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2013 - 2023

Current editor(s): Ms. Djurdjija Mastalo

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Volume 11, issue 3, 2023

Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum pp. 1-36 Downloads
Bilel Sanhaji and Julien Chevallier
Locationally Varying Production Technology and Productivity: The Case of Norwegian Farming pp. 1-20 Downloads
Subal C. Kumbhakar, Jingfang Zhang and Gudbrand Lien
Competition–Innovation Nexus: Product vs. Process, Does It Matter? pp. 1-20 Downloads
Emil Palikot
Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter pp. 1-14 Downloads
Manabu Asai
Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases pp. 1-73 Downloads
Dean Fantazzini and Yufeng Xiao

Volume 11, issue 2, 2023

Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices pp. 1-26 Downloads
Jarosław Gruszka and Janusz Szwabiński
Skill Mismatch, Nepotism, Job Satisfaction, and Young Females in the MENA Region pp. 1-20 Downloads
Mahmoud Arayssi, Ali Fakih and Nathir Haimoun
Socio-Economic and Demographic Factors Associated with COVID-19 Mortality in European Regions: Spatial Econometric Analysis pp. 1-29 Downloads
Mateusz Szysz and Andrzej Torój
Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes pp. 1-11 Downloads
Dietmar Bauer
Factorization of a Spectral Density with Smooth Eigenvalues of a Multidimensional Stationary Time Series pp. 1-11 Downloads
Tamás Szabados
Online Hybrid Neural Network for Stock Price Prediction: A Case Study of High-Frequency Stock Trading in the Chinese Market pp. 1-19 Downloads
Chengyu Li, Luyi Shen and Guoqi Qian
Local Gaussian Cross-Spectrum Analysis pp. 1-27 Downloads
Lars Arne Jordanger and Dag Tjøstheim
Modeling COVID-19 Infection Rates by Regime-Switching Unobserved Components Models pp. 1-15 Downloads
Paul Haimerl and Tobias Hartl

Volume 11, issue 1, 2023

Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models pp. 1-16 Downloads
Gianluca Cubadda, Alain Hecq and Elisa Voisin
Causal Vector Autoregression Enhanced with Covariance and Order Selection pp. 1-30 Downloads
Marianna Bolla, Dongze Ye, Haoyu Wang, Renyuan Ma, Valentin Frappier, William Thompson, Catherine Donner, Máté Baranyi and Fatma Abdelkhalek
Semi-Metric Portfolio Optimization: A New Algorithm Reducing Simultaneous Asset Shocks pp. 1-33 Downloads
Nick James, Max Menzies and Jennifer Chan
Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers pp. 1-29 Downloads
Graziano Moramarco
Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models pp. 1-18 Downloads
Omar Abbara and Mauricio Zevallos
Comparing the Conditional Logit Estimates and True Parameters under Preference Heterogeneity: A Simulated Discrete Choice Experiment pp. 1-13 Downloads
Maksat Jumamyradov, Benjamin M. Craig, Murat Munkin and William Greene
Acknowledgment to the Reviewers of Econometrics in 2022 pp. 1-2 Downloads
Econometrics Editorial Office
Exploring Industry-Distress Effects on Loan Recovery: A Double Machine Learning Approach for Quantiles pp. 1-20 Downloads
Hui-Ching Chuang and Jau-er Chen
Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks pp. 1-37 Downloads
Anthony Hall, Annastiina Silvennoinen and Timo Teräsvirta

Volume 10, issue 4, 2022

Validation of a Computer Code for the Energy Consumption of a Building, with Application to Optimal Electric Bill Pricing pp. 1-24 Downloads
Merlin Keller, Guillaume Damblin, Alberto Pasanisi, Mathieu Schumann, Pierre Barbillon, Fabrizio Ruggeri and Eric Parent
Linear System Challenges of Dynamic Factor Models pp. 1-26 Downloads
Brian D. O. Anderson, Manfred Deistler and Marco Lippi
Is Climate Change Time-Reversible? pp. 1-18 Downloads
Francesco Giancaterini, Alain Hecq and Claudio Morana
On the Bayesian Mixture of Generalized Linear Models with Gamma-Distributed Responses pp. 1-28 Downloads
Irwan Susanto, Nur Iriawan and Heri Kuswanto
Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series pp. 1-9 Downloads
Marc Hallin
Detecting and Quantifying Structural Breaks in Climate pp. 1-27 Downloads
Neil R. Ericsson, Mohammed H. I. Dore and Hassan Butt

Volume 10, issue 3, 2022

A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model pp. 1-41 Downloads
Jian Kang, Johan Stax Jakobsen, Annastiina Silvennoinen, Timo Teräsvirta and Glen Wade
Common Correlated Effects Estimation for Dynamic Heterogeneous Panels with Non-Stationary Multi-Factor Error Structures pp. 1-27 Downloads
Shiyun Cao and Qiankun Zhou
Modelling and Diagnostics of Spatially Autocorrelated Counts pp. 1-17 Downloads
Robert Jung and Stephanie Glaser
Structural Compressed Panel VAR with Stochastic Volatility: A Robust Bayesian Model Averaging Procedure pp. 1-24 Downloads
Antonio Pacifico

Volume 10, issue 2, 2022

Causal Transmission in Reduced-Form Models pp. 1-25 Downloads
Vassilios Bazinas and Bent Nielsen
Model Validation and DSGE Modeling pp. 1-25 Downloads
Niraj Poudyal and Aris Spanos
Algorithmic Modelling of Financial Conditions for Macro Predictive Purposes: Pilot Application to USA Data pp. 1-22 Downloads
Duo Qin, Sophie van Huellen, Qing Chao Wang and Thanos Moraitis
A Conversation with Søren Johansen pp. 1-16 Downloads
Rocco Mosconi and Paolo Paruolo
Learning Forecast-Efficient Yield Curve Factor Decompositions with Neural Networks pp. 1-15 Downloads
Piero C. Kauffmann, Hellinton H. Takada, Ana T. Terada and Julio M. Stern
A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations pp. 1-15 Downloads
Katarina Juselius
Combining Predictions of Auto Insurance Claims pp. 1-15 Downloads
Chenglong Ye, Lin Zhang, Mingxuan Han, Yanjia Yu, Bingxin Zhao and Yuhong Yang
Are Vaccinations Alone Enough to Curb the Dynamics of the COVID-19 Pandemic in the European Union? pp. 1-12 Downloads
Paweł Miłobędzki
Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy pp. 1-34 Downloads
Diogo de Prince, Emerson Marçal and Pedro Valls Pereira
Using the SARIMA Model to Forecast the Fourth Global Wave of Cumulative Deaths from COVID-19: Evidence from 12 Hard-Hit Big Countries pp. 1-23 Downloads
Gaetano Perone
A Conversation with Katarina Juselius pp. 1-21 Downloads
Rocco Mosconi and Paolo Paruolo
An Alternative Estimation Method for Time-Varying Parameter Models pp. 1-27 Downloads
Mikio Ito, Akihiko Noda and Tatsuma Wada
Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis pp. 1-14 Downloads
Esam Mahdi and Ameena Al-Abdulla
A Binary Choice Model with Sample Selection and Covariate-Related Misclassification pp. 1-20 Downloads
Jorge González Chapela
Celebrated Econometricians: Katarina Juselius and Søren Johansen pp. 1-4 Downloads
Rocco Mosconi and Paolo Paruolo

Volume 10, issue 1, 2022

An Exponential Endogenous Switching Regression with Correlated Random Coefficients pp. 1-0 Downloads
Myoung-Jin Keay
Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics pp. 1-0 Downloads
Jennifer Castle, Jurgen Doornik and David Hendry
Identification in Parametric Models: The Minimum Hellinger Distance Criterion pp. 1-0 Downloads
David Pacini
Green Bonds for the Transition to a Low-Carbon Economy pp. 1-0 Downloads
Andreas Lichtenberger, Joao Paulo Braga and Willi Semmler
Missing Values in Panel Data Unit Root Tests pp. 1-0 Downloads
Yiannis Karavias, Elias Tzavalis and Haotian Zhang
Forecasting Real GDP Growth for Africa pp. 1-0 Downloads
Philip Hans Franses and Max Welz
The Age–Period–Cohort Problem in Hedonic House Prices Models pp. 1-0 Downloads
Chung-Yim Yiu and Ka-Shing Cheung
An Entropy-Based Approach for Nonparametrically Testing Simple Probability Distribution Hypotheses pp. 1-0 Downloads
Ron Mittelhammer, George Judge and Miguel Henry
A New Estimator for Standard Errors with Few Unbalanced Clusters pp. 1-0 Downloads
Gianmaria Niccodemi and Tom Wansbeek
Acknowledgment to Reviewers of Econometrics in 2021 pp. 1-0 Downloads
Econometrics Editorial Office
The Impact of COVID-19 on Airfares—A Machine Learning Counterfactual Analysis pp. 1-0 Downloads
Florian Wozny
Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models pp. 1-0 Downloads
Szabolcs Blazsek and Alvaro Escribano
Page updated 2023-09-24