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SSRN eLibrary Search Results
Studies in Nonlinear Dynamics and Econometrics
1,533 Total downloads
Showing Papers 1 - 26 of 26
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A Nonlinear Filtering Algorithm Based on Wavelet Transforms for High-Frequency Financial Data Analysis Studies in Nonlinear Dynamics and Econometrics, Vol. 16, No. 3, 2012 Edward W. Sun KEDGE Business School Date Posted: January 27, 2016 Accepted Paper Series 
Real vs. Nominal Cycles: A Multistate Markov-Switching Bi-Factor ApproachStudies in Nonlinear Dynamics and Econometrics, Vol. 18, No. 5, 2014 Danilo Leiva-Leon Central Bank of Chile Date Posted: November 18, 2015 Accepted Paper Series 11 downloads
Forecast Uncertainty and the Bank of England Interest Rate DecisionsStudies in Nonlinear Dynamics and Econometrics, Vol. 17, No. 1, 2013 Guido Schultefrankenfeld Economist Date Posted: August 09, 2015 Working Paper Series 8 downloads
Structural VARs, Deterministic and Stochastic Trends: How Much Detrending Matters for Shock IdentificationStudies in Nonlinear Dynamics and Econometrics, Vol. 20, No. 2, 2016 Varang Wiriyawit and Benjamin Wong Australian National University and Reserve Bank of New Zealand Date Posted: May 18, 2015 Last Revised: April 16, 2016 Accepted Paper Series 27 downloads
A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity MarketsStudies in Nonlinear Dynamics and Econometrics, Forthcoming Katja Ignatieva University of New South Wales - Australian School of Business Date Posted: April 03, 2014 Last Revised: April 22, 2014 Accepted Paper Series 61 downloads
A Tractable Model for Indices Approximating the Growth Optimal PortfolioStudies in Nonlinear Dynamics and Econometrics, Vol. 18, No. 1, 2014 Jan F. Baldeaux, Katja Ignatieva and Eckhard Platen University of Technology, Sydney, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics Date Posted: October 17, 2012 Last Revised: April 22, 2014 Accepted Paper Series 60 downloads
Construction, Management, and Performance of Sparse Markowitz PortfoliosStudies in Nonlinear Dynamics and Econometrics, 18(4), 383-402, 2014 Julie Henriques and Juan-Pablo Ortega Tea-Cegos Deployment and Universität Sankt Gallen Date Posted: October 14, 2012 Last Revised: September 18, 2014 Accepted Paper Series 153 downloads
Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment ImplicationsStudies in Nonlinear Dynamics and Econometrics, Forthcoming Emre Yoldas Federal Reserve Board Date Posted: November 23, 2011 Last Revised: December 07, 2011 Accepted Paper Series 34 downloads
Noncausality and Asset PricingStudies in Nonlinear Dynamics and Econometrics, Vol. 17, 2013 Matthijs Lof Aalto University Date Posted: April 11, 2011 Last Revised: July 22, 2014 Accepted Paper Series 63 downloads Heterogeneous Consumption Goods, Sectoral Change and Economic Growth Studies in Nonlinear Dynamics and Econometrics, Vol. 10, No. 1, 2006 Thomas Michael Steger University of Leipzig/Institute for Theoretical Economics/Macroeconomics Date Posted: August 10, 2010 Accepted Paper Series
Fourier Inversion Formulas for Multiple-Asset Option PricingStudies in Nonlinear Dynamics and Econometrics, Forthcoming Bruno Feunou and Ernest Tafolong Bank of Canada and Desjardins Group Date Posted: August 09, 2010 Last Revised: February 22, 2015 Accepted Paper Series 122 downloads
Tests for Serial Independence and Linearity Based on Correlation IntegralsStudies in Nonlinear Dynamics and Econometrics, Vol. 6, No. 2, 2002 Cees G. H. Diks and Sebastiano Manzan University of Amsterdam - Faculty of Economics and Business (FEB) and City University of New York, CUNY Baruch College, Zicklin School of Business Date Posted: February 04, 2009 Accepted Paper Series 35 downloads A Dynamic Semiparametric Proportional Hazard Model Studies in Nonlinear Dynamics and Econometrics, Vol. 11, No. 2, 2007 Frank Gerhard and Nikolaus Hautsch Barclays Investment Bank and University of Vienna - Department of Statistics and Operations Research Date Posted: November 01, 2008 Accepted Paper Series Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps Studies in Nonlinear Dynamics and Econometrics, Vol. 12, No. 2, 2008 Wing H. Chan Wilfrid Laurier University - School of Business & Economics Date Posted: August 03, 2008 Accepted Paper Series
Investigating Nonlinearity: A Note on the Estimation of Hamilton's Random Field Regression ModelStudies in Nonlinear Dynamics and Econometrics, Vol. 9, No. 3, 2005 Derek Bond, Michael J. Harrison and Edward J. O'Brien Ulster University at Coleraine, Trinity College (Dublin) and European Central Bank (ECB) Date Posted: November 20, 2007 Accepted Paper Series 20 downloads
A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR ModelsStudies in Nonlinear Dynamics and Econometrics, Forthcoming Walter Enders, Barry Falk and Pierre L. Siklos University of Alabama - Department of Economics, Finance and Legal Studies, Iowa State University and Wilfrid Laurier University - School of Business & Economics Date Posted: August 06, 2007 Accepted Paper Series 140 downloads Volatility Components and Long Memory-Effects Revisited Studies in Nonlinear Dynamics and Econometrics, Vol. 11, No. 2, 2007 Markus Haas University of Kiel - Faculty of Economics and Social Sciences Date Posted: July 09, 2007 Accepted Paper Series Inflation Dynamics of Turkey: A Structural Estimation Studies in Nonlinear Dynamics and Econometrics, Vol. 9, No. 1, 2005 Mustafa Ege Yazgan and Hakan Yilmazkuday Istanbul Bilgi University and Florida International University (FIU) - Department of Economics Date Posted: June 26, 2007 Accepted Paper Series The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change? Studies in Nonlinear Dynamics and Econometrics, Vol. 11, 2007 Alexia Bastien and Frederique Bec Université Paris I Panthéon-Sorbonne - Equipe Universitaire de Recherche en Economie Quantitative (EUREQUA) and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) Date Posted: May 13, 2007 Accepted Paper Series Dual Long Memory in Inflation Dynamics Across Countries of the Euro Area and the Link Between Inflation Uncertainty and Macroeconomic Performance Studies in Nonlinear Dynamics & Econometrics, Vol. 4, Article 5, 2005 Christian Conrad and Menelaos Karanasos University of Heidelberg - Faculty of Economics and Social Studies and University of York - Department of Economics and Related Studies Date Posted: September 26, 2006 Accepted Paper Series
Time-Varying Betas Help in Asset Pricing:
The Threshold CAPMStudies in Nonlinear Dynamics and Econometrics, Vol. 6, 2003 Aslihan Altay Salih, Mehmet Caner and Levent Akdeniz Bilkent University - Faculty of Business Administration, North Carolina State University - Department of Economics and Bilkent University - Faculty of Business Administration Date Posted: June 19, 2006 Accepted Paper Series 296 downloads
Spurious Inference in the GARCH(1,1) Model when it is Weakly IdentifiedStudies in Nonlinear Dynamics and Econometrics, Vol. 11, No. 1, 2007 Jun Ma, Charles R. Nelson and Richard Startz University of Alabama - Department of Economics, Finance and Legal Studies, Dept of Economics and UCSB Date Posted: June 07, 2006 Accepted Paper Series 202 downloads
An Algorithm for Estimating Multivariate Castastrophe Models: GEMCAT IIStudies in Nonlinear Dynamics And Econometrics, Vol. 4, No. 3, October 2000 Rense Lange, Terence A. Oliva and Sean McDade Illinois State Board of Education, Independent and The Gallup Organization Date Posted: March 29, 2006 Accepted Paper Series 112 downloads
The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear AdjustmentStudies in Nonlinear Dynamics and Econometrics, Vol. 10, Article 6, pp. 1-32, December 2006 Alfred A. Haug and Pierre L. Siklos University of Otago - School of Business - Department of Economics and Wilfrid Laurier University - School of Business & Economics Date Posted: November 04, 2005 Last Revised: September 03, 2008 Accepted Paper Series 156 downloads
Efficient Estimation of Dynamical SystemsStudies in Nonlinear Dynamics and Econometrics, Vol. 4, No. 4, pp. 213-226, 2001 Stefano Maria Iacus University of Milan - Department of Economics, Business and Statistics Date Posted: December 10, 2004 Accepted Paper Series 33 downloads Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective Studies in Nonlinear Dynamics & Econometrics, Vol. 5, No. 3, October 2001, Cass Business School Research Paper Ana-Maria Fuertes, Jerry Coakley and Gylfi Zoega Cass Business School, City University of London, University of Essex - Essex Business School and Birkbeck College Date Posted: May 15, 2003 Accepted Paper Series |
