Studies in Nonlinear Dynamics and Econometrics

Title Publication Date Language Citations
Energy Shocks and Financial Markets: Nonlinear Linkages2001/09/01151
A Graphical Investigation of the Size and Power of the Granger-Causality Tests in Integrated-Cointegrated VAR Systems2000/04/0180
Microeconomic Models for Long Memory in the Volatility of Financial Time Series2001/12/0135
Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator2001/04/0130
EVIM: A Software Package for Extreme Value Analysis in MATLAB2001/09/0122
Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis2001/09/0121
Wavelet Analysis of the Cost-of-Carry Model2001/04/0115
Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective2001/09/0114
The Hodrick-Prescott Filter, a Generalization, and a New Procedure for Extracting an Empirical Cycle from a Series2000/04/0113
p-Value Adjustments for Multiple Tests for Nonlinearity2000/09/0110
Intraday and Interday Basis Dynamics: Evidence from the FTSE 100 Index Futures Market2001/07/0110
Nonlinear Models for U.K. Macroeconomic Time Series2000/09/019
An Algorithm for Estimating Multivariate Catastrophe Models: GEMCAT II2000/09/018
Efficient Estimation of Dynamical Systems2000/12/017
Nonlinearity in High-Frequency Financial Data and Hierarchical Models2001/04/017
Time-Series Near-Neighbor Regression2000/04/017
Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series2001/04/015
Growth, Saving, Financial Markets, and Markov Switching Regimes2001/12/015
A Nonlinear Model of the Business Cycle2000/07/014
Are Business Cycle Dynamics the Same across Countries? Testing Linearity around the Globe2000/07/013
Estimating ARMA Models Efficiently2001/07/013
Seasonal Adjustment and the Business Cycle in Unemployment2000/07/012
Neural Network Test and Nonparametric Kernel Test for Neglected Nonlinearity in Regression Models2000/12/012
Nonlinearities and Inactivity in Aggregate Investment: Some Theoretical Analysis and Time-Series Evidence2001/12/012
On Impossibility of Limit Cycles in Certain Two-Dimensional Continuous-Time Growth Models2001/04/012
The Formation of Inflation Expectations under Changing Inflation Regimes2000/12/011
The Inflationary Consequences of Fiscal Policy in Brazil: An Empirical Investigation with Regime Switches and Time-Varying Probabilities2001/04/011
Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter2024/03/07English
Macrostructures in Microeconomic Dynamics2001/12/01
Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View2024/03/12English