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

Citation Profile [Updated: 2020-06-03 07:38:54]

5 Years H

Impact Factor

0.19

5 Years IF

0.43

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	0.09	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	0.06
1995	0	0.2	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	0.23	0.29	0.21	10	24	243	5	7	14	3	14	3		0	2	0.2	0.1
1998	0.5	0.27	0.44	0.5	15	39	296	17	24	24	12	24	12		0	2	0.13	0.12
1999	0.52	0.29	0.52	0.46	5	44	66	23	47	25	13	39	18		0	2	0.4	0.14
2000	0.3	0.34	0.45	0.52	11	55	98	24	72	20	6	44	23	1	4.2		0	0.15
2001	0.13	0.36	0.36	0.36	18	73	212	22	98	16	2	55	20		0		0	0.16
2002	0.14	0.4	0.45	0.44	15	88	316	34	138	29	4	59	26	1	2.9	1	0.07	0.21
2003	0.64	0.41	0.53	0.55	24	112	162	54	197	33	21	64	35	3	5.6	2	0.08	0.2
2004	0.69	0.46	0.6	0.49	34	146	327	82	284	39	27	73	36	1	1.2	10	0.29	0.21
2005	0.48	0.47	0.77	0.65	26	172	403	127	417	58	28	102	66		0	5	0.19	0.22
2006	0.78	0.47	0.94	0.84	29	201	382	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	172	165	773	55	41	128	94	2	1.2	4	0.17	0.19
2008	0.57	0.45	0.78	0.71	26	251	233	195	968	53	30	137	97	4	2.1	2	0.08	0.21
2009	0.44	0.44	0.69	0.71	26	277	151	188	1158	50	22	139	99	1	0.5	6	0.23	0.21
2010	0.38	0.44	0.64	0.69	22	299	87	189	1348	52	20	131	90	2	1.1	3	0.14	0.18
2011	0.5	0.46	0.7	0.63	18	317	63	218	1569	48	24	127	80	2	0.9	4	0.22	0.21
2012	0.53	0.47	0.78	0.74	37	354	81	268	1845	40	21	116	86	2	0.7	5	0.14	0.19
2013	0.4	0.53	0.73	0.67	31	385	81	277	2127	55	22	129	87	5	1.8	13	0.42	0.22
2014	0.31	0.55	0.69	0.35	28	413	113	285	2413	68	21	134	47	1	0.4	7	0.25	0.21
2015	0.58	0.55	0.7	0.52	31	444	133	311	2724	59	34	136	71	3	1	7	0.23	0.21
2016	0.63	0.56	0.62	0.5	33	477	32	296	3021	59	37	145	72	3	1	2	0.06	0.2
2017	0.73	0.58	0.54	0.51	28	505	21	271	3293	64	47	160	81	4	1.5	2	0.07	0.21
2018	0.26	0.7	0.52	0.47	36	541	11	279	3573	61	16	151	71	2	0.7		0	0.28
2019	0.19	0.88	0.41	0.43	32	573	0	233	3806	64	12	156	67	1	0.4		0	0.33

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	131
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	125
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	114
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	111
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	96
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	83
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	77
9	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	70
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	68
11	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	67
12	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	67
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	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	51
16	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
17	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
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	47
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	40
21	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	38
22	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
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	36
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	36
25	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
26	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
27	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
28	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	34
29	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
30	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	32
31	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
32	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
33	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	30
34	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	27
35	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	27
36	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	26
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	25
38	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	25
39	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	25
40	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	24
41		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
42	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	24
43	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	24
44	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	24
45	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
46	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	22
47	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	22
48	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
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	20

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	30
2	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	22
3	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	22
4	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	19
5	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	18
6	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	17
7	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	14
8	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	13
9	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	12
10	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	11
11	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	11
12	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	10
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	10
14	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	9
15	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	9
16	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	9
17	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	8
18	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	7
19	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	7
20	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	6
21	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	6
22	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	5
23	2004	MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model. (2004). Raggi, Davide ; Lubian, Diego ; Cappuccio, Nunzio. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:2:n:6. Full description at Econpapers \|\| Download paper	5
24	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
25	2010	Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2010). Peel, David ; Pavlidis, Efthymios ; Paya, Ivan. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:14:y:2010:i:3:n:3. Full description at Econpapers \|\| Download paper	5
26	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	5
27	2014	Real vs. nominal cycles: a multistate Markov-switching bi-factor approach. (2014). Leiva-Leon, Danilo. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:18:y:2014:i:5:p:24:n:2. Full description at Econpapers \|\| Download paper	5
28	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	5
29	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	5
30	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
31	2013	Using transfer entropy to measure information flows between financial markets. (2013). Thomas, Dimpfl ; Julia, Peter Franziska . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:17:y:2013:i:1:p:85-102:n:3. Full description at Econpapers \|\| Download paper	4
32	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	4
33	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	4
34	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	4
35	2013	Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns. (2013). Nakajima, Jouchi ; Jouchi, Nakajima . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:17:y:2013:i:5:p:499-520:n:2. Full description at Econpapers \|\| Download paper	4
36	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
37	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
38	2016	Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials. (2016). Gil-Alana, Luis ; Cuestas, Juan. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:1:p:57-74:n:2. Full description at Econpapers \|\| Download paper	4
39	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	4
40	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	4
41	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	4
42	2014	Fiscal policy in the BRICs. (2014). Sousa, Ricardo ; Mallick, Sushanta ; JAWADI, Fredj ; Fredj, Jawadi ; Sousa Ricardo M., ; Mallick Sushanta K., . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:18:y:2014:i:2:p:15:n:6. Full description at Econpapers \|\| Download paper	4
43	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
44	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
45	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
46	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	3
47	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	3
48	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	3
49	2017	On the estimation of regime-switching LÃ©vy models. (2017). Goutte, StÃÂ©phane ; Chevallier, Julien ; Stephane, Goutte ; Julien, Chevallier . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:3-29:n:4. Full description at Econpapers \|\| Download paper	3
50	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	3

Citing documents used to compute impact factor: 12

Year	Title
2019	Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads. (2019). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:94154. Full description at Econpapers \|\| Download paper
2019	Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961. Full description at Econpapers \|\| Download paper
2019	A note on the âuniqueâ business cycle in the Keynesian theory. (2019). Murakami, Hiroki. In: Metroeconomica. RePEc:bla:metroe:v:70:y:2019:i:3:p:384-404. Full description at Econpapers \|\| Download paper
2019	Generalised Impulse Response Function as a Perturbation of a Global Solution to DSGE Models. (2019). Ajevskis, Viktors. In: Working Papers. RePEc:ltv:wpaper:201904. Full description at Econpapers \|\| Download paper
2019	Movements in International Bond Markets: The Role of Oil Prices. (2019). GUPTA, RANGAN ; Bouri, Elie ; Nazlioglu, Saban. In: Working Papers. RePEc:pre:wpaper:201935. Full description at Econpapers \|\| Download paper
2019	Price and Volatility Linkages between International REITs and Oil Markets. (2019). Soytas, Ugur ; GUPTA, RANGAN ; Gormus, Alper ; Nazlioglu, Saban. In: Working Papers. RePEc:pre:wpaper:201954. Full description at Econpapers \|\| Download paper
2019	Do stock markets lead or lag macroeconomic variables? Evidence from select European countries. (2019). Camilleri, Silvio ; Bai, YE ; Scicluna, Nicolanne. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:170-186. Full description at Econpapers \|\| Download paper
2019	The Relationship between Monetary Policy and Uncertainty in Advanced Economies: Evidence from Time- and Frequency-Domains. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Hkiri, Besma ; Cekin, Semih Emre. In: Working Papers. RePEc:pre:wpaper:201904. Full description at Econpapers \|\| Download paper
2019	New insights into the nonlinearity of Okuns law. (2019). Garcia-Solanes, Jose ; Beyaert, Arielle ; Nebot, Cesar. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:202-210. Full description at Econpapers \|\| Download paper
2019	Time-varying impact of uncertainty shocks on the US housing market. (2019). GUPTA, RANGAN ; Christou, Christina ; Nyakabawo, Wendy. In: Economics Letters. RePEc:eee:ecolet:v:180:y:2019:i:c:p:15-20. Full description at Econpapers \|\| Download paper
2019	Do both demand-following and supply-leading theories hold true in developing countries?. (2019). Chow, Sheung Chi ; Wong, Wing Keung ; Vieito, Joo Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:536-554. Full description at Econpapers \|\| Download paper
2019	Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (2019). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:493-515. 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

10 most frequent citing series

#	Series	H	Cites
1	Economic Modelling / Elsevier	58	85
2	Energy Economics / Elsevier	118	73
3	Physica A: Statistical Mechanics and its Applications / Elsevier	54	53
4	MPRA Paper / University Library of Munich, Germany	90	51
5	International Review of Economics & Finance / Elsevier	40	45
6	Papers / arXiv.org	54	39
7	Empirical Economics / Springer	56	37
8	International Journal of Forecasting / Elsevier	67	35
9	Journal of Economic Dynamics and Control / Elsevier	99	25
10	Working Papers / University of Pretoria, Department of Economics	17	21
11	Journal of Econometrics / Elsevier	191	20