Studies in Nonlinear Dynamics and Econometrics

Papers
(The TQCC of Studies in Nonlinear Dynamics and Econometrics is 0. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2022-05-01 to 2026-05-01.)
ArticleCitations
Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions10
Fama–French Five-Factor Modeling: New Evidence from a Nonparametric Method5
Macroeconomic Imbalances and Financial Stress Among BRICS: Analysis of Frequency-Dependent and Asymmetric Causal Nexuses4
A Novel Nonlinear Fertility Catastrophe Model Based on Thom’s Differential Equations of Morphogenesis and a Topological Alternative to the Micro-Macro Divide in Demography3
From Close-to-Open to Open-to-Close: Multifractal Signatures and Cross-Scale Dependence Across International Equity Indices3
Bayesian Analyses of the Two-Stage CARR-Return Models with Applications to COVID-19 Impact on the Cryptocurrency Market2
Decomposed Oil-Driven Inflation Persistence and Asymmetric Shocks2
Covariance Matrix Estimation in Time-Varying Factor Models2
A Multivariate Nonlinear Analysis of China’s GDP and World Oil Price and Its Implications1
Estimation of High-Dimensional Matrix Factor Models with Change Points1
Another Look into Tail Risk Connectedness Using Network Modelling: Evidence from European Stock Markets1
Quantifying Extreme Risks in High-Frequency Financial, Energy, and Commodity Markets1
Could Labor Productivity Explain the Fertility Rebound in the Developed World?1
Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution1
Monitoring Time-Varying Systemic Risk in Sovereign Debt and Currency Markets with Generative AI1
Identifying Shock Propagation Mechanisms in Global Equity Markets0
Double/Debiased Machine Learning for Economists: Practical Guidelines, Best Practices, and Common Pitfalls0
Does Gender Parity in Higher Education Respond Asymmetrically to Remittances? Evidence from Morocco0
Stock Market Interconnection and Contagion During the COVID-19 Pandemic: A Network Perspective0
The Impact of Exchange Rate Uncertainty on Investment: Nonlinearity and Threshold Effects0
Human Capital Externalities, Migration, and Wage Inequality0
Frontmatter0
Bootstrap Prediction Intervals for Factor-Augmented Regressions with Cross-Section Averages0
Nonlinearity and Structural Breaks in Oil Prices: Policy Implications and Macroeconomic Interactions0
Two-Step Optimal Prediction Under Phillips Triangular Cointegrated System0
Temperature and Growth: Seasonal and Non-Linear Effects Using EU Subnational Data0
On the Estimation of Asymmetric Long Memory Stochastic Volatility Models0
Difference in Differences, Ratio in Ratios, and Ratio in Odds Ratios for Limited Dependent Variables: A Review and More0
Unemployment Level and the Non-Linear Effects of Monetary Policy in Poland0
Approximate Factor Models with a Common Multiplicative Factor for Stochastic Volatility0
Natural Disasters, Consumption and Climate Change Nexus: The Role of Green Technologies0
Does real interest rate parity really work? Historical evidence from a discrete wavelet perspective0
Anticipating extreme losses using score-driven shape filters0
Trend Breaks and the Persistence of Closed-End Fund Discounts0
A Time-Based Pricing Game Considering Echelon Utilization in the Battery Leasing Market0
Big Swings in the Data and Perceived Changes in the Risk Premia0
Optimal Macroeconomic Policy in Nonlinear Models: A VSTAR Perspective0
Systematic Risk in Publicly Listed Private Equity: An Empirical Study Using Score-Driven Beta Models0
Macro-Financial Shocks and Media Coverage of Commodity Markets: A Time-Varying Spillover Analysis0
The impact of forward guidance and large-scale asset purchase programs on commodity markets0
Hurst Exponent as Implied by Option Prices0
A Historical Perspective on India’s Inflation Persistence: A Quantile Analysis0
Middle-income traps and complexity in economic development0
Environmental Tax and Macroeconomic Dynamics under Vertical Production Structure0
Efficiency Analysis and Bayesian Neural Networks0
Frontmatter0
Panel Smooth Transition Model with Covariate-Dependent Thresholds and its Application to the Nexus between Investment and Cash Flow0
Ripple Effects of the US-China Tension on Asian Emerging and Frontier Markets with Portfolio Implications0
Factor Modeling for High-Dimensional Interval-Valued Data0
Frequency Connectedness and Portfolio Implication Between Financial, Green and Commodity Markets: A TVP-VAR Approach0
Approximate Bayesian inference for agent-based models in economics: a case study0
The Phillips Curve and Inflation Expectations: A Machine Learning Perspective0
Fractionally Integrated Multivariate Score-Driven Location Models with an Application to Climate Data0
Bayesian inference for order determination of double threshold variables autoregressive models0
Corrigendum to: Quantifying Extreme Risks in High-Frequency Financial, Energy, and Commodity Markets0
Uncertainty Unpacked: State-Level Housing Market Dynamics in the Face of Shocks0
Monetary Policy and Growth at Risk: The Role of Financial Conditions0
Score-Driven Location Plus Scale Models: Asymptotic Theory and An Application to Forecasting Dow Jones Volatility0
Are the Effects of Stock Market Volatility on Consumption State Dependent?0
Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective0
Multiple Structural Breaks in Vector Error Correction Models0
Realized Probability Index is a Better Market Timing Indicator0
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