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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1,086
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714
OLC EcoSci
372
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1
Bayesian VARs and prior calibration in times of COVID-19
Hartwig, Benny
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014505189
Saved in:
2
On testing for bubbles during hyperinflations
Morita, Rubens
;
Psaradakis, Zacharias G.
;
Sola, Martin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 25-37
Persistent link: https://www.econbiz.de/10014506885
Saved in:
3
Estimating uncertainty spillover effects across Euro area using a regime dependent VAR model
Angelini, Giovanni
;
Costantini, Mauro
;
Easaw, Joshy Z.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 39-59
Persistent link: https://www.econbiz.de/10014506887
Saved in:
4
Anticipating extreme losses using score-driven shape filters
Ayala, Astrid
;
Blazsek, Szabolcs
;
Escribano, Álvaro
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 449-484
Persistent link: https://www.econbiz.de/10014372905
Saved in:
5
Modelling volatility dependence with score copula models
Alanya-Beltran, Willy
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 649-668
Persistent link: https://www.econbiz.de/10014506814
Saved in:
6
Uncertainty and realized jumps in the pound-dollar exchange rate : evidence from over one century of data
Gillas, Konstantinos Gkillas
;
Gupta, Rangan
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 25-47
Persistent link: https://www.econbiz.de/10014288819
Saved in:
7
A threshold model for the spread
Hatzinikolaou, Dimitris
;
Sarigiannidis, Georgios
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 67-82
Persistent link: https://www.econbiz.de/10014288857
Saved in:
8
Augmenting the Realized-GARCH : the role of signed-jumps, attenuation-biases and long-memory effects
Papantonis, Ioannis
;
Rompolis, Leonidas S.
;
Tzavalis, Elias
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 171-198
Persistent link: https://www.econbiz.de/10014288888
Saved in:
9
Controlling chaos in New Keynesian macroeconomics
Barnett, William A.
;
Bella, Giovanni
;
Ghosh, Taniya
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 219-236
Persistent link: https://www.econbiz.de/10014288894
Saved in:
10
Expected, unexpected, good and bad aggregate uncertainty
Uribe, Jorge
;
Chuliá, Helena
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 265-284
Persistent link: https://www.econbiz.de/10014288901
Saved in:
11
Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration
Murasawa, Yasutomo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 387-415
Persistent link: https://www.econbiz.de/10013334834
Saved in:
12
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
13
High dimensional threshold model with a time-varying threshold based on Fourier approximation
Yang, Lixiong
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 83-117
Persistent link: https://www.econbiz.de/10014506889
Saved in:
14
Volatility and dependence in cryptocurrency and financial markets : a copula approach
Liu, Jinan
;
Serletis, Apostolos
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 119-149
Persistent link: https://www.econbiz.de/10014506890
Saved in:
15
Analysis of heterogeneous duopoly game with information asymmetry based on extrapolative mechanism
Yuan, Jing
;
Zhu, Jianjun
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 635-648
Persistent link: https://www.econbiz.de/10014506803
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16
Fast maximum likelihood estimation of parameters for square root and Bessel processes
Fergusson, Kevin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
4
,
pp. 143-170
Persistent link: https://www.econbiz.de/10012657679
Saved in:
17
Selecting between causal and noncausal models with quantile autoregressions
Hecq, Alain W. J.
;
Sun, Li
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 393-416
Persistent link: https://www.econbiz.de/10012806552
Saved in:
18
On determination of the number of factors in an approximate factor model
Liu, Jinshan
;
Pan, Jiazhu
;
Xia, Qiang
;
Xiao, Li
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
3
,
pp. 285-298
Persistent link: https://www.econbiz.de/10014372878
Saved in:
19
Clean energy consumption and economic growth in China : a time-varying analysis
Bahramian, Pejman
;
Saliminezhad, Andisheh
;
Fethi, Sami
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
3
,
pp. 299-313
Persistent link: https://www.econbiz.de/10014372879
Saved in:
20
Panel data models with two threshold variables
Lamadrid-Contreras, Arturo
;
Ramírez-Rondán, Nelson R.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
3
,
pp. 315-333
Persistent link: https://www.econbiz.de/10014372881
Saved in:
21
What will drive global economic growth in the digital age?
Growiec, Jakub
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
3
,
pp. 335-354
Persistent link: https://www.econbiz.de/10014372882
Saved in:
22
On the nonlinear relationships between shadow economy and the three pillars of sustainable development : new evidence from panel threshold analysis
Saafi, Sami
;
Nouira, Ridha
;
Assidi, Nadia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
3
,
pp. 355-375
Persistent link: https://www.econbiz.de/10014372883
Saved in:
23
Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
Pan, Jiazhu
;
He, Yali
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
3
,
pp. 377-395
Persistent link: https://www.econbiz.de/10014372884
Saved in:
24
Stock price prediction using multi-scale nonlinear ensemble of deep learning and evolutionary weighted support vector regression
Wang, Jujie
;
Zhuang, Zhenzhen
;
Gao, Dongming
;
Li, Yang
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
3
,
pp. 397-421
Persistent link: https://www.econbiz.de/10014372898
Saved in:
25
Approximate Bayesian inference for agent-based models in economics : a case study
Lux, Thomas
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 423-447
Persistent link: https://www.econbiz.de/10014372903
Saved in:
26
Does real interest rate parity really work? : historical evidence from a discrete wavelet perspective
Asl, Mahdi Ghaemi
;
Canarella, Giorgio
;
Miller, Stephen M.
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 485-518
Persistent link: https://www.econbiz.de/10014372906
Saved in:
27
The impact of forward guidance and large-scale asset purchase programs on commodity markets
Gomis-Porqueras, Pedro
;
Rafiq, Shuddhasattwa
;
Yao, Wenying
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 519-551
Persistent link: https://www.econbiz.de/10014372913
Saved in:
28
Middle-income traps and complexity in economic development
Asano, Takao
;
Shibata, Akihisa
;
Yokoo, Masanori
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 553-565
Persistent link: https://www.econbiz.de/10014372914
Saved in:
29
Bayesian inference for order determination of double threshold variables autoregressive models
Zheng, Xiaobing
;
Xia, Qiang
;
Liang, Rubing
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 567-587
Persistent link: https://www.econbiz.de/10014372915
Saved in:
30
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
Saved in:
31
A new test for non-linear hypotheses under distributional and local parametric misspecification
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 669-685
Persistent link: https://www.econbiz.de/10014506833
Saved in:
32
Optimization study of momentum investment strategies under asymmetric power-law distribution of return rate
Wu, Xu
;
Wang, Kun
;
Zhang, Linlin
;
Peng, Chong
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 687-704
Persistent link: https://www.econbiz.de/10014506859
Saved in:
33
Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
Ayala, Astrid
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 705-731
Persistent link: https://www.econbiz.de/10014506866
Saved in:
34
Integrated variance of irregularly spaced high-frequency data : a state space approach based on pre-averaging
Alexeev, Vitali
;
Chen, Jun
;
Ignatieva, Ekaterina
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 733-763
Persistent link: https://www.econbiz.de/10014506869
Saved in:
35
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
36
Bidirectional volatility transmission between stocks and bond in East Asia : the quantile estimates based on wavelets
Živkov, Dejan
;
Kovačević, Jelena
;
Stankov, Biljana
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 49-65
Persistent link: https://www.econbiz.de/10014288820
Saved in:
37
A Gini estimator for regression with autocorrelated errors
Ka, Ndéné
;
Mussard, Stéphane
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 83-95
Persistent link: https://www.econbiz.de/10014288860
Saved in:
38
State price density estimation with an application to the recovery theorem
Sanford, Anthony
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 97-115
Persistent link: https://www.econbiz.de/10014288863
Saved in:
39
Testing for random coefficient autoregressive and stochastic unit root models
Nagakura, Daisuke
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 117-129
Persistent link: https://www.econbiz.de/10014288865
Saved in:
40
Asymmetry in stochastic volatility models with threshold and time-dependent correlation
Schäfers, Torben
;
Teng, Long
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 131-146
Persistent link: https://www.econbiz.de/10014288879
Saved in:
41
Financial crisis spread, economic growth and unemployment : a mathematical model
Tadmon, Calvin
;
Njike-Tchaptchet, Eric Rostand
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 147-170
Persistent link: https://www.econbiz.de/10014288884
Saved in:
42
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
43
Conservatorship, quantitative easing, and mortgage spreads : a new multi-equation score-driven model of policy actions
Blazsek, Szabolcs
;
Blazsek, Virág
;
Kobor, Adam
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 237-264
Persistent link: https://www.econbiz.de/10014288896
Saved in:
44
Asymmetric dynamics between uncertainty and unemployment flows in the United States
Ahmed, Ali M.
;
Granberg, Mark
;
Troster, Victor
;
Uddin, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 155-172
Persistent link: https://www.econbiz.de/10013334677
Saved in:
45
What does Google say about credit developments in Brazil?
Neto, Alberto Ronchi
;
Candido, Osvaldo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 499-527
Persistent link: https://www.econbiz.de/10013453758
Saved in:
46
Forecasting transaction counts with integer-valued GARCH models
Aknouche, Abdelhakim
;
Almohaimeed, Bader S.
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 529-539
Persistent link: https://www.econbiz.de/10013453761
Saved in:
47
Asymmetries in the monetary policy reaction function : evidence from India
Shah, Irfan Ahmad
;
Kundu, Srikanta
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 541-558
Persistent link: https://www.econbiz.de/10013453776
Saved in:
48
A mixture autoregressive model based on Gaussian and Student's t-distributions
Virolainen, Savi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 559-580
Persistent link: https://www.econbiz.de/10013453777
Saved in:
49
Time-specific average estimation of dynamic panel regressions
Chu, Ba
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 581-616
Persistent link: https://www.econbiz.de/10013453781
Saved in:
50
Rescaled variance tests for seasonal stationarity
Gogebakan, Kemal Caglar
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 617-633
Persistent link: https://www.econbiz.de/10013453785
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