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Studies in Nonlinear Dynamics & Econometrics / De Gruyter

Citation Profile [Updated: 2024-05-13 08:04:26]
5 Years H Index
42
Impact Factor (IF)
0.15
5 Years IF
0.17
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
1996 0 0.25 0 0 14 14 222 0 0 0 0 0 0.12
1997 0.36 0.25 0.42 0.36 10 24 483 8 10 14 5 14 5 0 3 0.3 0.11
1998 0.5 0.28 0.49 0.5 15 39 440 19 29 24 12 24 12 0 2 0.13 0.13
1999 0.68 0.31 0.66 0.59 5 44 88 28 58 25 17 39 23 0 2 0.4 0.15
2000 0.3 0.36 0.65 0.73 11 55 173 35 94 20 6 44 32 1 2.9 0 0.16
2001 0.19 0.39 0.56 0.56 18 73 393 34 135 16 3 55 31 1 2.9 1 0.06 0.17
2002 0.24 0.41 0.72 0.73 15 88 505 58 198 29 7 59 43 4 6.9 2 0.13 0.21
2003 0.7 0.44 0.76 0.64 24 112 311 80 283 33 23 64 41 9 11.3 2 0.08 0.22
2004 0.79 0.5 0.84 0.66 34 146 535 118 406 39 31 73 48 1 0.8 11 0.32 0.22
2005 0.66 0.51 1.1 0.84 26 172 704 184 596 58 38 102 86 2 1.1 9 0.35 0.23
2006 0.93 0.51 1.22 1.02 29 201 646 241 841 60 56 117 119 8 3.3 14 0.48 0.23
2007 1.04 0.47 1.03 0.91 24 225 297 228 1072 55 57 128 117 3 1.3 5 0.21 0.2
2008 0.81 0.49 1.15 1.01 26 251 450 288 1360 53 43 137 139 14 4.9 3 0.12 0.23
2009 0.62 0.48 0.94 0.95 26 277 222 258 1620 50 31 139 132 5 1.9 6 0.23 0.24
2010 0.62 0.49 0.94 0.93 22 299 153 279 1901 52 32 131 122 11 3.9 4 0.18 0.21
2011 0.58 0.52 1 0.94 18 317 138 311 2218 48 28 127 120 5 1.6 7 0.39 0.24
2012 0.75 0.52 1.26 1.07 37 354 141 438 2665 40 30 116 124 15 3.4 9 0.24 0.22
2013 0.55 0.56 1.13 0.92 31 385 174 420 3100 55 30 129 119 11 2.6 15 0.48 0.24
2014 0.47 0.55 1.08 0.52 28 413 205 436 3544 68 32 134 70 5 1.1 13 0.46 0.23
2015 0.63 0.55 0.98 0.61 31 444 340 435 3979 59 37 136 83 7 1.6 15 0.48 0.23
2016 0.76 0.53 0.88 0.61 32 476 137 415 4396 59 45 145 88 7 1.7 5 0.16 0.21
2017 0.97 0.54 0.77 0.65 28 504 74 386 4784 63 61 159 104 7 1.8 2 0.07 0.22
2018 0.33 0.56 0.76 0.64 55 559 81 423 5208 60 20 150 96 9 2.1 5 0.09 0.24
2019 0.29 0.57 0.63 0.6 54 613 49 383 5593 83 24 174 105 3 0.8 5 0.09 0.23
2020 0.34 0.69 0.65 0.56 47 660 55 429 6023 109 37 200 112 10 2.3 4 0.09 0.33
2021 0.27 0.83 0.62 0.4 27 687 18 428 6451 101 27 216 87 5 1.2 4 0.15 0.31
2022 0.28 0.9 0.42 0.2 35 722 3 306 6757 74 21 211 42 0 3 0.09 0.27
2023 0.15 0.98 0.35 0.17 34 756 0 267 7024 62 9 218 37 0 0 0.27
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years 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
#YearTitleCited
11997Inference 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

343
22001Energy Shocks and Financial Markets: Nonlinear Linkages. (2001). Ciner, Cetin . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:5:y:2001:i:3:n:3.

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213
31998The 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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194
42002Wavelets in Economics and Finance: Past and Future. (2002). Ramsey, James B.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:6:y:2002:i:3:n:1.

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177
52005A 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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151
62005Forecasting Stock Market Volatility with Regime-Switching GARCH Models. (2005). Marcucci, Juri. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:9:y:2005:i:4:n:6.

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148
72004The 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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145
82006Point 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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144
92006Directional 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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134
102005A 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.

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120
112008Non-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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116
122002Asymmetries 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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113
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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111
142000A Graphical Investigation of the Size and Power of the Granger-Causality Tests in Integrated-Cointegrated VAR Systems. (2000). Mantalos, Panagiotis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:4:y:2000:i:1:n:2.

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104
152006Interest 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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98
162002Microeconomic 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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95
172004Nonlinear 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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87
182006The 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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77
192003Nonlinearities 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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76
202015On 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.

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71
211996A 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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70
222004Household 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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67
232003Credit 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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65
242008A 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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63
252003The 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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61
262005The 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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61
272007Wavelet 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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60
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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59
292008Cointegration 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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55
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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55
311998Smooth-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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54
321997Investigating 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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53
331998Avoiding 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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51
342006Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?. (2006). Sousa, João ; Calza, Alessandro . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:10:y:2006:i:2:n:3.

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49
352004Inference 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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46
362008Threshold 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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46
372010Fundamental 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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46
381998GARCH 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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46
392014Forecast 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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44
402001Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator. (2001). Tkacz, Greg. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:5:y:2001:i:1:n:2.

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43
412009Changes 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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43
422013Using 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.

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42
432001Real 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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39
442005Dual 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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39
452004An 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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38
462006Risk 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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37
472015The 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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35
482007Jump-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.

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35
492007The 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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34
501996Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data. (1996). Swanson, Norman. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:1:y:1996:i:1:n:da1.

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33
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12002Wavelets 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

24
22013Using 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

23
32015State-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
42005A 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

16
52001Energy 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

16
62016Grain prices, oil prices, and multiple smooth breaks in a VAR. (2016). Enders, Walter ; Walter, Enders ; Paul, Jones . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:399-419:n:3.

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15
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

14
82004The 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

13
92015On 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.

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12
102005A 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.

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11
112011International Output Convergence, Breaks, and Asymmetric Adjustment. (2011). Leon-Ledesma, Miguel ; Christopoulos, Dimitris. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:15:y:2011:i:3:n:4.

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11
122000A 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

10
131997Inference 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

10
142008A 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

10
152006Directional 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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10
161998The 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

9
172008Cointegration 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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7
182020Income Inequality and Economic Growth: Heterogeneity and Nonlinearity. (2020). Dzhumashev, Ratbek ; Ratbek, Dzhumashev ; Abebe, Hailemariam. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:3:p:15:n:5.

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6
192006Point 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

6
202008Non-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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6
212014Breaks, 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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6
222005Wavelet 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

5
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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5
242020The nonlinear effects of uncertainty shocks. (2020). Owyang, Michael ; Kliesen, Kevin ; Michael, Owyang ; Kevin, Kliesen ; Laura, Jackson. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:4:p:19:n:6.

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252010Fundamental 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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262016Common 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.

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272015More powerful cointegration tests with non-normal errors. (2015). Lee, Junsoo ; Kyungso, IM ; Junsoo, Lee ; Hyejin, Lee . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:19:y:2015:i:4:p:397-413:n:1.

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282006Interest 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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292012Microfounded 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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302015Endogenous 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.

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312015The 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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322019Flexible HAR model for realized volatility. (2019). Audrino, Francesco ; Ostap, Okhrin ; Chen, Huang ; Francesco, Audrino. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:3:p:22:n:2.

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332014Estimating VAR-MGARCH models in multiple steps. (2014). Carnero, M. Angeles ; Hakan, Eratalay M.. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:18:y:2014:i:3:p:27:n:5.

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342020The role of the threshold effect for the dynamics of futures and spot prices of energy commodities. (2020). Uddin, Gazi ; Rubaszek, Michał ; Marek, Kwas ; Zuzanna, Karolak. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:5:p:20:n:1.

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352004Household 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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362014Nonlinearity, 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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372016Testing 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.

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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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392006Risk 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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402009Nonlinearity between Inequality and Growth. (2009). Lin, Shu-Chin ; Huang, Ho-Chuan ; Yeh, Chih-Chuan ; Kim, Dong-Hyeon. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:13:y:2009:i:2:n:3.

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412017RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis. (2017). Payne, James ; Lee, Junsoo ; Junsoo, Lee ; Ming, Meng ; James, Payne . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:31-45:n:6.

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422005The 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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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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442007The 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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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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462013Stochastic 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.

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472015Business 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.

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482004Assessing Chaos in Time Series: Statistical Aspects and Perspectives. (2004). Giannerini, Simone ; Rosa, Rodolfo . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:8:y:2004:i:2:n:11.

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492005Can 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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502014Forecast 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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