Linear and Nonlinear Dynamics in Time Series Estella Bee Dagum and Tommaso Proietti, Editors
Articles
Introduction
Estela Bee Dagum and Tommaso Proietti
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
Kai Ming Lee and Siem Jan Koopman
MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
Nunzio Cappuccio, Diego Lubian, and Davide Raggi
GARCH-type Models with Generalized Secant Hyperbolic Innovations
Paola Palmitesta and Corrado Provasi
Mixture Processes for Financial Intradaily Durations
Giovanni De Luca and Giampiero M. Gallo
Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation
Paolo Vidoni
Statistical Tests for Lyapunov Exponents of Deterministic Systems
Rodney Wolff, Qiwei Yao, and Howell Tong
Assessing Chaos in Time Series: Statistical Aspects and Perspectives
Simone Giannerini and Rodolfo Rosa
Experimental Design for Time-Dependent Models with Correlated Observations
Dariusz Ucinski and Anthony C. Atkinson
Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
Jurgen A. Doornik and Marius Ooms
Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns
William P. Cleveland
Seasonal Specific Structural Time Series
Tommaso Proietti
Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing
Estela Bee Dagum and Alessandra Luati