Econometrics and Statistics

2017 - 2025

Current editor(s): E.J. Kontoghiorghes, H. Van Dijk and A.M. Colubi

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Volume 28, issue C, 2023

Networks in risk spillovers: A multivariate GARCH perspective pp. 1-29

Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo and Loriana Pelizzon

Bayesian estimation of realized GARCH-type models with application to financial tail risk management pp. 30-46

Cathy W. S. Chen, Toshiaki Watanabe and Edward M.H. Lin

Bayesian Analysis of ARCH-M model with a dynamic latent variable pp. 47-62

Zefang Song, Xinyuan Song and Yuan Li

Factor-augmented Bayesian treatment effects models for panel outcomes pp. 63-80

Helga Wagner, Sylvia Frühwirth-Schnatter and Liana Jacobi

Implicit Copulas: An Overview pp. 81-104

Michael Stanley Smith

A review of effective age models and associated non- and semiparametric methods pp. 105-119

Eric Beutner

Change point estimation under a copula-based Markov chain model for binomial time series pp. 120-137

Takeshi Emura, Ching-Chieh Lai and Li-Hsien Sun

Partially orthogonal blocked three-level response surface designs pp. 138-154

Heiko Großmann and Steven G. Gilmour

Numerical Methods for Finding A-optimal Designs Analytically pp. 155-162

Ping-Yang Chen, Ray-Bing Chen, Yu-Shi Chen and Weng Kee Wong

Multi-objective optimisation of split-plot designs pp. 163-172

Matteo Borrotti, Francesco Sambo and Kalliopi Mylona

Volume 27, issue C, 2023

Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach pp. 1-15

Marc Hallin and Carlos Trucíos

A Multivariate Randomized Response Model for Sensitive Binary Data pp. 16-35

Amanda M.Y. Chu, Yasuhiro Omori, Hing-yu So and Mike K.P. So

Robust Covariance Matrix Estimation in Time Series: A Review pp. 36-61

Masayuki Hirukawa

Seasonality in High Frequency Time Series pp. 62-82

Tommaso Proietti and Diego J. Pedregal

A Two-Way Transformed Factor Model for Matrix-Variate Time Series pp. 83-101

Zhaoxing Gao and Ruey S. Tsay

Empirical Bayes Model Averaging with Influential Observations: Tuning Zellner’s g Prior for Predictive Robustness pp. 102-119

Christopher M. Hans, Mario Peruggia and Junyan Wang

Inner spike and slab Bayesian nonparametric models pp. 120-135

Antonio Canale, Antonio Lijoi, Bernardo Nipoti and Igor Prünster

Bayesian estimation for mode and anti-mode preserving circular distributions pp. 136-160

Toshihiro Abe, Yoichi Miyata and Takayuki Shiohama

Bayesian analysis for mediation and moderation using g−priors pp. 161-172

Jean-Michel Galharret and Anne Philippe

A Weissman-type estimator of the conditional marginal expected shortfall pp. 173-196

Yuri Goegebeur, Armelle Guillou, Nguyen Khanh Le Ho and Jing Qin

Volume 26, issue C, 2023

High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research pp. 3-16

Marco Lippi, Manfred Deistler and Brian Anderson

Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios pp. 17-30

Mohammad Pesaran and Ronald Smith

Robust Discovery of Regression Models pp. 31-51

Jennifer Castle, Jurgen Doornik and David Hendry

Fast cluster bootstrap methods for linear regression models pp. 52-71

James MacKinnon

Dynamic Tobit models pp. 72-83

Andew Harvey and Yin Liao

Fuzzy sets and (fuzzy) random sets in Econometrics and Statistics pp. 84-98

Ana Colubi and Ana Belén Ramos-Guajardo

Rage Against the Mean – A Review of Distributional Regression Approaches pp. 99-123

Thomas Kneib, Alexander Silbersdorff and Benjamin Säfken

Semi-Supervised Learning of Classifiers from a Statistical Perspective: A Brief Review pp. 124-138

Daniel Ahfock and Geoffrey J. McLachlan

A New Statistic for Bayesian Hypothesis Testing pp. 139-152

Su Chen and Stephen G. Walker

When the score function is the identity function - A tale of characterizations of the normal distribution pp. 153-160

Christophe Ley

Volume 25, issue C, 2023

Instrument-free inference under confined regressor endogeneity and mild regularity pp. 1-22

Jan Kiviet

Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application pp. 23-38

Manabu Asai

On a Rosenblatt-type transformation of multivariate copulas pp. 39-48

Evgeniy Savinov and Victoria Shamraeva

Combining rules for F- and Beta-statistics from multiply-imputed data pp. 51-65

Ashok Chaurasia

Constructing a polygenic risk score for childhood obesity using functional data analysis pp. 66-86

Sarah J.C. Craig, Ana M. Kenney, Junli Lin, Ian M. Paul, Leann L. Birch, Jennifer S. Savage, Michele E. Marini, Francesca Chiaromonte, Matthew L. Reimherr and Kateryna D. Makova

Regression Reconstruction from a Retrospective Sample pp. 87-92

Christiana Kartsonaki and D. R. Cox

On The Problem of Relevance in Statistical Inference pp. 93-109

Subhadeep Mukhopadhyay and Kaijun Wang

Statistical inference for state occupation and transition probabilities in non-Markov multi-state models subject to both random left-truncation and right-censoring pp. 110-124

Alexandra Nießl, Arthur Allignol, Jan Beyersmann and Carina Mueller

A Markov decision process for response adaptive designs pp. 125-133

Yanqing Yi and Xikui Wang

Volume 24, issue C, 2022

Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption pp. 1-26

Johannes Bleher and Thomas Dimpfl

Time series copula models using d-vines and v-transforms pp. 27-48

Martin Bladt and Alexander J. McNeil

On the local power of some tests of strict exogeneity in linear fixed effects models pp. 49-74

Alexander Mayer

Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach pp. 75-93

Yixiao Zhang, Cindy L. Yu and Haitao Li

Convergence of spectral density estimators in the locally stationary framework pp. 94-115

Rafael Kawka

Bias-corrected method of moments estimators for dynamic panel data models pp. 116-132

Jörg Breitung, Sebastian Kripfganz and Kazuhiko Hayakawa

Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization pp. 133-150

Hua Li, Zhidong Bai, Wing-Keung Wong and Michael McAleer

A semi-parametric empirical likelihood approach for conditional estimating equations under endogenous selection pp. 151-163

Yves G. Berger and Valentin Patilea

The ARMA Point Process and its Estimation pp. 164-182

Michael Schatz, Spencer Wheatley and Didier Sornette

Simultaneous confidence bands for the functional mean of convex curves pp. 183-193

Stefano Antonio Gattone, Francesca Fortuna, Adelia Evangelista and Tonio Di Battista

Volume 23, issue C, 2022

Testing for coefficient differences across nested linear regression specifications pp. 1-18

McKinley L. Blackburn

AdaVol: An Adaptive Recursive Volatility Prediction Method pp. 19-35

Nicklas Werge and Olivier Wintenberger

Correcting Intraday Periodicity Bias in Realized Volatility Measures pp. 36-52

Holger Dette, Vasyl Golosnoy and Janosch Kellermann

Stochastic leverage effect in high-frequency data: a Fourier based analysis pp. 53-82

Imma Valentina Curato and Simona Sanfelici

Conditional inference for binary panel data models with predetermined covariates pp. 83-104

Claudia Pigini and Francesco Bartolucci

Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility pp. 105-127

Tore Selland Kleppe, Roman Liesenfeld, Guilherme Valle Moura and Atle Oglend

Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence pp. 128-146

Carlos Vladimir Rodríguez-Caballero

Multivariate time-series modeling with generative neural networks pp. 147-164

Marius Hofert, Avinash Prasad and Mu Zhu

A bias-adjusted estimator in quantile regression for clustered data pp. 165-186

Maria Laura Battagliola, Helle Sørensen, Anders Tolver and Ana-Maria Staicu

High-dimensional GARCH process segmentation with an application to Value-at-Risk pp. 187-203

Haeran Cho and Karolos K. Korkas