictability. (2017). Herstad, Eyo ; Anundsen, Andre ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0057.

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2017On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks. (2017). Tzavalis, Elias ; Vrontos, Ioannis ; Meligkotsidou, Loukia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:70-90.

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2017How credible is inflation targeting in Asia? A quantile unit root perspective. (2017). Holmes, Mark ; Hassan, Gazi ; Glenn, Harold . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:194-210.

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2017Changes in persistence, spurious regressions and the Fisher hypothesis. (2017). Ventosa-Santaulària, Daniel ; Antonio, Noriega ; Daniel, Ventosa-Santaularia ; Robinson, Kruse . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:28:n:1.

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2017Inflation persistence in BRICS countries: A quantile autoregressive (QAR) model. (2017). Phiri, Andrew. In: MPRA Paper. RePEc:pra:mprapa:79956.

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2017Inflation persistence in BRICS countries: A quantile autoregressive (QAR) approach. (2017). Phiri, Andrew. In: Working Papers. RePEc:mnd:wpaper:1702.

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2017Inflation Dynamics in Uganda: A Quantile Regression Approach. (2017). GUPTA, RANGAN ; Kotze, Kevin ; Anguyo, Francis Leni . In: Working Papers. RePEc:pre:wpaper:201772.

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2017South Africa’s inflation persistence: a quantile regression framework. (2017). Ranjbar, Omid ; Jooste, Charl ; GUPTA, RANGAN. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:4:d:10.1007_s10644-016-9192-z.

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2017Time variation in the size of the multiplier: a Kalecki-Harrod approach. (2017). Setterfield, Mark. In: Working Papers. RePEc:new:wpaper:1522.

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2017Asymmetric effects of fiscal policy in EU and OECD countries. (2017). Verbič, Miroslav ; Aristovnik, Aleksander ; Mencinger, Jernej . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:448-461.

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2017Evaluating Changes in the Transmission Mechanism of Government Spending Shocks. (2017). Rebei, Nooman. In: IMF Working Papers. RePEc:imf:imfwpa:17/49.

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2017Nonlinear effects of fiscal policy over the business cycle. (2017). Biolsi, Christopher. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:54-87.

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2017Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market. (2017). Arčabić, Vladimir ; Lee, Hyejin ; Arabi, Vladimir ; Banerjee, Piyali. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:114-124.

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2017Untangling the causal relationship between tax burden distribution and economic growth in 23 OECD countries: Fresh evidence from linear and non-linear Granger causality. (2017). FARHAT, Abdeljelil ; Haj, Meriem Bel ; Saafi, Sami . In: European Journal of Comparative Economics. RePEc:liu:liucej:v:14:y:2017:i:2:p:265-301.

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2017Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility. (2017). Dimitrakopoulos, Stefanos . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:10-14.

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2017Business Cycle Synchronization in the EMU: Core vs. Periphery. (2017). Gros, Daniel ; Domnick, Clemens ; Belke, Ansgar. In: GLO Discussion Paper Series. RePEc:zbw:glodps:38.

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2017Business Cycle Synchronization in the EMU: Core vs. Periphery. (2017). Belke, Ansgar ; Gros, Daniel ; Domnick, Clemens. In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:5:d:10.1007_s11079-017-9465-9.

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2017Synchronicity of real and financial cycles and structural characteristics in EU countries. (2017). Comunale, Mariarosaria. In: CEIS Research Paper. RePEc:rtv:ceisrp:414.

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2017Synchronicity of real and financial cycles and structural characteristics in EU countries. (2017). Comunale, Mariarosaria. In: Bank of Lithuania Occasional Paper Series. RePEc:lie:opaper:15.

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2017The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market. (2017). Barucca, Paolo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1511.08068.

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2017From banks strategies to financial (in)stability. (2017). Tedeschi, Gabriele ; Berardi, Simone . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:255-272.

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2017Determining the number of factors after stationary univariate transformations. (2017). Ruiz, Esther ; Poncela, Pilar ; Corona, Francisco. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1158-5.

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2017Growth, Exploitation and Class Inequalities. (2017). Galanis, Giorgos ; Yoshihara, Naoki ; Veneziani, Roberto. In: Working Papers. RePEc:qmw:qmwecw:814.

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2017Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach. (2017). Wohar, Mark ; GUPTA, RANGAN ; Christou, Christina ; Nyakabawo, Wendy. In: Working Papers. RePEc:pre:wpaper:201707.

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2017Infinite hidden markov switching VARs with application to macroeconomic forecast. (2017). Hou, Chenghan. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1025-1043.

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2017The Extended Perturbation Method: New Insights on the New Keynesian Model. (2017). Andreasen, Martin M ; Kronborg, Anders . In: CREATES Research Papers. RePEc:aah:create:2017-14.

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2017Level and Volatility Shocks to Fiscal Policy: Term Structure Implications. (2017). Bretscher, Lorenzo ; Tamoni, Andrea ; Hsu, Alex . In: 2017 Meeting Papers. RePEc:red:sed017:258.

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2017(Un)expected monetary policy shocks and term premia. (2017). Meyer-Gohde, Alexander ; Kliem, Martin. In: Discussion Papers. RePEc:zbw:bubdps:302017.

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2017(Un)expected Monetary Policy Shocks and Term Premia. (2017). Meyer-Gohde, Alexander ; Kliem, Martin. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-015.

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2017Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach. (2017). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Awe, Olushina. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:117-124.

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2017Does Oil Predict Gold? A Nonparametric Causality-in-Quantiles Approach. (2017). Shahbaz, Muhammad ; Ozdemir, Zeynel ; Balcilar, Mehmet. In: MPRA Paper. RePEc:pra:mprapa:77324.

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2017Gold Price Dynamics and the Role of Uncertainty. (2017). Czudaj, Robert ; Beckmann, Joscha ; Berger, Theo. In: Chemnitz Economic Papers. RePEc:tch:wpaper:cep006.

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2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach. (2017). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81.

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2017Does oil predict gold? A nonparametric causality-in-quantiles approach. (2017). Shahbaz, Muhammad ; Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:257-265.

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2017Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model. (2017). Kanjilal, Kakali ; Ghosh, Sajal . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:358-365.

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2017Causality analysis of the Canadian city house price indices: A cross-sample validation approach. (2017). Panagiotidis, Theodore ; Kyriazakou, Eleni . In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:16:y:2017:i:c:p:42-52.

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2017Real and complex wavelets in asset classification: An application to the US stock market. (2017). Bruzda, Joanna. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:115-125.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

YearCiting document
2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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2017Staying at zero with affine processes: An application to term structure modelling. (2017). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366.

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Recent citations received in 2016

YearCiting document

Recent citations received in 2015

YearCiting document
2015Local Unit Root and Inflationary Inertia in Brazil. (2015). Rodrigues Figueiredo, Francisco ; Guillén, Osmani ; Guillén, Osmani ; Gaglianone, Wagner ; de Carvalho, Osmani Teixeira ; Guillén, Osmani. In: Working Papers Series. RePEc:bcb:wpaper:406.

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2015Asymmetric Behaviour of Inflation around the Target in Inflation-Targeting Countries. (2015). Akdoğan, Kurmaş ; Akdoan, Kurma . In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:62:y:2015:i:5:p:486-504.

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2015Noncausality and inflation persistence. (2015). Lanne, Markku ; Markku, Lanne . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:4:p:469-481:n:2.

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2015The role of bank relationships in the interbank market. (2015). Montes Rojas, Gabriel ; Iori, Giulia ; Montes-Rojas, Gabriel ; Temizsoy, Asena . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:59:y:2015:i:c:p:118-141.

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2015Real term structure forecasts of consumption growth. (2015). Tzavalis, Elias ; Argyropoulos, Efthymios . In: Journal of Empirical Finance. RePEc:eee:empfin:v:33:y:2015:i:c:p:208-222.

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2015Nonparametric testing for exogeneity with discrete regressors and instruments. (2015). Bech, Katarzyna ; Hillier, Grant. In: CeMMAP working papers. RePEc:ifs:cemmap:11/15.

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2015The Changing Dynamics of South Africas Inflation Persistence: Evidence from a Quantile Regression Framework. (2015). Ranjbar, Omid ; Jooste, Charl ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201563.

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Recent citations received in 2014

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

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2014Density Nowcasts and Model Combination: Nowcasting Euro-Area GDP Growth over the 2008–09 Recession. (2014). Mitchell, James ; Montana, Gaetana ; Mazzi, Gian Luigi . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:76:y:2014:i:2:p:233-256.

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2014Density forecasts with MIDAS models. (2014). Ravazzolo, Francesco ; Foroni, Claudia ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0021.

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2014Forecasting the intraday market price of money. (2014). Ravazzolo, Francesco ; Monticini, Andrea. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def010.

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2014Forecasting the intraday market price of money. (2014). Ravazzolo, Francesco ; Monticini, Andrea. In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:304-315.

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2014Pricing range notes within Wishart affine models. (2014). DA FONSECA, José ; Chiarella, Carl ; Grasselli, Martino. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:193-203.

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2014Probability Forecasting for Inflation Warnings from the Federal Reserve. (2014). Vahey, Shaun ; Mitchell, James ; Garratt, Anthony. In: EMF Research Papers. RePEc:wrk:wrkemf:07.

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

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2th 2018. Contact: CitEc Team