Econometrics

2013 - 2025

Current editor(s): Ms. Jasmine Liu

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Volume 13, issue 2, 2025

Is VIX a Contrarian Indicator? On the Positivity of the Conditional Sharpe Ratio † pp. 1-12

Ehud I. Ronn and Liying Xu

Explosive Episodes and Time-Varying Volatility: A New MARMA–GARCH Model Applied to Cryptocurrencies pp. 1-25

Alain Hecq and Daniel Velasquez-Gaviria

Modeling and Forecasting Time-Series Data with Multiple Seasonal Periods Using Periodograms pp. 1-19

Solomon Buke Chudo and Gyorgy Terdik

A Meta-Analysis of Determinants of Success and Failure of Economic Sanctions pp. 1-29

Binyam Afewerk Demena and Peter A. G. van Bergeijk

Forecasting Asset Returns Using Nelson–Siegel Factors Estimated from the US Yield Curve pp. 1-36

Massimo Guidolin and Serena Ionta

Inference of Impulse Responses via Bayesian Graphical Structural VAR Models pp. 1-20

Daniel Felix Ahelegbey

Generalized Recentered Influence Function Regressions pp. 1-14

Javier Alejo, Antonio Galvao, Julián Martínez-Iriarte and Gabriel Montes-Rojas

Volume 13, issue 1, 2025

Application of Fuzzy Discount Factors in Behavioural Decision-Making for Financial Market Modelling pp. 1-12

Joanna Siwek and Patryk Żywica

Conditional β-Convergence in APEC Economies, 1960–2020: Empirical Evidence from the Pooled Mean Group Estimator pp. 1-14

César Lenin Navarro-Chávez, Julio César Morán-Figueroa and Francisco Javier Ayvar-Campos

Dynamic Interaction Between Microfinance and Household Well-Being: Evidence from the Microcredit Progressive Model for Sustainable Development pp. 1-20

Ahmad Alqatan, Najoua Talbi, Hasan Behbehani, Samira Ben Belgacem, Muhammad Arslan and Wafaa Sbeiti

Forecasting Half-Hourly Electricity Prices Using a Mixed-Frequency Structural VAR Framework pp. 1-26

Gaurav Kapoor, Nuttanan Wichitaksorn, Mengheng Li and Wenjun Zhang

Investigating Some Issues Relating to Regime Matching pp. 1-13

Anthony Hall and Adrian Pagan

An Economic Theory with a Formal-Econometric Test of Its Empirical Relevance pp. 1-24

Bernt Petter Stigum

Relationship Between Coefficients in Parametric Survival Models for Exponentially Distributed Survival Time—Registered Unemployment in Poland pp. 1-16

Beata Bieszk-Stolorz

Optimal Time Series Forecasting Through the GARMA Model pp. 1-23

Adel Hassan A. Gadhi, Shelton Peiris, David Allen and Richard Hunt

A Study of Economic and Social Preferences in Energy-Saving Behavior Using a Structural Equation Modeling Approach: The Case of Romania pp. 1-17

Cristian Busu, Mihail Busu, Stelian Grasu, Ilona Skačkauskienė and Luis Miguel Fonseca

Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications pp. 1-17

Marcos Escobar-Anel, Sebastian Ferrando, Fuyu Li and Ke Xu

Comparative Analysis of VAR and SVAR Models in Assessing Oil Price Shocks and Exchange Rate Transmission to Consumer Prices in South Africa pp. 1-36

Luyanda Majenge, Sakhile Mpungose and Simiso Msomi

Real Option Valuation of an Emerging Renewable Technology Design in Wave Energy Conversion pp. 1-18

James A. DiLellio, John C. Butler, Igor Rizaev, Wanan Sheng and George Aggidis

Volume 12, issue 4, 2024

Estimating the Effects of Credit Constraints on Productivity of Peruvian Agriculture pp. 1-17

Tiemen Woutersen, Katherine Hauck and Shahidur R. Khandker

Financial Uncertainty and Gold Market Volatility: Evidence from a Generalized Autoregressive Conditional Heteroskedasticity Variant of the Mixed-Data Sampling (GARCH-MIDAS) Approach with Variable Selection pp. 1-17

O-Chia Chuang, Rangan Gupta, Christian Pierdzioch and Buliao Shu

Instrument Selection in Panel Data Models with Endogeneity: A Bayesian Approach pp. 1-35

Álvaro Herce and Manuel Salvador

How Financial Stress Can Impact Fiscal and Monetary Policies: Threshold VAR Analysis for Brazilian Economy pp. 1-23

Roberta Moreira Wichmann, Werley Cordeiro and João F. Caldeira

Forecasting Wind–Photovoltaic Energy Production and Income with Traditional and ML Techniques pp. 1-15

Giovanni Masala and Amelie Schischke

Impact of Areal Factors on Students’ Travel Mode Choices: A Bayesian Spatial Analysis pp. 1-19

Amin Azimian and Alireza Azimian

Exploring the Role of Global Value Chain Position in Economic Models for Bankruptcy Forecasting pp. 1-19

Mélanie Croquet, Loredana Cultrera, Dimitri Laroutis, Laetitia Pozniak and Guillaume Vermeylen

Enhancing Efficiency: Halton Draws in the Generalized True Random Effects Model pp. 1-19

David Bernstein

Bayesian Inference for Long Memory Stochastic Volatility Models pp. 1-28

Pedro Chaim and Márcio Laurini

Econometric Analysis of the Sustainability and Development of an Alternative Strategy to Gross Value Added in Kazakhstan’s Agricultural Sector pp. 1-26

Azat Tleubayev, Seyit Kerimkhulle, Manatzhan Tleuzhanova, Aigul Uchkampirova, Zhanat Bulakbay, Raikhan Mugauina, Zhumagul Tazhibayeva, Alibek Adalbek, Yerassyl Iskakov and Daniyar Toleubay

Dynamic Factor Models and Fractional Integration—With an Application to US Real Economic Activity pp. 1-14

Guglielmo Maria Caporale, Luis Gil-Alana and Pedro Jose Piqueras Martinez

Long-Term Care in Germany in the Context of the Demographic Transition—An Outlook for the Expenses of Long-Term Care Insurance through 2050 pp. 1-20

Patrizio Vanella, Christina Benita Wilke and Moritz Heß

Likert Scale Variables in Personal Finance Research: The Neutral Category Problem pp. 1-11

Blain Pearson, Donald Lacombe and Nasima Khatun

Volume 12, issue 3, 2024

Stochastic Debt Sustainability Analysis in Romania in the Context of the War in Ukraine pp. 1-23

Gabriela Dobrotă and Alina Daniela Voda

Is It Sufficient to Select the Optimal Class Number Based Only on Information Criteria in Fixed- and Random-Parameter Latent Class Discrete Choice Modeling Approaches? pp. 1-16

Péter Czine, Péter Balogh, Zsanett Blága, Zoltán Szabó, Réka Szekeres, Stephane Hess and Béla Juhász

Comparing Estimation Methods for the Power–Pareto Distribution pp. 1-28

Frederico Caeiro and Mina Norouzirad

Score-Driven Interactions for “Disease X” Using COVID and Non-COVID Mortality pp. 1-24

Szabolcs Blazsek, William M. Dos Santos and Andreco S. Edwards

Signs of Fluctuations in Energy Prices and Energy Stock-Market Volatility in Brazil and in the US pp. 1-19

Gabriel Arquelau Pimenta Rodrigues, André Luiz Marques Serrano, Gabriela Mayumi Saiki, Matheus Noschang de Oliveira, Guilherme Fay Vergara, Pedro Augusto Giacomelli Fernandes, Vinícius Pereira Gonçalves and Clóvis Neumann

Estimating Treatment Effects Using Observational Data and Experimental Data with Non-Overlapping Support pp. 1-11

Kevin Han, Han Wu, Linjia Wu, Yu Shi and Canyao Liu

Instrumental Variable Method for Regularized Estimation in Generalized Linear Measurement Error Models pp. 1-14

Lin Xue and Liqun Wang

Transient and Persistent Technical Efficiencies in Rice Farming: A Generalized True Random-Effects Model Approach pp. 1-18

Phuc Trong Ho, Michael Burton, Atakelty Hailu and Chunbo Ma

Volume 12, issue 2, 2024

Stein-like Common Correlated Effects Estimation under Structural Breaks pp. 1-23

Shahnaz Parsaeian

The Gini and Mean Log Deviation Indices of Multivariate Inequality of Opportunity pp. 1-16

Marek Kapera and Martyna Kobus

Short-Term Hourly Ozone Concentration Forecasting Using Functional Data Approach pp. 1-21

Ismail Shah, Naveed Gul, Sajid Ali and Hassan Houmani

On the Validity of Granger Causality for Ecological Count Time Series pp. 1-21

Konstantinos G. Papaspyropoulos and Dimitris Kugiumtzis

Investigation of Equilibrium in Oligopoly Markets with the Help of Tripled Fixed Points in Banach Spaces pp. 1-24

Atanas Ilchev, Vanya Ivanova, Hristina Kulina, Polina Yaneva and Boyan Zlatanov

Financial and Oil Market’s Co-Movements by a Regime-Switching Copula pp. 1-19

Manel Soury

Biases in the Maximum Simulated Likelihood Estimation of the Mixed Logit Model pp. 1-15

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

A Pretest Estimator for the Two-Way Error Component Model pp. 1-15

Badi Baltagi, Georges Bresson and Jean-Michel Etienne

Predicting the Direction of NEPSE Index Movement with News Headlines Using Machine Learning pp. 1-26

Keshab Raj Dahal, Ankrit Gupta and Nawa Raj Pokhrel

Modeling the Economic Impact of the COVID-19 Pandemic Using Dynamic Panel Models and Seemingly Unrelated Regressions pp. 1-26

Ioannis D. Vrontos, John Galakis, Ekaterini Panopoulou and Spyridon D. Vrontos

Exponential Time Trends in a Fractional Integration Model pp. 1-14

Guglielmo Maria Caporale and Luis Gil-Alana

Volume 12, issue 1, 2024

Influence of Digitalisation on Business Success in Austrian Traded Prime Market Companies—A Longitudinal Study pp. 1-32

Christa Hangl

Is Monetary Policy a Driver of Cryptocurrencies? Evidence from a Structural Break GARCH-MIDAS Approach pp. 1-20

Md Samsul Alam, Alessandra Amendola, Vincenzo Candila and Shahram Dehghan Jabarabadi

Estimating Linear Dynamic Panels with Recentered Moments pp. 1-48

Yong Bao

Multivariate Stochastic Volatility Modeling via Integrated Nested Laplace Approximations: A Multifactor Extension pp. 1-28

João Pedro Coli de Souza Monteneri Nacinben and Márcio Laurini

Publisher’s Note: Econometrics —A New Era for a Well-Established Journal pp. 1-2

Peter Roth

Introduction to the Special Issue “High-Dimensional Time Series in Macroeconomics and Finance” pp. 1-2

Benedikt Pötscher, Leopold Sögner and Martin Wagner

Public Debt and Economic Growth: A Panel Kink Regression Latent Group Structures Approach pp. 1-19

Chaoyi Chen, Thanasis Stengos and Jianhan Zhang