Studies in Nonlinear Dynamics & Econometrics: 1:3

Copyright © 1997. The MIT Press . All rights reserved.

ISSN 1081-1826

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Volume 1 · Number 3

October 1996

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ARTICLES

Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances

by Jeong-Ryeol Kim, Stefan Mittnik, and Svetlozar T. Rachev

[ Abstract & Bibliography ]   [ 300k PDF ]   [ 900k PS ]   [ Code (1k) ]

The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms

by Ramazan Gencay and W. Davis Dechert

[ Abstract & Bibliography ]   [ 250k PDF ]   [ 715k PS ]   [ Data & Code (126k) ]

Tests for Nonlinearity in EMS Exchange Rates

by Jon Vilasuso and Steve Cunningham

[ Abstract & Bibliography ]   [ 542k PDF ]   [ 1.8MB PS ]   [ Data & Code (23k) ]

ALGORITHMS

SIMANN: A Global Optimization Algorithm using Simulated Annealing

by William L. Goffe

[ Abstract & Bibliography ]   [ 221k PDF ]   [ 705k PS ]   [ Code (22k) ]

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