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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
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Computational economics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
Resilient control for macroeconomic models
Hudgins, David
;
Crowley, Patrick M.
- In:
Computational economics
61
(
2023
)
4
,
pp. 1403-1431
Persistent link: https://www.econbiz.de/10014327063
Saved in:
2
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:
3
A hybrid ARFIMA wavelet artificial neural network model for DJIA index forecasting
Boubaker, Heni
;
Canarella, Giorgio
;
Gupta, Rangan
; …
- In:
Computational economics
62
(
2023
)
4
,
pp. 1801-1843
Persistent link: https://www.econbiz.de/10014437593
Saved in:
4
Horizon-adaptive extreme risk quantification for cryptocurrency assets
Tzagkarakis, George
;
Maurer, Frantz
- In:
Computational economics
62
(
2023
)
3
,
pp. 1251-1286
Persistent link: https://www.econbiz.de/10014382906
Saved in:
5
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:
6
Are the eurozone financial and business cycles convergent across time and frequency?
Mansour-Ibrahim, Dalia
- In:
Computational economics
61
(
2023
)
1
,
pp. 389-427
Persistent link: https://www.econbiz.de/10014228435
Saved in:
7
Integrating wavelet decomposition and fuzzy transformation for improving the accuracy of forecasting crude oil price
Saghi, Faramarz
;
Rezaee, Mustafa Jahangoshai
- In:
Computational economics
61
(
2023
)
2
,
pp. 559-591
Persistent link: https://www.econbiz.de/10014228453
Saved in:
8
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:
9
Option pricing by the Legendre wavelets method
Doostaki, Reza
;
Hosseini, Mohammad Mehdi
- In:
Computational economics
59
(
2022
)
2
,
pp. 749-773
Persistent link: https://www.econbiz.de/10013169051
Saved in:
10
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:
11
A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models
Juneja, Januj Amar
- In:
Computational economics
60
(
2022
)
1
,
pp. 173-220
Persistent link: https://www.econbiz.de/10013262506
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12
Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
Li, Mengheng
;
Mendieta-Muñoz, Ivan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 337-359
Persistent link: https://www.econbiz.de/10013334751
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13
Does capacity utilization predict inflation? : a wavelet based evidence from United States
Bahramian, Pejman
;
Saliminezhad, Andisheh
- In:
Computational economics
58
(
2021
)
4
,
pp. 1103-1125
Persistent link: https://www.econbiz.de/10012697888
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14
Air pollution, mortality, at-risk population, new entry and life expectancy of the frail elderly in three U.S. cities
Murray, Christian J.
;
Lipfert, Frederick W.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
4
,
pp. 135-142
Persistent link: https://www.econbiz.de/10012657676
Saved in:
15
Recovering cointegration via wavelets in the presence of non-linear patterns
Martínez Compains, Jorge
;
Rodríguez Carreño, Ignacio
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 255-265
Persistent link: https://www.econbiz.de/10012806528
Saved in:
16
Long-memory modeling and forecasting : evidence from the U.S. historical series of inflation
Boubaker, Heni
;
Canarella, Giorgio
;
Gupta, Rangan
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 289-310
Persistent link: https://www.econbiz.de/10012806531
Saved in:
17
An effcient exact Bayesian method for state space models with stochastic volatility
Huang, Yu-Fan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012507436
Saved in:
18
Extreme wavelet fast learning machine for evaluation of the default profile on financial transactions
Souza, Paulo Vitor de Campos
;
Torres, Luiz Carlos Bambirra
- In:
Computational economics
57
(
2021
)
4
,
pp. 1263-1285
Persistent link: https://www.econbiz.de/10012543297
Saved in:
19
Co-movement and dynamic correlation of financial and energy markets : an integrated framework of nonlinear dynamics, wavelet analysis and DCC-GARCH
Ghosh, Indranil
;
Sanyal, Manas K.
;
Jana, R. K.
- In:
Computational economics
57
(
2021
)
2
,
pp. 503-527
Persistent link: https://www.econbiz.de/10012486945
Saved in:
20
Statistical validation of multi-agent financial models using the H-infinity Kalman Filter
Rigatos, Gerasimos G.
- In:
Computational economics
58
(
2021
)
3
,
pp. 777-798
Persistent link: https://www.econbiz.de/10012651029
Saved in:
21
Estimating non-stationary common factors : implications for risk sharing
Corona, Francisco
;
Poncela, Pilar
;
Ruiz, Esther
- In:
Computational economics
55
(
2020
)
1
,
pp. 37-60
Persistent link: https://www.econbiz.de/10012222591
Saved in:
22
Invertibility and VAR representations of time-varying dynamic stochastic general equilibrium models
Cavicchioli, Maddalena
- In:
Computational economics
55
(
2020
)
1
,
pp. 61-86
Persistent link: https://www.econbiz.de/10012222592
Saved in:
23
Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni
- In:
Computational economics
55
(
2020
)
2
,
pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
Saved in:
24
Are central bankers inflation nutters? : an MCMC estimator of the long-memory üarameter in a state space model
Andersson, Fredrik N. G.
;
Li, Yushu
- In:
Computational economics
55
(
2020
)
2
,
pp. 529-549
Persistent link: https://www.econbiz.de/10012223649
Saved in:
25
Estimating a dynamic factor model in EViews using the Kalman filter and smoother
Solberger, Martin
;
Spånberg, Erik
- In:
Computational economics
55
(
2020
)
3
,
pp. 875-900
Persistent link: https://www.econbiz.de/10012223681
Saved in:
26
Modelling time-varying parameters in panel data state-space frameworks : an application to the Feldstein–Horioka puzzle
Camarero Olivas, Mariam
;
Sapena, Juan
;
Tamarit …
- In:
Computational economics
56
(
2020
)
1
,
pp. 87-114
Persistent link: https://www.econbiz.de/10012272020
Saved in:
27
Optimal filter approximations for latent long memory stochastic volatility
Yap, Grace Lee Ching
- In:
Computational economics
56
(
2020
)
2
,
pp. 547-568
Persistent link: https://www.econbiz.de/10012272047
Saved in:
28
A wavelet-based variance ratio unit root test for a system of equations
Ali, Abdul Aziz
;
Månsson, Kristofer
;
Shukur, Ghazi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012289399
Saved in:
29
Heterogeneous expectations and uncertain inflation target
Marzioni, Stefano
;
Traficante, Guido
- In:
Computational economics
56
(
2020
)
3
,
pp. 601-621
Persistent link: https://www.econbiz.de/10012390414
Saved in:
30
Posterior inference on parameters in a nonlinear DSGE model via Gaussian-based filters
Noh, Sanha
- In:
Computational economics
56
(
2020
)
4
,
pp. 795-841
Persistent link: https://www.econbiz.de/10012390473
Saved in:
31
Nowcasting GDP growth for small open economies with a mixed-frequency structural model
Yau, Ruey
;
Hueng, C. James
- In:
Computational economics
54
(
2019
)
1
,
pp. 177-198
Persistent link: https://www.econbiz.de/10012134110
Saved in:
32
Do energy and banking cds sector spreads reflect financial risks and economic policy uncertainty? : a time-scale decomposition approach
Naifar, Nader
;
Hammoudeh, Shawkat
;
Tiwari, Aviral Kumar
- In:
Computational economics
54
(
2019
)
2
,
pp. 507-534
Persistent link: https://www.econbiz.de/10012134319
Saved in:
33
A continuous differentiable wavelet shrinkage function for economic data denoising
He, Fan
;
He, Xuansen
- In:
Computational economics
54
(
2019
)
2
,
pp. 729-761
Persistent link: https://www.econbiz.de/10012134350
Saved in:
34
Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data
Chen, Yi-Ting
;
Lai, Wan-Ni
;
Sun, Edward W.
- In:
Computational economics
54
(
2019
)
2
,
pp. 809-844
Persistent link: https://www.econbiz.de/10012134380
Saved in:
35
Wavelet multiresolution analysis of the liquidity effect and monetary neutrality
Habimana, Olivier
- In:
Computational economics
53
(
2019
)
1
,
pp. 85-110
Persistent link: https://www.econbiz.de/10012134542
Saved in:
36
Are stock returns an inflation hedge for the UK? : evidence from a wavelet analysis using over three centuries of data
Tiwari, Aviral Kumar
;
Cuñado Eizaguirre, Juncal
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012054891
Saved in:
37
An efficient sequential learning algorithm in regime-switching environments
Kim, Jaeho
;
Lee, Sunhyung
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054894
Saved in:
38
Multivariate co-movement between Islamic stock and bond markets among the GCC : a wavelet-based view
Aloui, Chaker
;
Jammazi, Rania
;
Ben Hamida, Hela
- In:
Computational economics
52
(
2018
)
2
,
pp. 603-626
Persistent link: https://www.econbiz.de/10012053011
Saved in:
39
Risk assessment with wavelet feature engineering for high-frequency portfolio trading
Chen, Yi-Ting
;
Sun, Edward W.
;
Yu, Min-Teh
- In:
Computational economics
52
(
2018
)
2
,
pp. 653-684
Persistent link: https://www.econbiz.de/10012053020
Saved in:
40
Market concentration and market power of the Swedish mortgage Sector : a wavelet panel efficiency analysis
Månsson, Kristofer
;
Sjölander, Pär
;
Shukur, Ghazi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011965322
Saved in:
41
Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
Nguyen, Anh D. M.
;
Pavlidis, Efthymios G.
;
Peel, David
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011966001
Saved in:
42
Permanent breaks and temporary shocks in a time series
Lee, Yoonsuk
;
Brorsen, B. Wade
- In:
Computational economics
49
(
2017
)
2
,
pp. 255-270
Persistent link: https://www.econbiz.de/10011757584
Saved in:
43
Money supply and infllation dynamics in the Asia-Pacific economies : a time-frequency approach
Bekiros, Stelios
;
Taneem Muzaffar, Ahmed
;
Uddin, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011708776
Saved in:
44
Estimation of long memory in volatility using wavelets
Kraicová, Lucie
;
Baruník, Jozef
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011709605
Saved in:
45
Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter
Rigatos, G.
;
Zervos, N.
- In:
Computational economics
50
(
2017
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011762181
Saved in:
46
Wavelets analysis on structural model for default prediction
Han, Lu
;
Ge, Ruihuan
- In:
Computational economics
50
(
2017
)
1
,
pp. 111-140
Persistent link: https://www.econbiz.de/10011762221
Saved in:
47
A model of the euro-area yield curve with discrete policy rates
Renne, Jean-Paul
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 99-116
Persistent link: https://www.econbiz.de/10011650234
Saved in:
48
Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients : detecting switching volatility regimes
Tzagkarakis, George
;
Dionysopoulos, Thomas
;
Achim, Alin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
1
,
pp. 75-96
Persistent link: https://www.econbiz.de/10011431136
Saved in:
49
Time-frequency adapted market integration measure based on hough transformed multiscale decompositions
Tzagkarakis, George
;
Caicedo-Llano, Juliana
; …
- In:
Computational economics
48
(
2016
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011646587
Saved in:
50
Causality in continuous wavelet transform without spectral matrix factorization : theory and application
Olayeni, Olaolu Richard
- In:
Computational economics
47
(
2016
)
3
,
pp. 321-340
Persistent link: https://www.econbiz.de/10011712373
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