Citation analysis for Studies in Nonlinear Dynamics & Econometrics / De Gruyter

Citation Profile [Updated: 2019-12-04 10:36:47]

5 Years H

Impact Factor

0.26

5 Years IF

0.46

Data available in this report

[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	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1991	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1992	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1993	0	0.1	0	0	0	0	0		0	0		0			0		0	0.05
1994	0	0.11	0	0	0	0	0		0	0		0			0		0	0.05
1995	0	0.19	0	0	0	0	0		0	0		0			0		0	0.08
1996	0	0.22	0	0	14	14	144		0	0		0			0		0	0.1
1997	0.21	0.22	0.29	0.21	10	24	240	5	7	14	3	14	3		0	2	0.2	0.09
1998	0.5	0.26	0.44	0.5	15	39	294	17	24	24	12	24	12		0	2	0.13	0.12
1999	0.52	0.28	0.52	0.46	5	44	66	23	47	25	13	39	18		0	2	0.4	0.14
2000	0.3	0.33	0.45	0.52	11	55	97	24	72	20	6	44	23	1	4.2		0	0.15
2001	0.13	0.36	0.36	0.36	18	73	205	22	98	16	2	55	20		0		0	0.15
2002	0.14	0.39	0.45	0.44	15	88	310	34	138	29	4	59	26	1	2.9	1	0.07	0.21
2003	0.64	0.4	0.53	0.55	24	112	159	54	197	33	21	64	35	3	5.6	2	0.08	0.2
2004	0.69	0.45	0.6	0.49	34	146	321	83	285	39	27	73	36	1	1.2	10	0.29	0.2
2005	0.48	0.46	0.77	0.64	26	172	385	126	417	58	28	102	65		0	5	0.19	0.22
2006	0.78	0.46	0.94	0.84	29	201	372	184	605	60	47	117	98	4	2.2	10	0.34	0.21
2007	0.75	0.42	0.75	0.73	24	225	169	165	773	55	41	128	94	2	1.2	4	0.17	0.18
2008	0.57	0.44	0.77	0.71	26	251	225	194	967	53	30	137	97	4	2.1	2	0.08	0.21
2009	0.44	0.44	0.69	0.71	26	277	149	188	1157	50	22	139	99	1	0.5	6	0.23	0.21
2010	0.38	0.43	0.64	0.69	22	299	83	189	1347	52	20	131	90	2	1.1	3	0.14	0.18
2011	0.5	0.46	0.7	0.63	18	317	60	218	1568	48	24	127	80	2	0.9	4	0.22	0.21
2012	0.53	0.47	0.78	0.74	37	354	80	267	1843	40	21	116	86	2	0.7	5	0.14	0.19
2013	0.4	0.53	0.73	0.67	31	385	78	276	2124	55	22	129	87	5	1.8	13	0.42	0.22
2014	0.31	0.55	0.69	0.34	28	413	97	284	2409	68	21	134	46	1	0.4	7	0.25	0.22
2015	0.58	0.56	0.7	0.52	31	444	118	309	2718	59	34	136	71	3	1	7	0.23	0.21
2016	0.63	0.58	0.62	0.5	33	477	27	296	3015	59	37	145	72	3	1	2	0.06	0.2
2017	0.73	0.6	0.54	0.51	28	505	14	271	3287	64	47	160	81	4	1.5	2	0.07	0.22
2018	0.26	0.76	0.5	0.46	36	541	6	271	3559	61	16	151	70		0		0	0.31

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until 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:	selft citations in y to articles published in y-1 plus y-2
%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

#	Year	Title	Cited
1	1998	The 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	130
2	1997	Inference 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	122
3	2006	Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models. (2006). Weron, RafaÅ ; 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	109
4	2001	Energy 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	107
5	2002	Wavelets 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	91
6	2002	Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks. (2002). Collard, Fabrice ; Bec, FrÃÂ©dÃÂ©rique ; 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	89
7	2005	Forecasting 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	79
8	2006	Directional 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	75
9	2000	A 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	68
10	2005	A 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	66
11	2004	The 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	66
12	2005	A 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	62
13	1996	A 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. Full description at Econpapers \|\| Download paper	59
14	2006	The 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	52
15	2002	Microeconomic 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	50
16	2004	Household 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. Full description at Econpapers \|\| Download paper	49
17	2003	Nonlinearities 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. Full description at Econpapers \|\| Download paper	49
18	2004	Nonlinear Monetary Policy Rules: Some New Evidence for the U.S.. (2004). Ruge-Murcia, Francisco ; Maria-Dolores, RamÃ³n ; 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	46
19	1997	Investigating 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. Full description at Econpapers \|\| Download paper	44
20	2005	The 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	39
21	1998	Avoiding 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	37
22	2008	Non-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. Full description at Econpapers \|\| Download paper	36
23	2006	Interest 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	35
24	2008	Cointegration 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	35
25	2007	Wavelet 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. Full description at Econpapers \|\| Download paper	34
26	1998	GARCH 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. Full description at Econpapers \|\| Download paper	34
27	2008	Threshold 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. Full description at Econpapers \|\| Download paper	34
28	1998	Smooth-Transition GARCH Models. (1998). Gonzalez-Rivera, Gloria. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:3:y:1998:i:2:n:1. Full description at Econpapers \|\| Download paper	33
29	2005	Wavelet 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. Full description at Econpapers \|\| Download paper	31
30	2007	Detecting 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. Full description at Econpapers \|\| Download paper	31
31	2009	Changes 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. Full description at Econpapers \|\| Download paper	30
32	2003	The 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	29
33	2014	Forecast 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	28
34	2008	A 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	25
35	2004	An 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. Full description at Econpapers \|\| Download paper	25
36	2015	On 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	24
37	2007	The 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	24
38		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. Full description at Econpapers \|\| Download paper	24
39	2001	Real 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. Full description at Econpapers \|\| Download paper	23
40	2007	Jump-and-Rest Effect of U.S. Business Cycles. (2007). Perez Quiros, Gabriel ; Camacho, Maximo ; Perezquiros, Gabriel . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:11:y:2007:i:4:n:3. Full description at Econpapers \|\| Download paper	23
41	2015	The 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	23
42	2006	Risk 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. Full description at Econpapers \|\| Download paper	23
43	2001	Wavelet 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. Full description at Econpapers \|\| Download paper	23
44	2005	Dual 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. Full description at Econpapers \|\| Download paper	23
45	2015	State-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. Full description at Econpapers \|\| Download paper	22
46	2004	Inference 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. Full description at Econpapers \|\| Download paper	21
47	2004	Mixture 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. Full description at Econpapers \|\| Download paper	21
48	2010	Fundamental 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. Full description at Econpapers \|\| Download paper	21
49	1999	Stability 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. Full description at Econpapers \|\| Download paper	21
50	2006	Measuring 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. Full description at Econpapers \|\| Download paper	19

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

#	Year	Title	Cited
1	2006	Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models. (2006). Weron, RafaÅ ; 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	34
2	2002	Wavelets 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	25
3	2001	Energy 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	23
4	2005	A 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
5	2006	Directional 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	21
6	2005	A 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	20
7	2015	On 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	19
8	2015	State-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. Full description at Econpapers \|\| Download paper	18
9	1998	The 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	18
10	2000	A 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	16
11	2005	Forecasting 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	15
12	1997	Inference 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	15
13	2007	The 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	13
14	2015	The 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	12
15	2004	The 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	12
16	2006	The 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	11
17	2014	Forecast 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	10
18	2015	Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the Euro area. (2015). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Stelios, Bekiros ; Bo, Sjo ; Salah, Uddin Gazi ; Khuong, Nguyen Duc. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:5:p:609-624:n:5. Full description at Econpapers \|\| Download paper	10
19	2008	A 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	8
20	2008	Cointegration 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	7
21	2004	Household 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. Full description at Econpapers \|\| Download paper	7
22	2002	Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks. (2002). Collard, Fabrice ; Bec, FrÃÂ©dÃÂ©rique ; 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	7
23	2002	Microeconomic 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	7
24	2010	Fundamental 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. Full description at Econpapers \|\| Download paper	7
25	1996	A 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. Full description at Econpapers \|\| Download paper	6
26	2009	Modeling 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. Full description at Econpapers \|\| Download paper	6
27	2008	Non-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. Full description at Econpapers \|\| Download paper	6
28	2005	The 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	6
29	2004	Nonlinear Monetary Policy Rules: Some New Evidence for the U.S.. (2004). Ruge-Murcia, Francisco ; Maria-Dolores, RamÃ³n ; 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	6
30	2014	Breaks, 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. Full description at Econpapers \|\| Download paper	6
31	2015	Regime-switching cointegration. (2015). Koop, Gary ; Jochmann, Markus ; Markus, Jochmann . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:1:p:35-48:n:3. Full description at Econpapers \|\| Download paper	5
32	2012	Routes 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. Full description at Econpapers \|\| Download paper	5
33	2016	Common time variation of parameters in reduced-form macroeconomic models. (2016). Stevanovic, Dalibor ; Dalibor, Stevanovic . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:2:p:159-183:n:3. Full description at Econpapers \|\| Download paper	5
34	2014	Nonlinearity, 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. Full description at Econpapers \|\| Download paper	5
35	2007	Wavelet 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. Full description at Econpapers \|\| Download paper	5
36	2003	Nonlinearities 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. Full description at Econpapers \|\| Download paper	5
37	2012	Microfounded 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. Full description at Econpapers \|\| Download paper	5
38	2016	Oil-price density forecasts of US GDP. (2016). Ravazzolo, Francesco ; Francesco, Ravazzolo ; Philip, Rothman . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:441-453:n:7. Full description at Econpapers \|\| Download paper	4
39	2015	Endogenous technical change, employment and distribution in the Goodwin model of the growth cycle. (2015). zamparelli, luca ; Tavani, Daniele ; Daniele, Tavani . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:2:p:209-216:n:5. Full description at Econpapers \|\| Download paper	4
40	2009	Nonlinear 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. Full description at Econpapers \|\| Download paper	4
41	2017	Generating 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. Full description at Econpapers \|\| Download paper	4
42	2015	Efficient bond price approximations in non-linear equilibrium-based term structure models. (2015). Zabczyk, Pawel ; Andreasen Martin M., ; Pawel, Zabczyk . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:1:p:1-33:n:1. Full description at Econpapers \|\| Download paper	4
43	2009	Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times. (2009). Laakkonen, HelinÃÂ¤ ; Lanne, Markku. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:14:y:2009:i:1:n:5. Full description at Econpapers \|\| Download paper	4
44	2006	Measuring 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. Full description at Econpapers \|\| Download paper	4
45	2005	Wavelet 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. Full description at Econpapers \|\| Download paper	4
46	2003	The 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	4
47	2007	Jump-and-Rest Effect of U.S. Business Cycles. (2007). Perez Quiros, Gabriel ; Camacho, Maximo ; Perezquiros, Gabriel . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:11:y:2007:i:4:n:3. Full description at Econpapers \|\| Download paper	4
48	2015	Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests. (2015). FARHAT, Abdeljelil ; Abdeljelil, Farhat ; Sami, Saafi ; Meriem, Haj Mohamed . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:5:p:585-608:n:2. Full description at Econpapers \|\| Download paper	4
49	2004	An 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. Full description at Econpapers \|\| Download paper	4
50	1998	Avoiding 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	4

Citing documents used to compute impact factor: 16

Year	Title
2018	FACTOR MODELS AND TIMEÃ¢â¬ VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334. Full description at Econpapers \|\| Download paper
2018	A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. (2018). Stubinger, Johannes ; Endres, Sylvia. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:072018. Full description at Econpapers \|\| Download paper
2018	Filterbased stochastic volatility in continuous-time hidden Markov models. (2018). Krishnamurthy, Vikram ; Sass, Jorn ; Leoff, Elisabeth . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:1-21. Full description at Econpapers \|\| Download paper
2018	Identifying US business cycle regimes using dynamic factors and neural network models. (2018). Soybilgen, Baris. In: MPRA Paper. RePEc:pra:mprapa:94715. Full description at Econpapers \|\| Download paper
2018	U.S. wage growth and nonlinearities: The roles of inflation and unemployment. (2018). Donayre, Luiggi ; Panovska, Irina . In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:273-292. Full description at Econpapers \|\| Download paper
2018	On the Persistence of UK Inflation: A Long-Range Dependence Approach. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1731. Full description at Econpapers \|\| Download paper
2018	Testing Fractional Unit Roots with Non-linear Smooth Break Approximations using Fourier functions. (2018). YAYA, OLAOLUWA ; Gil-Alana, Luis A. In: MPRA Paper. RePEc:pra:mprapa:90516. Full description at Econpapers \|\| Download paper
2018	Short and Long Effects of Productivity on Unemployment. (2018). Semmler, Willi ; Chen, Pu. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:4:d:10.1007_s11079-018-9486-z. Full description at Econpapers \|\| Download paper
2018	Do house prices hedge inflation in the US? A quantile cointegration approach. (2018). Wohar, Mark ; GUPTA, RANGAN ; Nyakabawo, Wendy ; Christou, Christina. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:15-26. Full description at Econpapers \|\| Download paper
2018	Inflation-deflation expectations and economic stability in a Kaleckian system. (2018). Murakami, Hiroki ; Asada, Toichiro. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:183-201. Full description at Econpapers \|\| Download paper
2018	The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis. (2018). Uddin, Gazi ; Bekiros, Stelios ; Ahmed, Ali. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:30-39. Full description at Econpapers \|\| Download paper
2018	Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey. (2018). Gozde, Zafer Adali. In: Fiscaoeconomia. RePEc:fis:journl:180105. Full description at Econpapers \|\| Download paper
2018	Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Grabowski, Daniel. In: Lodz Economics Working Papers. RePEc:ann:wpaper:1/2018. Full description at Econpapers \|\| Download paper
2018	Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Grabowski, Daniel. In: MAGKS Papers on Economics. RePEc:mar:magkse:201810. Full description at Econpapers \|\| Download paper
2018	Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; LÃÂ¼tkepohl, Helmut ; Lutkepohl, Helmut. In: Lodz Economics Working Papers. RePEc:ann:wpaper:4/2018. Full description at Econpapers \|\| Download paper
2018	Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; LÃÂ¼tkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1762. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2018

Year	Citing document

Recent citations received in 2017

Year	Citing document
2017	Scenario 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. Full description at Econpapers \|\| Download paper
2017	Staying 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. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches. (2016). Wohar, Mark ; GUPTA, RANGAN ; Gil-Alana, Luis ; Aye, Goodness C. In: Working Papers. RePEc:pre:wpaper:201610. Full description at Econpapers \|\| Download paper
2016	Persistence, mean reversion and non-linearities in the US housing prices over 1830--2013. (2016). PÃÂ©rez de Gracia, Fernando ; GUPTA, RANGAN ; Gil-Alana, Luis. In: Applied Economics. RePEc:taf:applec:v:48:y:2016:i:34:p:3244-3252. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	Local Unit Root and Inflationary Inertia in Brazil. (2015). Rodrigues Figueiredo, Francisco ; GuillÃÂ©n, Osmani ; GuillÃÂÃÂ©n, Osmani ; Gaglianone, Wagner ; de Carvalho, Osmani Teixeira ; Guillén, Osmani. In: Working Papers Series. RePEc:bcb:wpaper:406. Full description at Econpapers \|\| Download paper
2015	Asymmetric Behaviour of Inflation around the Target in Inflation-Targeting Countries. (2015). AkdoÄan, KurmaÅ ; Akdoan, Kurma . In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:62:y:2015:i:5:p:486-504. Full description at Econpapers \|\| Download paper
2015	Noncausality 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. Full description at Econpapers \|\| Download paper
2015	The role of bank relationships in the interbank market. (2015). Montes-Rojas, Gabriel ; Iori, Giulia ; Temizsoy, Asena . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:59:y:2015:i:c:p:118-141. Full description at Econpapers \|\| Download paper
2015	Real 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. Full description at Econpapers \|\| Download paper
2015	Nonparametric testing for exogeneity with discrete regressors and instruments. (2015). Bech, Katarzyna ; Hillier, Grant. In: CeMMAP working papers. RePEc:ifs:cemmap:11/15. Full description at Econpapers \|\| Download paper
2015	The 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. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Economic Modelling / Elsevier	57	89
2	Energy Economics / Elsevier	115	81
3	MPRA Paper / University Library of Munich, Germany	87	67
4	Physica A: Statistical Mechanics and its Applications / Elsevier	52	49
5	International Review of Economics & Finance / Elsevier	39	46
6	Papers / arXiv.org	51	43
7	International Journal of Forecasting / Elsevier	65	39
8	Empirical Economics / Springer	55	32
9	Journal of Economic Dynamics and Control / Elsevier	98	25
10	Working Papers / University of Pretoria, Department of Economics	15	25
11	Journal of Econometrics / Elsevier	188	22