Econometrics and Statistics

2017 - 2026

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

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Volume 32, issue C, 2024

Risk reduction and portfolio optimization using clustering methods pp. 1-16

Jörn Sass and Anna-Katharina Thös

Dynamic portfolio selection with sector-specific regularization pp. 17-33

Christian M. Hafner and Linqi Wang

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility pp. 34-56

Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori

Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model pp. 57-72

Annastiina Silvennoinen and Timo Teräsvirta

Estimation of ergodic square-root diffusion under high-frequency sampling pp. 73-87

Yuzhong Cheng, Nicole Hufnagel and Hiroki Masuda

Estimation in the High Dimensional Additive Hazard Model with l0 Type of Penalty pp. 88-97

Yunpeng Zhou and Kam Chuen Yuen

Spectral Subsampling MCMC for Stationary Multivariate Time Series with Applications to Vector ARTFIMA Processes pp. 98-121

Mattias Villani, Matias Quiroz, Robert Kohn and Robert Salomone

Spectral Dependence pp. 122-159

Hernando Ombao and Marco Pinto

Volume 31, issue C, 2024

Forecasting Near-equivalence of Linear Dimension Reduction Methods in Large Panels of Macro-variables pp. 1-18

Alessandro Barbarino and Efstathia Bura

Semiparametric Averaging of Nonlinear Marginal Logistic Regressions and Forecasting for Time Series Classification pp. 19-37

Rong Peng and Zudi Lu

Bias correction for Vandermonde low-rank approximation pp. 38-48

Antonio Fazzi, Alexander Kukush and Ivan Markovsky

Conditional Quantile Functions for Zero-Inflated Longitudinal Count Data pp. 49-65

Carlos Lamarche, Xuan Shi and Derek S. Young

Edgeworth expansions for multivariate random sums pp. 66-80

Farrukh Javed, Nicola Loperfido and Stepan Mazur

Differentially Private Goodness-of-Fit Tests for Continuous Variables pp. 81-99

Seung Woo Kwak, Jeongyoun Ahn, Jaewoo Lee and Cheolwoo Park

Multivariate Count Time Series Modelling pp. 100-116

Konstantinos Fokianos

Spatial-Temporal Analysis of Multi-Subject Functional Magnetic Resonance Imaging Data pp. 117-129

Tingting Zhang, Minh Pham, Guofen Yan, Yaotian Wang, Sara Medina-DeVilliers and James A. Coan

Volume 30, issue C, 2024

Partially one-sided semiparametric inference for trending persistent and antipersistent processes pp. 1-14

Karim M. Abadir, Walter Distaso and Liudas Giraitis

Integrated nested Laplace approximations for threshold stochastic volatility models pp. 15-35

P. de Zea Bermudez, J. Miguel Marín, Håvard Rue and Helena Veiga

GMM with Nearly-Weak Identification pp. 36-59

Bertille Antoine and Eric Renault

Modeling Turning Points in the Global Equity Market pp. 60-75

Daniel Felix Ahelegbey, Monica Billio and Roberto Casarin

Data segmentation algorithms: Univariate mean change and beyond pp. 76-95

Haeran Cho and Claudia Kirch

Exact Simulation of Max-Infinitely Divisible Processes pp. 96-109

Peng Zhong, Raphaël Huser and Thomas Opitz

Fuzzy k-Means: history and applications pp. 110-123

Maria Brigida Ferraro

A model specification test for semiparametric nonignorable missing data modeling pp. 124-132

Cheng Yong Tang

Volume 29, issue C, 2024

Bootstrapping long memory time series: Application in low frequency estimators pp. 1-15

Josu Arteche

Estimation of Large Dynamic Covariance Matrices: A Selective Review pp. 16-30

Degui Li

Recent development of covariance structure analysis in economics pp. 31-48

Kazuhiko Hayakawa

Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities pp. 49-63

Zacharias Psaradakis and Martin Sola

A new macro-financial condition index for the euro area pp. 64-87

Claudio Morana

Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs pp. 88-112

Richard T. Baillie, Dooyeon Cho and Seunghwa Rho

COVID-19 spreading in financial networks: A semiparametric matrix regression model pp. 113-131

Monica Billio, Roberto Casarin, Michele Costola and Matteo Iacopini

Industrial Connectedness and Business Cycle Comovements pp. 132-149

Amy Guisinger, Michael Owyang and Daniel Soques

Review and comparison of measures of explained variation and model selection in linear mixed-effects models pp. 150-168

Eva Cantoni, Nadège Jacot and Paolo Ghisletta

Robust penalized spline estimation with difference penalties pp. 169-188

Ioannis Kalogridis and Stefan Van Aelst

Information Criteria for Outlier Detection Avoiding Arbitrary Significance Levels pp. 189-205

Marco Riani, Anthony Curtis Atkinson, Aldo Corbellini, Alessio Farcomeni and Fabrizio Laurini

Robust interactive fixed effects pp. 206-223

Kris Boudt and Ewoud Heyndels

Fast Optimal Subsampling Probability Approximation for Generalized Linear Models pp. 224-237

JooChul Lee, Elizabeth D. Schifano and HaiYing Wang

An extended Babai method for estimating linear model based integer parameters pp. 238-251

Xiao-Wen Chang, Zhilong Chen and Jinming Wen

On some multivariate sign tests for scatter matrix eigenvalues pp. 252-260

Gaspard Bernard and Thomas Verdebout

Cholesky-based multivariate Gaussian regression pp. 261-281

Thomas Muschinski, Georg J. Mayr, Thorsten Simon, Nikolaus Umlauf and Achim Zeileis

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