Studies in Nonlinear Dynamics and Econometrics

0.4(top 50%)

impact factor

788(top 20%)

papers

5.2K(top 20%)

citations

32(top 20%)

h-index

0.4(top 100%)

extended IF

890

all documents

6.8K

doc citations

55(top 20%)

g-index

Top Articles

#	Title	Journal	Year	Citations
1	Inference in TAR Models	Studies in Nonlinear Dynamics and Econometrics	1997	327
2	The Long Memory of the Efficient Market	Studies in Nonlinear Dynamics and Econometrics	2004	174
3	Wavelets in Economics and Finance: Past and Future	Studies in Nonlinear Dynamics and Econometrics	2002	170
4	The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income	Studies in Nonlinear Dynamics and Econometrics	1998	165
5	Energy Shocks and Financial Markets: Nonlinear Linkages	Studies in Nonlinear Dynamics and Econometrics	2001	162
6	Forecasting Stock Market Volatility with Regime-Switching GARCH Models	Studies in Nonlinear Dynamics and Econometrics	2005	123
7	Grain prices, oil prices, and multiple smooth breaks in a VAR	Studies in Nonlinear Dynamics and Econometrics	2016	120
8	A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis	Studies in Nonlinear Dynamics and Econometrics	2005	119
9	State-dependent effects of fiscal policy	Studies in Nonlinear Dynamics and Econometrics	2015	114
10	Smooth-Transition GARCH Models	Studies in Nonlinear Dynamics and Econometrics	1998	95
11	Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models	Studies in Nonlinear Dynamics and Econometrics	2006	95
12	A Powerful Test for Linearity When the Order of Integration is Unknown	Studies in Nonlinear Dynamics and Econometrics	2008	89
13	Do food commodity prices have asymmetric effects on euro-area inflation?	Studies in Nonlinear Dynamics and Econometrics	2014	82
14	A Note on the Hiemstra-Jones Test for Granger Non-causality	Studies in Nonlinear Dynamics and Econometrics	2005	80
15	A Graphical Investigation of the Size and Power of the Granger-Causality Tests in Integrated-Cointegrated VAR Systems	Studies in Nonlinear Dynamics and Econometrics	2000	79
16	GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model	Studies in Nonlinear Dynamics and Econometrics	1998	75
17	Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?	Studies in Nonlinear Dynamics and Econometrics	2008	74
18	Spurious Inference in the GARCH (1,1) Model When It Is Weakly Identified	Studies in Nonlinear Dynamics and Econometrics	2007	71
19	Using transfer entropy to measure information flows between financial markets	Studies in Nonlinear Dynamics and Econometrics	2013	69
20	Microeconomic Models for Long Memory in the Volatility of Financial Time Series	Studies in Nonlinear Dynamics and Econometrics	2001	64
21	Nonlinear Monetary Policy Rules: Some New Evidence for the U.S.	Studies in Nonlinear Dynamics and Econometrics	2004	63
22	Energy Shocks and Financial Markets: Nonlinear Linkages	Studies in Nonlinear Dynamics and Econometrics	2001	58
23	The Nature of Power Spikes: A Regime-Switch Approach	Studies in Nonlinear Dynamics and Econometrics	2006	54
24	If Nonlinear Models Cannot Forecast, What Use Are They?	Studies in Nonlinear Dynamics and Econometrics	1996	48
25	Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists	Studies in Nonlinear Dynamics and Econometrics	2003	48
26	A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle	Studies in Nonlinear Dynamics and Econometrics	1996	44
27	Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks	Studies in Nonlinear Dynamics and Econometrics	2002	44
28	Detecting Nonlinearity in Time Series: Surrogate and Bootstrap Approaches	Studies in Nonlinear Dynamics and Econometrics	2005	44
29	Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?	Studies in Nonlinear Dynamics and Econometrics	1998	43
30	Microeconomic Models for Long Memory in the Volatility of Financial Time Series	Studies in Nonlinear Dynamics and Econometrics	2002	43
31	The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses	Studies in Nonlinear Dynamics and Econometrics	2003	43
32	International Output Convergence, Breaks, and Asymmetric Adjustment	Studies in Nonlinear Dynamics and Econometrics	2011	43
33	SIMANN: A Global Optimization Algorithm using Simulated Annealing	Studies in Nonlinear Dynamics and Econometrics	1996	41
34	Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom	Studies in Nonlinear Dynamics and Econometrics	2006	41
35	Wavelet Transforms and Commodity Prices	Studies in Nonlinear Dynamics and Econometrics	2005	38
36	Wavelet Variance Analysis of Output in G-7 Countries	Studies in Nonlinear Dynamics and Econometrics	2007	38
37	Household Income Dynamics in Two Transition Economies	Studies in Nonlinear Dynamics and Econometrics	2004	37
38	On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing	Studies in Nonlinear Dynamics and Econometrics	2015	35
39	Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation	Studies in Nonlinear Dynamics and Econometrics	2004	34
40	The International CAPM and a Wavelet-Based Decomposition of Value at Risk	Studies in Nonlinear Dynamics and Econometrics	2005	34
41	Risk Premia in Electricity Forward Prices	Studies in Nonlinear Dynamics and Econometrics	2006	34
42	Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator	Studies in Nonlinear Dynamics and Econometrics	2001	34
43	Power Properties of Linearity Tests for Time Series	Studies in Nonlinear Dynamics and Econometrics	1996	33
44	Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?	Studies in Nonlinear Dynamics and Econometrics	2006	33
45	RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis	Studies in Nonlinear Dynamics and Econometrics	2017	33
46	Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series	Studies in Nonlinear Dynamics and Econometrics	2001	32
47	Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach	Studies in Nonlinear Dynamics and Econometrics	2003	32
48	EVIM: A Software Package for Extreme Value Analysis in MATLAB	Studies in Nonlinear Dynamics and Econometrics	2001	32
49	Investigating Cyclical Asymmetries	Studies in Nonlinear Dynamics and Econometrics	1997	30
50	Detecting Multiple Changes in Persistence	Studies in Nonlinear Dynamics and Econometrics	2007	30

Scientometrics

Overviews

Citing Bodies

Studies in Nonlinear Dynamics and Econometrics

Top Articles