Econometrics

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

Bilel Sanhaji and Julien Chevallier

Locationally Varying Production Technology and Productivity: The Case of Norwegian Farming pp. 1-20

Subal C. Kumbhakar, Jingfang Zhang and Gudbrand Lien

Competition–Innovation Nexus: Product vs. Process, Does It Matter? pp. 1-20

Emil Palikot

Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter pp. 1-14

Manabu Asai

Detecting Pump-and-Dumps with Crypto-Assets: Dealing with Imbalanced Datasets and Insiders’ Anticipated Purchases pp. 1-73

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

Jarosław Gruszka and Janusz Szwabiński

Skill Mismatch, Nepotism, Job Satisfaction, and Young Females in the MENA Region pp. 1-20

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

Mateusz Szysz and Andrzej Torój

Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations for I(2) Processes pp. 1-11

Dietmar Bauer

Factorization of a Spectral Density with Smooth Eigenvalues of a Multidimensional Stationary Time Series pp. 1-11

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

Chengyu Li, Luyi Shen and Guoqi Qian

Local Gaussian Cross-Spectrum Analysis pp. 1-27

Lars Arne Jordanger and Dag Tjøstheim

Modeling COVID-19 Infection Rates by Regime-Switching Unobserved Components Models pp. 1-15

Paul Haimerl and Tobias Hartl

Volume 11, issue 1, 2023

Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models pp. 1-16

Gianluca Cubadda, Alain Hecq and Elisa Voisin

Causal Vector Autoregression Enhanced with Covariance and Order Selection pp. 1-30

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

Nick James, Max Menzies and Jennifer Chan

Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers pp. 1-29

Graziano Moramarco

Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models pp. 1-18

Omar Abbara and Mauricio Zevallos

Comparing the Conditional Logit Estimates and True Parameters under Preference Heterogeneity: A Simulated Discrete Choice Experiment pp. 1-13

Maksat Jumamyradov, Benjamin M. Craig, Murat Munkin and William Greene

Acknowledgment to the Reviewers of Econometrics in 2022 pp. 1-2

Econometrics Editorial Office

Exploring Industry-Distress Effects on Loan Recovery: A Double Machine Learning Approach for Quantiles pp. 1-20

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

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

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

Brian D. O. Anderson, Manfred Deistler and Marco Lippi

Is Climate Change Time-Reversible? pp. 1-18

Francesco Giancaterini, Alain Hecq and Claudio Morana

On the Bayesian Mixture of Generalized Linear Models with Gamma-Distributed Responses pp. 1-28

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

Marc Hallin

Detecting and Quantifying Structural Breaks in Climate pp. 1-27

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

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

Shiyun Cao and Qiankun Zhou

Modelling and Diagnostics of Spatially Autocorrelated Counts pp. 1-17

Robert Jung and Stephanie Glaser

Structural Compressed Panel VAR with Stochastic Volatility: A Robust Bayesian Model Averaging Procedure pp. 1-24

Antonio Pacifico

Volume 10, issue 2, 2022

Causal Transmission in Reduced-Form Models pp. 1-25

Vassilios Bazinas and Bent Nielsen

Model Validation and DSGE Modeling pp. 1-25

Niraj Poudyal and Aris Spanos

Algorithmic Modelling of Financial Conditions for Macro Predictive Purposes: Pilot Application to USA Data pp. 1-22

Duo Qin, Sophie van Huellen, Qing Chao Wang and Thanos Moraitis

A Conversation with Søren Johansen pp. 1-16

Rocco Mosconi and Paolo Paruolo

Learning Forecast-Efficient Yield Curve Factor Decompositions with Neural Networks pp. 1-15

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

Katarina Juselius

Combining Predictions of Auto Insurance Claims pp. 1-15

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

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

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

Gaetano Perone

A Conversation with Katarina Juselius pp. 1-21

Rocco Mosconi and Paolo Paruolo

An Alternative Estimation Method for Time-Varying Parameter Models pp. 1-27

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

Esam Mahdi and Ameena Al-Abdulla

A Binary Choice Model with Sample Selection and Covariate-Related Misclassification pp. 1-20

Jorge González Chapela

Celebrated Econometricians: Katarina Juselius and Søren Johansen pp. 1-4

Rocco Mosconi and Paolo Paruolo

Volume 10, issue 1, 2022

An Exponential Endogenous Switching Regression with Correlated Random Coefficients pp. 1-0

Myoung-Jin Keay

Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics pp. 1-0

Jennifer Castle, Jurgen Doornik and David Hendry

Identification in Parametric Models: The Minimum Hellinger Distance Criterion pp. 1-0

David Pacini

Green Bonds for the Transition to a Low-Carbon Economy pp. 1-0

Andreas Lichtenberger, Joao Paulo Braga and Willi Semmler

Missing Values in Panel Data Unit Root Tests pp. 1-0

Yiannis Karavias, Elias Tzavalis and Haotian Zhang

Forecasting Real GDP Growth for Africa pp. 1-0

Philip Hans Franses and Max Welz

The Age–Period–Cohort Problem in Hedonic House Prices Models pp. 1-0

Chung-Yim Yiu and Ka-Shing Cheung

An Entropy-Based Approach for Nonparametrically Testing Simple Probability Distribution Hypotheses pp. 1-0

Ron Mittelhammer, George Judge and Miguel Henry

A New Estimator for Standard Errors with Few Unbalanced Clusters pp. 1-0

Gianmaria Niccodemi and Tom Wansbeek

Acknowledgment to Reviewers of Econometrics in 2021 pp. 1-0

Econometrics Editorial Office

The Impact of COVID-19 on Airfares—A Machine Learning Counterfactual Analysis pp. 1-0

Florian Wozny

Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models pp. 1-0

Szabolcs Blazsek and Alvaro Escribano