Pages that link to "Item:Q75802"

The following pages link to Studies in Nonlinear Dynamics & Econometrics (Q75802):

Displaying 50 items.

• A mixture autoregressive model based on Gaussian and Student’s t-distributions (Q75803) (← links)
• (Q78460) (redirect page) (← links)
  • Using transfer entropy to measure information flows between financial markets (Q78461) (← links)
  • Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
  • Factor-based forecasting in the presence of outliers: are factors better selected and estimated by the median than by the mean? (Q905382) (← links)
  • Estimating VAR-MGARCH models in multiple steps (Q905385) (← links)
  • Construction, management, and performance of sparse Markowitz portfolios (Q905387) (← links)
  • An extensive study on Markov switching models with endogenous regressors (Q905388) (← links)
  • The effect of round-off error on long memory processes (Q905390) (← links)
  • A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets (Q905391) (← links)
  • Functional cointegration: definition and nonparametric estimation (Q905392) (← links)
  • Assessing the quality of volatility estimators via option pricing (Q2509440) (← links)
  • Saddle-node bifurcations in an optimal growth model with preferences for wealth habit (Q2509442) (← links)
  • Efficient bond price approximations in non-linear equilibrium-based term structure models (Q2687853) (← links)
  • Regime-switching cointegration (Q2687854) (← links)
  • Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects (Q2687856) (← links)
  • Factor instrumental variable quantile regression (Q2687857) (← links)
  • Non-parametric estimation of copula parameters: testing for time-varying correlation (Q2687861) (← links)
  • Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model (Q2687862) (← links)
  • The limit distribution of evolving strategies in financial markets (Q2687863) (← links)
  • The changing dynamics of US inflation persistence: a quantile regression approach (Q2687864) (← links)
  • The effects of monetary policy regime shifts on the term structure of interest rates (Q2687866) (← links)
  • Endogenous technical change, employment and distribution in the Goodwin model of the growth cycle (Q2687867) (← links)
  • Do monetary policy shocks generate TAR or STAR dynamics in output? (Q2687868) (← links)
  • Bank characteristics and the interbank money market: a distributional approach (Q2687869) (← links)
  • State-dependent effects of fiscal policy (Q2687870) (← links)
  • Panel conditional and multinomial logit with time-varying parameters (Q2687871) (← links)
  • Testing for co-nonlinearity (Q2687873) (← links)
  • Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand (Q2687874) (← links)
  • Can we use seasonally adjusted variables in dynamic factor models? (Q2687876) (← links)
  • A video interview of James Stock (Q2687877) (← links)
  • More powerful cointegration tests with non-normal errors (Q2687879) (← links)
  • Asset pricing with flexible beliefs (Q2687881) (← links)
  • Improving model performance with the integrated wavelet denoising method (Q2687882) (← links)
  • Noncausality and inflation persistence (Q2687883) (← links)
  • A triple-threshold leverage stochastic volatility model (Q2687884) (← links)
  • Estimating dynamic copula dependence using intraday data (Q2687886) (← links)
  • Fourier inversion formulas for multiple-asset option pricing (Q2687888) (← links)
  • Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks (Q2687889) (← links)
  • Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests (Q2687892) (← links)
  • Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the euro area (Q2687894) (← links)
  • Amplitude and phase synchronization of European business cycles: a wavelet approach (Q2687895) (← links)
  • On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing (Q2687897) (← links)
  • Stock market's reaction to money supply: a nonparametric analysis (Q2687898) (← links)
  • Are US real house prices stationary? New evidence from univariate and panel data (Q2691638) (← links)
  • Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data (Q2691639) (← links)
  • Outliers and persistence in threshold autoregressive processes (Q2691640) (← links)
  • Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials (Q2691641) (← links)
  • Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes (Q2691644) (← links)
  • Selecting the tuning parameter of the \(\ell_1\) trend filter (Q2691645) (← links)
  • Testing cointegration in quantile regressions with an application to the term structure of interest rates (Q2691647) (← links)
  • Multi-criteria classification for pricing European options (Q2691648) (← links)
  • Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification (Q2691650) (← links)
  • Common time variation of parameters in reduced-form macroeconomic models (Q2691652) (← links)
  • Equilibrium pricing of currency options under a discontinuous model in a two-country economy (Q2691653) (← links)
  • Revisiting the statistical specification of near-multicollinearity in the logistic regression model (Q2691655) (← links)
  • Price discovery in the markets for credit risk: a Markov switching approach (Q2691657) (← links)
  • Estimating stochastic volatility models using realized measures (Q2691659) (← links)
  • Public debt and macroeconomic activity: a predictive analysis for advanced economies (Q2691661) (← links)
  • Information criteria for nonlinear time series models (Q2691663) (← links)
  • Structural changes in inflation dynamics: multiple breaks at different dates for different parameters (Q2691664) (← links)
  • House prices and monetary policy (Q2691665) (← links)
  • Grain prices, oil prices, and multiple smooth breaks in a VAR (Q2691667) (← links)
  • A non-linear forecast combination procedure for binary outcomes (Q2691668) (← links)
  • Productivity and unemployment: a scale-by-scale panel data analysis for the G7 countries (Q2691669) (← links)
  • Introduction to \textit{Studies in Nonlinear Dynamics \& Econometrics}. Issue in honor of James B. Ramsey (Q2691670) (← links)
  • Testing constancy of unconditional variance in volatility models by misspecification and specification tests (Q2691672) (← links)
  • On the estimation of short memory components in long memory time series models (Q2691673) (← links)
  • Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector (Q2691674) (← links)
  • Oil-price density forecasts of US GDP (Q2691675) (← links)
  • Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (Q2691676) (← links)
  • Steady-state priors and Bayesian variable selection in VAR forecasting (Q2691678) (← links)
  • Dating US business cycles with macro factors (Q2691679) (← links)
  • Effects of filtering data on testing asymmetry in threshold autoregressive models (Q2691680) (← links)
  • The place of gold in the cross-market dependencies (Q2691683) (← links)
  • Li-Yorke chaos in models with backward dynamics (Q2691684) (← links)
  • Hopf bifurcation in an overlapping generations resource economy with endogenous population growth rate (Q2691687) (← links)
  • On the estimation of regime-switching Lévy models (Q2691688) (← links)
  • RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis (Q2691689) (← links)
  • Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach (Q2691690) (← links)
  • Specification analysis in regime-switching continuous-time diffusion models for market volatility (Q2691691) (← links)
  • A semiparametric nonlinear quantile regression model for financial returns (Q2691693) (← links)
  • A model of the euro-area yield curve with discrete policy rates (Q2691694) (← links)
  • Introduction: Recent developments of switching models for financial data (Q2691695) (← links)
  • Macroeconomic (in)stability and endogenous market structure with productive government expenditure (Q2691696) (← links)
  • Time elements and oscillatory fluctuations in the Keynesian macroeconomic system (Q2691697) (← links)
  • Forecast accuracy of a BVAR under alternative specifications of the zero lower bound (Q2691699) (← links)
  • A Markov-switching regression model with non-Gaussian innovations: estimation and testing (Q2691700) (← links)
  • Semi-global solutions to DSGE models: perturbation around a deterministic path (Q2691702) (← links)
  • Changes in persistence, spurious regressions and the Fisher hypothesis (Q2691704) (← links)
  • VEC-MSF models in Bayesian analysis of short- and long-run relationships (Q2691706) (← links)
  • Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach (Q2691708) (← links)
  • Detecting capital market convergence clubs (Q2691710) (← links)
  • Estimation of long memory in volatility using wavelets (Q2691712) (← links)
  • Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models (Q2691713) (← links)
  • Nonstationary autoregressive conditional duration models (Q2691715) (← links)
  • The reaction of stock market returns to unemployment (Q2691716) (← links)
  • Asymmetric exchange rate exposure of stock returns: empirical evidence from Chinese industries (Q2691717) (← links)
  • Using the hybrid Phillips curve with memory to forecast US inflation (Q2691718) (← links)
  • Time-varying persistence of inflation: evidence from a wavelet-based approach (Q2691719) (← links)
  • A new recognition algorithm for ``head-and-shoulders'' price patterns (Q2691721) (← links)
  • Multi-level factor analysis of bond risk premia (Q2691724) (← links)
  • Interest rate pass-through: a nonlinear vector error-correction approach (Q2691725) (← links)
  • Generating prediction bands for path forecasts from SETAR models (Q2691726) (← links)
  • On the determinants of the 2008 financial crisis: a Bayesian approach to the selection of groups and variables (Q2691728) (← links)
  • Flexible Fourier form for volatility breaks (Q2691729) (← links)
  • Testing for a unit root against ESTAR stationarity (Q2691731) (← links)
  • Nonlinear evidence on the existence of jobless recoveries (Q2691733) (← links)
  • Nonlinear Taylor rules: evidence from a large dataset (Q2691734) (← links)
  • Time-varying correlations and Sharpe ratios during quantitative easing (Q2691736) (← links)
  • Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples (Q2691737) (← links)
  • Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics (Q2691738) (← links)
  • Public debt and economic growth conundrum: nonlinearity and inter-temporal relationship (Q2691742) (← links)
  • Evaluating the impact of the labor market conditions index on labor market forecasts (Q2691744) (← links)
  • Introduction: Special issue honoring the contributions of Walter Enders (Q2691745) (← links)
  • Estimation and inference of threshold regression models with measurement errors (Q2691748) (← links)
  • The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach (Q2691749) (← links)
  • Uncertainty in the housing market: evidence from US states (Q2691751) (← links)
  • Markov-switching quantile autoregression: a Gibbs sampling approach (Q2691752) (← links)
  • Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and Granger causality tests (Q2691756) (← links)
  • Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models (Q2691757) (← links)
  • A simple solution of the spurious regression problem (Q2691758) (← links)
  • Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications (Q2691760) (← links)
  • A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns (Q2691761) (← links)
  • Local/import -- and foreign currency prices: inflation, uncertainty and pass through endogeneity (Q2691763) (← links)
  • Regime switching with structural breaks in output convergence (Q2691764) (← links)
  • Market concentration and market power of the Swedish mortgage sector -- a wavelet panel efficiency analysis (Q2691767) (← links)
  • A hidden Markov regime-switching smooth transition model (Q2691768) (← links)
  • A new method for specifying the tuning parameter of \(\ell_1\) trend filtering (Q2691769) (← links)
  • The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting (Q2691770) (← links)
  • Bayesian subset selection for two-threshold variable autoregressive models (Q2691772) (← links)
  • Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market (Q2691774) (← links)
  • P-star model for India: a nonlinear approach (Q2691776) (← links)
  • Testing for misspecification in the short-run component of GARCH-type models (Q2691778) (← links)
  • Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE (Q2691780) (← links)
  • Time-varying asymmetry and tail thickness in long series of daily financial returns (Q2691782) (← links)
  • Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule (Q2691784) (← links)
  • Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach (Q2691787) (← links)
  • Modeling time-variation over the business cycle (1960--2017): an international perspective (Q2691788) (← links)
  • Can a Taylor rule better explain the Fed's monetary policy through the 1920s and 1930s? A nonlinear cliometric analysis (Q2691789) (← links)
  • An interview with Timo Teräsvirta (Q2691790) (← links)
  • Methods for strengthening a weak instrument in the case of a persistent treatment (Q2697015) (← links)
  • A non-linear Keynesian Goodwin-type endogenous model of the cycle: Bayesian evidence for the USA (Q2697017) (← links)
  • A regime switching skew-normal model of contagion (Q2697018) (← links)
  • Think again: volatility asymmetry and volatility persistence (Q2697019) (← links)
  • A nonlinear model of asset returns with multiple shocks (Q2697021) (← links)
  • Investment on human capital in a dynamic contest model (Q2697022) (← links)
  • A parametric stationarity test with smooth breaks (Q2697025) (← links)
  • Asymmetric impact of uncertainty in recessions: are emerging countries more vulnerable? (Q2697027) (← links)
  • A unified framework jointly explaining business conditions, stock returns, volatility and ``volatility feedback news'' effects (Q2697029) (← links)
  • Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models (Q2697030) (← links)
  • Regression discontinuity designs with unknown state-dependent discontinuity points: estimation and testing (Q2697031) (← links)
  • Foster-Hart optimization for currency portfolios (Q2697032) (← links)
  • Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data (Q2697033) (← links)
  • Flexible HAR model for realized volatility (Q2697034) (← links)
  • What cycles? Data detrending in DSGE models (Q2697036) (← links)
  • Gamification of global climate change: an experimental analysis (Q2697039) (← links)
  • An efficient sequential learning algorithm in regime-switching environments (Q2697041) (← links)
  • Pollution, carrying capacity and the Allee effect (Q2697042) (← links)
  • Hopf bifurcation and the existence and stability of closed orbits in three-sector models of optimal endogenous growth (Q2697043) (← links)
  • A new route to the rapid growth of the service sector: rise of the standard of living (Q2697045) (← links)
  • Two-sided altruism as a motive for intergenerational transfer (Q2697047) (← links)
  • Bubble on real estate: the role of altruism and fiscal policy (Q2697048) (← links)
  • Competitive equilibrium cycles for small discounting in discrete-time two-sector optimal growth models (Q2697049) (← links)
  • Two-sided altruism and time inconsistency (Q2697050) (← links)
  • Optimal growth in the Robinson-Shinkai-Leontief model: the case of capital-intensive consumption goods (Q2697051) (← links)
  • Business cycles and indeterminacy in economic models: a special issue in honor of Professor Kazuo Nishimura (Q2697052) (← links)
  • An elementary business cycle mechanism: learning from Harrod and Kaldor (Q2697053) (← links)
  • Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules (Q2697054) (← links)
  • An intuitive skewness-based symmetry test applicable to stationary time series data (Q2697055) (← links)
  • Smart or stupid depends on who is your counterpart: a cobweb model with heterogeneous expectations (Q2697057) (← links)
  • Variance reduction estimation for return models with jumps using gamma asymmetric kernels (Q2697059) (← links)
  • An explicit formula for the smoother weights of the Hodrick-Prescott filter (Q2697061) (← links)
  • Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence (Q2697063) (← links)
  • Bond risk premia and the return forecasting factor (Q2697065) (← links)
  • On the performance of information criteria for model identification of count time series (Q2697066) (← links)
  • Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks (Q2697067) (← links)
  • Testing for cointegration with threshold adjustment in the presence of structural breaks (Q2697069) (← links)
  • A model for ordinal responses with heterogeneous status quo outcomes (Q2697070) (← links)
  • ``Animal spirits'' and bank's lending behaviour, a disequilibrium approach (Q2697072) (← links)
  • Forecasting the unemployment rate over districts with the use of distinct methods (Q2697073) (← links)
  • Constrained interest rates and changing dynamics at the zero lower bound (Q2697075) (← links)
  • Temporal aggregation of random walk processes and implications for economic analysis (Q2697076) (← links)
  • Fiscal policy uncertainty and US output (Q2697077) (← links)
  • Risk shocks with time-varying higher moments (Q2697079) (← links)
  • A threshold mixed count time series model: estimation and application (Q2697080) (← links)
  • Nonlinear interest rate-setting behaviour of German commercial banks (Q2697083) (← links)
  • A wavelet-based variance ratio unit root test for a system of equations (Q2697085) (← links)
  • The role of uncertainty on agricultural futures markets momentum trading and volatility (Q2697086) (← links)
  • Conventional and unconventional monetary policy reaction to uncertainty in advanced economies: evidence from quantile regressions (Q2697087) (← links)
  • Income inequality and economic growth: heterogeneity and nonlinearity (Q2697090) (← links)
  • Combining sign and parametric restrictions in SVARs by utilising givens rotations (Q2697091) (← links)
  • Uncertainty and forecasts of U.S. recessions (Q2697092) (← links)
  • Dissecting skewness under affine jump-diffusions (Q2697094) (← links)
  • Unconventional monetary policy reaction functions: evidence from the US (Q2697097) (← links)
  • The term structure of eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach (Q2697098) (← links)
  • Bayesian analysis of periodic asymmetric power GARCH models (Q2697099) (← links)
  • The nonlinear effects of uncertainty shocks (Q2697101) (← links)
  • The role of the threshold effect for the dynamics of futures and spot prices of energy commodities (Q2697103) (← links)
  • Capital mobility in commodity-exporting economies (Q2697106) (← links)
  • Exchange rates in India: current account monetarism in a nonlinear context (Q2697107) (← links)
  • Causal relationships between inflation and inflation uncertainty (Q2697108) (← links)
  • An interview with Howell Tong (Q2697109) (← links)
  • Unconventional monetary policy in a nonlinear quadratic model (Q2697111) (← links)
  • Money growth variability and output: evidence with credit card-augmented Divisia monetary aggregates (Q2697112) (← links)
  • Computational methods for production-based asset pricing models with recursive utility (Q2699590) (← links)
  • Outliers and misleading leverage effect in asymmetric GARCH-type models (Q2699591) (← links)
  • Disentangling the source of non-stationarity in a panel of seasonal data (Q2699592) (← links)
  • The European growth synchronization through crises and structural changes (Q2699594) (← links)
  • How do volatility regimes affect the pricing of quality and liquidity in the stock market? (Q2699596) (← links)
  • What model for the target rate (Q2699598) (← links)
  • Application of grey relational analysis and artificial neural networks on currency exchange-traded notes (ETNs) (Q2699601) (← links)
  • Stochastic model specification in Markov switching vector error correction models (Q2699603) (← links)
  • Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals (Q2699605) (← links)
  • An effcient exact Bayesian method for state space models with stochastic volatility (Q2699606) (← links)
  • A strategy for the use of the cross recurrence quantification analysis (Q2699608) (← links)
  • Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model (Q2699609) (← links)
  • Macroeconomic uncertainty and forecasting macroeconomic aggregates (Q2699611) (← links)
  • Economic dynamics of epidemiological bifurcations (Q2699612) (← links)
  • Statistical characteristics of price impact in high-frequency trading (Q2699613) (← links)
  • Learning for infinitely divisible GARCH models in option pricing (Q2699614) (← links)
  • The discontinuation of the EUR/CHF minimum exchange rate: information from option-implied break probabilities (Q2699616) (← links)
  • Finding correct elasticities in log-linear and exponential models allowing heteroskedasticity (Q2699617) (← links)
  • Dynamics between the budget deficit and the government debt in the United States: a nonlinear analysis (Q2699619) (← links)
  • Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models (Q2700525) (← links)
  • Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries (Q2700527) (← links)
  • Openness-inflation Nexus in alternative monetary regimes (Q2700529) (← links)
  • Bayesian bandwidth estimation for local linear fitting in nonparametric regression models (Q2700530) (← links)
  • Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data (Q2700531) (← links)
  • Choosing between identification schemes in noisy-news models (Q2700532) (← links)
  • Hysteresis and sources of aggregate employment inertia (Q2700533) (← links)
  • Asymmetric dynamics between uncertainty and unemployment flows in the United States (Q2700534) (← links)
  • Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach (Q2700536) (← links)
  • Testing for stationarity with covariates: more powerful tests with non-normal errors (Q2700538) (← links)
  • The non-linear effects of the Fed asset purchases (Q2700540) (← links)
  • Multiple structural breaks in cointegrating regressions: a model selection approach (Q2700541) (← links)
  • Time-varying threshold cointegration with an application to the Fisher hypothesis (Q2700542) (← links)
  • A new bivariate Archimedean copula with application to the evaluation of VaR (Q2700544) (← links)
  • The effect of price discrimination on dynamic duopoly games with bounded rationality (Q2700545) (← links)
  • Multivariate Markov-switching score-driven models: an application to the global crude oil market (Q2700546) (← links)
  • Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity (Q2700547) (← links)
  • Regulated seasonal unit root process (Q2700548) (← links)
  • Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration (Q2700549) (← links)
  • Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states (Q2700551) (← links)
  • Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model (Q2700553) (← links)
  • The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks? (Q2700555) (← links)
  • Forecasting Japanese inflation with a news-based leading indicator of economic activities (Q2700557) (← links)
  • Air pollution, mortality, at-risk population, new entry and life expectancy of the frail elderly in three U.S. cities (Q2700560) (← links)
  • Fast maximum likelihood estimation of parameters for square root and Bessel processes (Q2700562) (← links)
  • A monitoring procedure for detecting structural breaks in factor copula models (Q2700563) (← links)
  • Construction of leading economic index for recession prediction using vine copulas (Q2700564) (← links)
  • Financial integration in emerging economies: an application of threshold cointegration (Q2700566) (← links)
  • When is discretionary fiscal policy effective? (Q2700567) (← links)
  • Recovering cointegration via wavelets in the presence of non-linear patterns (Q2700571) (← links)
  • Buffered vector error-correction models: an application to the U.S. Treasury bond rates (Q2700572) (← links)
  • Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation (Q2700573) (← links)
  • Modeling time-varying parameters using artificial neural networks: a GARCH illustration (Q2700575) (← links)
  • Variable elasticity of substitution and economic growth in the neoclassical model (Q2700576) (← links)
  • Fiscal austerity in emerging market economies (Q2700579) (← links)
  • Selecting between causal and noncausal models with quantile autoregressions (Q2700580) (← links)
  • A tractable model for indices approximating the growth optimal portfolio (Q5404067) (← links)
  • Herd behavior, bubbles and social interactions in financial markets (Q5404068) (← links)
  • Modelling nonlinearities in equity returns: the mean impact curve analysis (Q5404070) (← links)
  • Forecast uncertainty and the Bank of England’s interest rate decisions (Q5881672) (← links)
  • A Bayesian approach for capturing daily heterogeneity in intra-daily durations time series (Q5881673) (← links)
  • Learning under signal-to-noise ratio uncertainty (Q5881675) (← links)
  • Using transfer entropy to measure information flows between financial markets (Q5881676) (← links)
  • Computational aspects of portfolio risk estimation in volatile markets: a survey (Q5881677) (← links)
  • Stochastically weighted average conditional moment tests of functional form (Q5881678) (← links)
  • Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico (Q5881681) (← links)
  • Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data (Q5881685) (← links)
  • Quasi-maximum likelihood estimation of multivariate diffusions (Q5881686) (← links)
  • Time-varying cointegration, identification, and cointegration spaces (Q5881687) (← links)
  • Noncausality and asset pricing (Q5881688) (← links)
  • State space Markov switching models using wavelets (Q5881689) (← links)
  • The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations (Q5881690) (← links)
  • Common large innovations across nonlinear time series (Q5881691) (← links)
  • The forward rate premium puzzle: a case of misspecification?1) (Q5881692) (← links)
  • A smooth transition long-memory model (Q5881694) (← links)
  • Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study (Q5881695) (← links)
  • Threshold linkages between volatility and trading volume: evidence from developed and emerging markets (Q5881696) (← links)
  • Inventory investment and the business cycle: the usual suspect (Q5881697) (← links)
  • Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models (Q5881698) (← links)
  • Off-the-record target zones: theory with an application to Hong Kong’s currency board (Q5881699) (← links)
  • Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product (Q5881700) (← links)
  • Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH (Q5881701) (← links)
  • A value-at-risk analysis of carry trades using skew-GARCH models (Q5881703) (← links)
  • Income taxes and endogenous fluctuations: a generalization (Q5881704) (← links)
  • Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information? (Q5881706) (← links)
  • Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns (Q5881707) (← links)
  • Regimes and long memory in realized volatility (Q5881709) (← links)
  • Estimating C-CAPM and the equity premium over the frequency domain (Q5881710) (← links)
  • Determining the number of global and country-specific factors in the euro area (Q5881711) (← links)
  • A maximum score test for binary response models (Q5881712) (← links)
  • What does Google say about credit developments in Brazil? (Q6039097) (← links)
  • Forecasting transaction counts with integer-valued GARCH models (Q6039098) (← links)
  • Asymmetries in the monetary policy reaction function: evidence from India (Q6039100) (← links)
  • Time-specific average estimation of dynamic panel regressions (Q6039103) (← links)
  • Rescaled variance tests for seasonal stationarity (Q6039104) (← links)
  • Transition from the Taylor rule to the zero lower bound (Q6039105) (← links)
  • A note on change in persistence of U.S. city prices (Q6039106) (← links)
  • Instability in regime switching models (Q6039107) (← links)
  • Testing for exuberance in house prices using data sampled at different frequencies (Q6039109) (← links)
  • Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach (Q6039110) (← links)
  • A family of nonparametric unit root tests for processes driven by infinite variance innovations (Q6039111) (← links)
  • Prediction of stock index of two-scale long short-term memory model based on multiscale nonlinear integration (Q6039115) (← links)
  • Estimation and forecasting of long memory stochastic volatility models (Q6039116) (← links)
  • Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data (Q6039118) (← links)
  • Bidirectional volatility transmission between stocks and bond in East Asia -- the quantile estimates based on wavelets (Q6039121) (← links)
  • A threshold model for the spread (Q6039123) (← links)
  • A Gini estimator for regression with autocorrelated errors (Q6039124) (← links)
  • State price density estimation with an application to the recovery theorem (Q6039126) (← links)
  • Testing for random coefficient autoregressive and stochastic unit root models (Q6039127) (← links)
  • Asymmetry in stochastic volatility models with threshold and time-dependent correlation (Q6138232) (← links)
  • Financial crisis spread, economic growth and unemployment: a mathematical model (Q6138233) (← links)
  • Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects (Q6138236) (← links)
  • Unrestricted, restricted, and regularized models for forecasting multivariate volatility (Q6138238) (← links)
  • Controlling chaos in New Keynesian macroeconomics (Q6138239) (← links)
  • Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions (Q6138242) (← links)
  • Expected, unexpected, good and bad aggregate uncertainty (Q6138243) (← links)
  • On determination of the number of factors in an approximate factor model (Q6138244) (← links)
  • Clean energy consumption and economic growth in China: a time-varying analysis (Q6138248) (← links)
  • Panel data models with two threshold variables (Q6138251) (← links)
  • What will drive global economic growth in the digital age? (Q6138252) (← links)
  • On the nonlinear relationships between shadow economy and the three pillars of sustainable development: new evidence from panel threshold analysis (Q6138255) (← links)
  • Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations (Q6138256) (← links)
  • Stock price prediction using multi-scale nonlinear ensemble of deep learning and evolutionary weighted support vector regression (Q6138257) (← links)
  • Approximate Bayesian inference for agent-based models in economics: a case study (Q6553215) (← links)
  • Anticipating extreme losses using score-driven shape filters (Q6553216) (← links)
  • Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective (Q6553219) (← links)
  • The impact of forward guidance and large-scale asset purchase programs on commodity markets (Q6553221) (← links)
  • Middle-income traps and complexity in economic development (Q6553222) (← links)
  • Bayesian inference for order determination of double threshold variables autoregressive models (Q6553223) (← links)
  • Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution (Q6553225) (← links)
  • Analysis of heterogeneous duopoly game with information asymmetry based on extrapolative mechanism (Q6553226) (← links)
  • Modelling volatility dependence with score copula models (Q6553228) (← links)
  • A new test for non-linear hypotheses under distributional and local parametric misspecification (Q6553229) (← links)
  • Optimization study of momentum investment strategies under asymmetric power-law distribution of return rate (Q6553230) (← links)
  • Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets (Q6553231) (← links)
  • Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging (Q6553232) (← links)
  • Bayesian VARs and prior calibration in times of COVID-19 (Q6645221) (← links)
  • On testing for bubbles during hyperinflations (Q6645224) (← links)
  • Estimating uncertainty spillover effects across euro area using a regime dependent VAR model (Q6645225) (← links)
  • Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility (Q6645226) (← links)
  • High dimensional threshold model with a time-varying threshold based on Fourier approximation (Q6645227) (← links)
  • Volatility and dependence in cryptocurrency and financial markets: a copula approach (Q6645228) (← links)
  • Editorial introduction of the special issue of studies in nonlinear dynamics and econometrics in honor of Herman van Dijk (Q6645229) (← links)
  • Challenges and opportunities for twenty first century Bayesian econometricians: a personal view (Q6645230) (← links)
  • Markov-switching models with unknown error distributions: identification and inference within the Bayesian framework (Q6645232) (← links)
  • Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods (Q6645233) (← links)
  • Matrix autoregressive models: generalization and Bayesian estimation (Q6645234) (← links)
  • Sequential Monte Carlo with model tempering (Q6645235) (← links)
  • Modeling corporate CDS spreads using Markov switching regressions (Q6645238) (← links)
  • Combining large numbers of density predictions with Bayesian predictive synthesis (Q6645240) (← links)
  • Bayesian inference for non-anonymous growth incidence curves using Bernstein polynomials: an application to academic wage dynamics (Q6645242) (← links)
  • Bayesian reconciliation of return predictability (Q6645244) (← links)
  • A dynamic latent-space model for asset clustering (Q6645246) (← links)
  • Posterior manifolds over prior parameter regions: beyond pointwise sensitivity assessments for posterior statistics from MCMC inference (Q6645248) (← links)
  • Bayesian flexible local projections (Q6645250) (← links)
  • Welfare cost of inflation, when credit card transaction services are included among monetary services (Q6645251) (← links)
  • Co-jumping of treasury yield curve rates (Q6645253) (← links)
  • Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis (Q6645255) (← links)
  • Stability in threshold VAR models (Q6645256) (← links)
  • Examining the impact of energy policies on \(\mathrm{CO}_2\) emissions with information and communication technologies and renewable energy (Q6645261) (← links)
  • Interfuel substitution and inflation dynamics in India (Q6645262) (← links)
• Skew-Normal Mixture and Markov-Switching GARCH Processes (Q3064340) (← links)
• Covariate Measurement Error: Bias Reduction under Response-Based Sampling (Q3064341) (← links)
• Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models (Q3064342) (← links)
• Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model (Q3064343) (← links)
• A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions (Q3064344) (← links)
• Contemporaneous-Threshold Smooth Transition GARCH Models (Q3081589) (← links)
• Real-Time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty (Q3081590) (← links)
• Alternative Estimators of Long-Range Dependence (Q3081592) (← links)
• Nonparametric Testing for Linearity in Cointegrated Error-Correction Models (Q3081593) (← links)
• On Cycles and Chaos in Economics (Q3368183) (← links)
• Optimal Cycles and Chaos: A Survey (Q3368185) (← links)
• Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data (Q3368186) (← links)
• A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle (Q3368188) (← links)
• If Nonlinear Models Cannot Forecast, What Use Are They? (Q3368190) (← links)
• A Random Walk or Color Chaos on the Stock Market? Time-Frequency Analysis of S&P Indexes (Q3368191) (← links)
• Saddle Path Stability, Fluctuations, and Indeterminacy in Economic Growth (Q3368192) (← links)
• A Kernel Test for Neglected Nonlinearity (Q3368194) (← links)
• Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances (Q3368195) (← links)
• The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms (Q3368196) (← links)
• Tests for Nonlinearity in EMS Exchange Rates (Q3368198) (← links)
• SIMANN: A Global Optimization Algorithm using Simulated Annealing (Q3368199) (← links)
• Endogenous Cycles in Competitive Models: An Overview (Q3368200) (← links)
• A Nonlinear Analysis of Forward Premium and Volatility (Q3368201) (← links)
• FORTRAN Programs for Running the TR Test: A Guide and Examples (Q3368202) (← links)
• Inference in TAR Models (Q3368203) (← links)
• Technical Trading Rules and the Size of the Risk Premium in Security Returns (Q3368205) (← links)
• Finite Sample Properties of the Efficient Method of Moments (Q3368206) (← links)
• A Fast Algorithm for the BDS Statistic (Q3368207) (← links)
• Nonlinearity and Endogeneity in Macro-Asset Pricing (Q3368208) (← links)
• EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments (Q3368210) (← links)
• Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods (Q3368212) (← links)
• Forecasting Exchange Rates Using Neural Networks for Technical Trading Rules (Q3368214) (← links)
• Early News is Good News: The Effects of Market Opening on Market Volatility (Q3368215) (← links)
• GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model (Q3368216) (← links)
• The Current Depth-of-Recession and Unemployment-Rate Forecasts (Q3368218) (← links)
• Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets (Q3368219) (← links)
• Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? (Q3368220) (← links)
• The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income (Q3368222) (← links)
• A Markov-Chain Sampling Algorithm for GARCH Models (Q3368228) (← links)
• Information-Theoretic Analysis of Serial Dependence and Cointegration (Q3368230) (← links)
• Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models (Q3368231) (← links)
• Stability Analysis of Continuous-Time Macroeconometric Systems (Q3368233) (← links)
• Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP (Q3368234) (← links)
• Should Policy Makers Worry about Asymmetries in the Business Cycle? (Q3368235) (← links)
• Monetary Policy with a Nonlinear Phillips Curve and Asymmetric Loss (Q3368236) (← links)
• An Approximate Wavelet MLE of Short- and Long-Memory Parameters (Q3368237) (← links)
• Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models (Q3368256) (← links)
• The Formation of Inflation Expectations under Changing Inflation Regimes (Q3368258) (← links)