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Year of publication
Subject
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Nichtlineare Regression 2,861 Nonlinear regression 2,844 Theorie 1,220 Theory 1,218 Schätzung 848 Estimation 847 Zeitreihenanalyse 810 Time series analysis 804 Schätztheorie 443 Estimation theory 441 Kointegration 372 Cointegration 371 Prognoseverfahren 344 Forecasting model 342 Regressionsanalyse 278 Regression analysis 275 USA 270 United States 266 Einheitswurzeltest 248 Unit root test 248 Panel 197 Panel study 195 Volatilität 187 Volatility 186 Kaufkraftparität 185 Purchasing power parity 185 Börsenkurs 152 Share price 152 Autocorrelation 142 Autokorrelation 142 ARCH-Modell 136 ARCH model 135 Capital income 134 Kapitaleinkommen 134 Welt 131 Business cycle 130 World 130 Konjunktur 129 Wechselkurs 127 Exchange rate 126
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Online availability
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Free 963 Undetermined 609
Type of publication
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Article 1,619 Book / Working Paper 1,242
Type of publication (narrower categories)
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Article in journal 1,498 Aufsatz in Zeitschrift 1,498 Graue Literatur 734 Non-commercial literature 734 Working Paper 729 Arbeitspapier 723 Aufsatz im Buch 137 Book section 137 Hochschulschrift 83 Thesis 66 Collection of articles of several authors 37 Sammelwerk 37 Collection of articles written by one author 25 Sammlung 25 Konferenzschrift 8 Aufsatzsammlung 7 Conference paper 7 Konferenzbeitrag 7 Bibliografie enthalten 6 Bibliography included 6 Conference proceedings 6 Systematic review 6 Übersichtsarbeit 6 Lehrbuch 5 Textbook 5 Forschungsbericht 4 Reprint 4 Festschrift 3 Bibliografie 2 Amtliche Publikation 1 Amtsdruckschrift 1 CD-ROM, DVD 1 Case study 1 Dissertation u.a. Prüfungsschriften 1 Doctoral Thesis 1 Einführung 1 Fallstudie 1 Government document 1 Nachschlagewerk 1 Reference book 1
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Language
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English 2,815 German 35 Spanish 4 French 3 Polish 2 Dutch 1 Portuguese 1 Romanian 1 Slovenian 1 Undetermined 1
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Author
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Teräsvirta, Timo 44 Kapetanios, George 33 Caporale, Guglielmo Maria 29 Gao, Jiti 28 Dijk, Dick van 25 Gil-Alaña, Luis A. 25 Phillips, Peter C. B. 25 Medeiros, Marcelo C. 23 Gupta, Rangan 21 Jawadi, Fredj 21 Peel, David 19 Schorfheide, Frank 19 Chang, Tsangyao 18 Potter, Simon M. 18 Payá, Ivan 16 Sibbertsen, Philipp 16 Su, Chi-Wei 16 Bahmani-Oskooee, Mohsen 15 Chen, Xiaohong 15 Franses, Philip Hans 15 Wang, Qiying 15 McAleer, Michael 14 Saikkonen, Pentti 14 Arellano, Manuel 13 Li, Degui 13 Tjostheim, Dag 13 Aruoba, S. Borağan 12 Marcellino, Massimiliano 12 Omay, Tolga 12 Shin, Yongcheol 12 Cuestas, Juan Carlos 11 Escanciano, Juan Carlos 11 Harrison, Michael J. 11 Koop, Gary 11 Panagiōtidēs, Theodōros 11 Bond, Derek 10 Carcel, Hector 10 Chen, Jia 10 Enders, Walter 10 Hahn, Jinyong 10
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Institution
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National Bureau of Economic Research 13 Queen Mary College / Department of Economics 10 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 10 Ekonomiska forskningsinstitutet <Stockholm> 6 Centre for Analytical Finance <Århus> 3 Centre for Microdata Methods and Practice <London> 3 Christian-Albrechts-Universität zu Kiel 3 Centre for Quantitative Economics & Computing 2 Econometrisch Instituut <Rotterdam> 2 European University Institute / Department of Law 2 Federal Reserve Bank of St. Louis 2 Gottfried Wilhelm Leibniz Universität Hannover 2 London School of Economics and Political Science 2 National Institute of Economic and Social Research 2 School of Economics and Finance <Brisbane> 2 Sonderforschungsbereich 303 Information und die Koordination wirtschaftlicher Aktivitäten, Universität Bonn 2 Center for Economic Research <Tilburg> 1 Deutsche Forschungsgemeinschaft 1 Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften 1 European University Institute / Department of Economics 1 Federal Reserve Bank of San Francisco 1 Innocenzo Gasparini Institute for Economic Research <Mailand> 1 Institut für Wirtschaftswissenschaften <Wien> 1 Instituto Valenciano de Investigaciones Económicas 1 International Symposium in Computational Economic and Finance 1 International Symposium in Economic Theory and Econometrics <11, 1995, Århus> 1 International Symposium in Economic Theory and Econometrics <13, 1997, Sydney> 1 Katholieke Universiteit Brabant / Faculteit der Economische Wetenschappen 1 Københavns Universitet / Økonomisk Institut 1 National University of Ireland, Galway / Dept. of Economics 1 Panepistēmio Kypru / Department of Economics 1 Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia 1 Rutgers University / Department of Economics 1 Sonderforschungsbereich Information und die Koordination Wirtschaftlicher Aktivitäten <Bonn> 1 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 1 Stanford Institute for Economic Policy Research 1 Trinity College Dublin / Department of Economics 1 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 1 University of Cambridge / Department of Applied Economics 1 University of Cambridge / Faculty of Economics 1
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Published in...
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Journal of econometrics 89 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 76 Economic modelling 64 Applied economics letters 59 Economics letters 45 Applied economics 40 Econometric reviews 32 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 32 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 30 International journal of forecasting 26 Macroeconomic dynamics 25 CREATES research paper 23 Journal of forecasting 23 CEMMAP working papers / Centre for Microdata Methods and Practice 22 Energy economics 22 Discussion paper / Tinbergen Institute 20 Econometric theory 20 Journal of economic dynamics & control 19 CESifo working papers 18 Journal of macroeconomics 17 Working paper 17 SSE EFI working paper series in economics and finance 16 The econometrics journal 16 Discussion paper / Centre for Economic Policy Research 15 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 14 The empirical economics letters : a monthly international journal of economics 14 Working paper / Department of Econometrics and Business Statistics, Monash University 14 Computational economics 13 Cowles Foundation discussion paper 13 European journal of operational research : EJOR 13 International review of economics & finance : IREF 13 Working paper series / Department of Economics, Queen Mary, University of London 13 Applied financial economics 12 CAMA working paper series 12 International journal of finance & economics : IJFE 12 Journal of international money and finance 12 NBER Working Paper 12 Oxford bulletin of economics and statistics 12 The European journal of finance 12 The North American journal of economics and finance : a journal of financial economics studies 12
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Source
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ECONIS (ZBW) 2,847 EconStor 7 USB Cologne (EcoSocSci) 4 USB Cologne (business full texts) 1 BASE 1 RePEc 1
Showing 1 - 50 of 2,861
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Identification of vector autoregressive models with nonlinear contemporaneous structure
Cordoni, Francesco; Doremus, Nicolas; Moneta, Alessio - 2023
We propose a statistical identification procedure for structural vector autoregressive (VAR) models that present a nonlinear dependence (at least) at the contemporaneous level. By applying and adapting results from the literature on causal discovery with continuous additive noise models to...
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Nonlinear fiscal multipliers in Saudi Arabia
Ben Slimane, Sarra; Altamimi, Saud - In: Economies : open access journal 11 (2023) 1, pp. 1-16
This paper presents an estimation of the fiscal multipliers for Saudi Arabia, conducted by applying the local projection (LP) method. It also presents an exploration of the non-linear features of fiscal multipliers. The findings showed that (i) consistent with earlier studies, fiscal multipliers...
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New methods for testing, prediction, and estimation with applications to finance
2023
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Time-varying linear transformation models with fixed effects and endogeneity for short panels
Botosaru, Irene; Muris, Chris; Sokullu, Senay - 2022
This paper considers a class of fixed-T nonlinear panel models with timevarying link function, fixed effects, and endogenous regressors. We establish sufficient conditions for the identification of the regression coefficients, the time-varying link function, the distribution of counterfactual...
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Non-linearities and persistence in US long-run interest rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Applied economics letters 29 (2022) 4, pp. 366-370
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State-dependent autoregressive models with p lags : properties, estimation and forecasting
Gobbi, Fabio; Mulinacci, Sabrina - In: Central European journal of economic modelling and … 14 (2022) 1, pp. 81-108
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Time-varying linear transformation models with fixed effects and endogeneity for short panels
Sokollu, Senay; Botosaru, Irene; Muris, Chris - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012880118
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Bootstrapped nonlinear impulse-response analysis : the FTSE100 (UK) and the NDX100 (US) indices 2012-2021
Solibakke, Per Bjarte - In: International journal of computational economics and … 12 (2022) 1/2, pp. 197-221
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Nonlinearities in the exchange rate pass-through : the role of inflation expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2022
This paper investigates nonlinearities in the exchange rate pass-through (ERPT) to consumer and import prices by estimating a smooth transition regression model with different inflation expectations regimes for five inflation targeting countries (the UK, Canada, Australia, New Zealand and...
Persistent link: https://ebtypo.dmz1.zbw/10012806637
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Time-varying linear transformation models with fixed effects and endogeneity for short panels
Botosaru, Irene; Muris, Chris; Sokullu, Senay - 2022
This paper considers a class of fixed-T nonlinear panel models with timevarying link function, fixed effects, and endogenous regressors. We establish sufficient conditions for the identification of the regression coefficients, the time-varying link function, the distribution of counterfactual...
Persistent link: https://ebtypo.dmz1.zbw/10012813642
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Sources and channels of nonlinearities and instabilities of the Phillips curve : results for the euro area and its member states
Reichold, Karsten; Wagner, Martin; Damjanović, Milan; … - 2022
This paper presents evidence for sources and channels of nonlinearities and instabilities of the new Keynesian Phillips curve (NKPC) for the euro area and all but four member states over the last two decades prior to the COVID-19 crisis. The approach rests upon misspecification testing using...
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Nonlinear transmission of financial shocks : some new evidence
Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; … - 2022
Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after the 2000...
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Nonlinear effects of uncertainty shocks : state-dependency and asymmetry
Morita, Hiroshi; Yuasa, Shiro - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013550316
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Time-varying linear transformation models with fixed effects and endogeneity for short panels
Botosaru, Irene; Muris, Chris; Sokullu, Senay - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012803621
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Estimating nonlinear heterogeneous agents models with neural networks
Kase, Hanno; Melosi, Leonardo; Rottner, Matthias - 2022
Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models feasible. These simplifications include approximating the true nonlinear dynamics of the model, disregarding aggregate uncertainty or assuming that all agents are identical. While...
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Is government spending an important factor in economic growth? : nonlinear cubic quantile nexus from Eastern Europe and Central Asia (EECA)
Shaddady, Ali - In: Economies : open access journal 10 (2022) 11, pp. 1-26
This study rigorously investigates the non-monotonic phenomenon of the government spending-growth nexus in the EECA. Using panel data from 19 countries over the period 1995-2019, a nonlinear quadratic estimator and cubic nonlinear estimator were applied to quantile regressions. The preliminary...
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Estimating nonlinear business cycle mechanisms with linear vector autoregressions : a Monte Carlo study
Köhler, Karsten; Calvert Jump, Robert - In: Oxford bulletin of economics and statistics 84 (2022) 5, pp. 1077-1100
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A nonlinear generalization of the country-product-dummy method
Auer, Ludwig von; Weinand, Sebastian - 2022
The present paper shows that product-specific regional price dispersion usually causes the Country-Product-Dummy (CPD) method to be biased. In cases where it is not, this index number method is still inefficient and inference is invalid. In view of this, a nonlinear generalization of the CPD...
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Do financial crises matter for nonlinear exchange rate and stock market cointegration? : A heterogeneous nonlinear panel data model with PMG approach
Tabash, Mosab I.; Sheikh, Umaid A.; Matar, Ali; Ahmed, Adel - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-22
The existing literature has explained the causality flow from the exchange rates toward the stock market without explaining the role of the economic crisis in effecting this nexus. This study examines the role of the financial crisis in affecting the nonlinear causality flowing from the exchange...
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The matching function and nonlinear business cycles
Bernstein, Joshua; Richter, Alexander W.; Throckmorton, … - 2022
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Dynamic Factor Trees and Forests : a theory-led machine learning framework for non-linear and state-dependent short-term U.S. GDP growth predictions
Ehmann, Daniel - 2022 - Updated version
Machine Learning models are often considered to be "black boxes" that provide only little room for the incorporation of theory (cf. e.g. Mukherjee, 2017; Veltri, 2017). This article proposes so-called Dynamic Factor Trees (DFT) and Dynamic Factor Forests (DFF) for macroeconomic forecasting, which...
Persistent link: https://ebtypo.dmz1.zbw/10013187309
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Long-run scarring effects of meltdowns in a small-scale nonlinear quadratic model
Lucidi, Francesco Simone; Semmler, Willi - 2022
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Hours and wages
Bick, Alexander; Blandin, Adam; Rogerson, Richard Donald - 2022 - Current draft: December 2021
Persistent link: https://ebtypo.dmz1.zbw/10013166964
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Inflection points, kinks, and jumps : a statistical approach to detecting nonlinearities
Arin, Peren; Minniti, Maria; Murtinu, Samuele; … - In: Organizational research methods : ORM 25 (2022) 4, pp. 786-814
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The determinants of crude oil prices : evidence from ARDL and nonlinear ARDL approaches
Ben Salem, Leila; Nouira, Ridha; Jeguirim, Khaled; … - 2022
This paper is an innovative attempt to empirically investigate the determinants of crude oil prices. The main objective is to distinguish between short- and long-term effects of some covariates on oil prices. The autoregressive distributed lag (ARDL) approach is applied to daily series spanning...
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Climate change and macro prices in Nigeria : a nonlinear analysis
Foye, Victoria Oluwatoyin - In: Managing global transitions : international research journal 20 (2022) 2, pp. 167-203
The study analyses the impacts of climate change on macro prices (food prices, interest rate, and exchange rate). Secondary data from 1960-2019 are used, and the nonlinear autoregressive distributed lag method is employed accordingly. The results reveal that there is a long-run relationship...
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Nowcasting industrial production using linear and non-linear models of electricity demand
Galdi, Giulio; Casarin, Roberto; Ferrari, Davide; … - 2022
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Asymmetric semi-volatility spillover in a nonlinear model of interacting markets
Campisi, Giovanni; Muzzioli, Silvia - 2022
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Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations
Anderl, Christina; Caporale, Guglielmo Maria - In: Journal of economic studies 49 (2022) 6, pp. 937-959
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A general limit theory for nonlinear functionals of nonstationary time series
Wang, Qiying; Phillips, Peter C. B. - 2022
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Can black swans be tamed with a flexible mean-variance specification?
Chatzikonstanti, Vasiliki; Karoglou, Michail - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 3202-3227
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When do state-dependent local projections work?
Gonçalves, Sílvia; Herrera, Ana María; Kilian, Lutz; … - 2022
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Impulse response estimation via flexible local projections
Mumtaz, Haroon; Piffer, Michele - 2022
This paper introduces a exible local projection that generalises the model by Jordà (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application...
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The non-linear trade-off between return and risk and its determinants
Cotter, John; Salvador, Enrique - 2022
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Global value chains (GVCs) and economic growth : a nonlinear analysis
Mao, Zhuqing - In: The Singapore economic review 67 (2022) 3, pp. 985-1004
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Pursuing the Phillips curve in an African monarchy : a Swazi case study
Phiri, Andrew - In: Contemporary economics 16 (2022) 4, pp. 460-478
The purpose of this study is to examine whether we can identify a Phillips curve fit for the Kingdom of Eswatini as a low middle income Sub-Saharan Africa monarchy using data collected between 1991 and 2016. In our approach we rely on the recently introduced nonlinear autoregressive distributive...
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A comparison of multistep commodity price forecasts using direct and iterated smooth transition autoregressive methods
Ubilava, David - In: Agricultural economics : the journal of the … 53 (2022) 5, pp. 687-701
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Symmetric Solutions of Nonlinear Elliptic Neumann Boundary Value Problems
Patil, Dinkar - 2022
In this paper we prove the symmetry result for solutions of nonlinear elliptic Neumann boundary value problems by using the Alexandrov's method of reflection and maximum principle, on the unit ball in the n-dimensional Euclidean space with n ≥3
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Analyzing Persistence Degree of Shocks to Co2 Emission of U.S. States : Application of Linear and Nonlinear Fourier Quantile Unit Root Tests
Wang, Mei-Chih; Li, Fangjhy - 2022
Over recent decades, various USA government regulations and incentives, at both federal and state levels, encourage the development of green energy sources and the reduction of CO 2 emissions. In this paper, we investigate the degree of persistency of shocks to CO 2 per capita series in 50...
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The Role of Oil Price Shocks on Exchange Rates for 13 Asian Countries Asymmetric Evidence from Nonlinear ARDL and Generalized IRFs Approaches
Zhang, Xiang; Baek, Jungho - 2022
The primary contribution of the current paper is to explicitly take into consideration the role of asymmetries in oil prices when studying the nexus between oil price shocks and the real exchange rates across 13 countries in three regions of Asia. To achieve this contribution, the nonlinear...
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Switching Volatility in a Nonlinear Open Economy
Benchimol, Jonathan; Ivashchenko, Sergey - 2022
Uncertainty about an economy’s regime can change drastically around a crisis. An imported crisis such as the global financial crisis in the euro area highlights the effect of foreign shocks. Estimating an open-economy nonlinear dynamic stochastic general equilibrium model for the euro area and...
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A Deep Genetic Algorithm (Deep-Ga) Approach for High-Dimensional Nonlinear Parabolic Partial Differential Equations
Putri, Endah; Shahab, Muhammad Luthfi; Iqbal, Mohammad; … - 2022
Solving non-linear parabolic partial differential equations (PDEs) in high dimension becomes an interest for its curse of dimensionality problem. Recently, a deep learning method associated with a backward stochastic differential equation (deep-BSDE) to solve the PDEs draws intensive discussions...
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Solitary-Wave Dynamics in an $R^2$Lc Nonlinear Transmission Line with Voltage Bias
Dikandé, Alain Moise; Nkongho, Achere Akem; Mbobda … - 2022
Highlights* A nonlinear transmission line with a Schottky varactor and two resistive elements, connected to a voltage terminal, is studied.* Solitary-wave ignals are shown to propagate with amplitudes that are either exponentially increased of decreased with time, depending on a specific...
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Non-Convex Projected Nlms Algorithm for Adaptive Nonlinear Prediction
Liu, Zhaoting; Wang, Yafeng; Li, Chunguang - 2022
Prediction of nonlinear dynamic process remains a challenging and active research topic. In this paper, adaptive nonlinear prediction based on a Hammerstein-modeling approach is investigated. Motivated by the desire to represent the best fit to the nonlinear dynamical plant with the Hammerstein...
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Conditional Threshold Autoregression (CoTAR)
Motegi, Kaiji; Dennis, Jay; Hamori, Shigeyuki - 2022
We propose a new time series model where the threshold is specified as an empirical quantile of recent observations of a threshold variable. The resulting conditional threshold traces the fluctuation of the threshold variable, which can enhance the fit and interpretation of the model. In the...
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Nonlinear nexus between corruption and tourism arrivals : a global analysis
Maria, Krambia-Kapardis; Ioanna, Stylianou; Salomi, … - In: Empirical economics : a quarterly journal of the … 63 (2022) 4, pp. 1997-2024
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Estimating Nonlinear Heterogeneous Agents Models with Neural Networks
Kase, Hanno; Melosi, Leonardo; Rottner, Matthias - 2022
Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models feasible. These simplifications include approximating the true nonlinear dynamics of the model, disregarding aggregate uncertainty or assuming that all agents are identical. While...
Persistent link: https://ebtypo.dmz1.zbw/10013405546
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A Non-Linear Market Model
Sichert, Tobias - 2022
This paper estimates a single pricing factor from index options and shows that it can explain a large set of prominent stock return anomalies jointly. A key feature of the new pricing factor is that it is a U-shaped function of index returns, implying that investors demand an upside risk...
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Testing for UIP-type relationships : nonlinearities, monetary announcements and interest rate expectations
Anderl, Christina; Caporale, Guglielmo Maria - In: Open economies review 33 (2022) 4, pp. 705-749
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A Gauss/Anti-Gauss Quadrature Method of Moments Applied to Population Balance Equations with Turbulence-Induced Nonlinear Phase-Space Diffusion
Pütz, Michele; Pollack, Martin; Hasse, Christian; … - 2022
Turbulent dispersed multiphase systems are of paramount importance in numerous physical applications. In terms of the numerical modeling of such systems, crucial aspects are, among others, the mathematical representation of dispersed particles and the effect of fluid turbulence on those...
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