We are inviting submissions for the 4th issue of the Annals of Computational and Financial Econometrics (CFE).
The Annals of Computational and Financial Econometrics is published as a supplement to the journal of Econometrics and Statistics (EcoSta) to serve as an outlet for research papers in computational econometrics and financial econometrics. Authors submitting a paper to EcoSta may request that it be considered for inclusion in the Annals of CFE. The first three issues of the Annals of Computational and Financial Econometrics have been published in Computational Statistics & Data Analysis.
Submissions for the Annals should contain both a computational and an econometric or financial-econometric component. There is no deadline for submissions. Papers can be submitted at any time; and, when they have been received, they will enter the editorial system immediately. Submissions will be refereed according to standard procedures for Econometrics and Statistics. Information about the journal can be found at http://www.elsevier.com/locate/ecosta and http://www.CFEnetwork.org/ecosta.
All submissions must contain original unpublished work not being considered for publication elsewhere.
Please submit your paper electronically using the Elsevier Editorial System and selecting article type Annals of Computational and Financial Econometrics: http://ees.elsevier.com/ecosta.
For further information please send an email to:
Editorial Board of the Annals of CFE
Editors: Erricos J. Kontoghiorghes and Herman K. Van Dijk.
Advisory Board: Tim Bollerslev, Francis X. Diebold, Robert Engle, Hashem Pesaran, Peter C.B. Phillips and Mike West.
Associate Editors: Sung Ahn, Alessandra Amendola, Monica Billio, Manfred Deistler, Jean-Marie Dufour, Andrew Harvey, Alain Hecq, Jonathan Hill, Eric Jacquier, Kenneth Judd, Degui Li, Helmut Lutkepohl, James G. MacKinnon, Gael Martin, Yasuhiro Omori, Gareth Peters, D.S.G. Pollock, Tommaso Proietti, Zacharias Psaradakis, Jeroen V.K. Rombouts, Willi Semmler, Richard J Smith, Mike K.P. So, Mark Steel, Robert Taylor, Carsten Trenkler and Peter Winker.
|Empirical Welfare Analysis for Discrete Choice: Some General Results||Bhattacharya, D.||Quantitative Economcs, forthcoming||(2018)|
|Alternative Asymptotics for Cointegration Tests in Large VARs||Onatski, A. and Wang, C.||Econometrica, forthcoming||(2018)|
|An investigation into multivariate variance ratio statistics and their application to stock market predictability||Hong, S.Y., Linton, O. and Zhang, H.J.||Journal of Financial Econometrics||(2017)|
|Volatility Modelling with a Generalized t-distribution||Harvey, A. C. and R-J. Lange||Journal of Time Series Analysis||(2017)|
|Run-time Reconfigurable Acceleration for Genetic Programming Fitness Evaluation in Trading Strategies||Funie, A-I., Grigoras, P., Burovskiy, P., Luk, W. and Salmon, M.||Journal of Signal Processing Systems||(2017)|
|Classification of non-parametric regression functions in longitudinal data models||Vogt, M. and Linton, O.||Journal of the Royal Statistical Society. Series B: Statistical Methodology||(2017)|
|Unit root inference in generally trending and cross-correlated fixed-T panels||Robertson, D., Sarafidis, V. and Westerlund, J.||Journal of Business and Economic Statistics||(2017)|
|Exponential class of dynamic binary choice panel data models with fixed effects||Al-Sadoon, M. M., Li, T. and Pesaran, M. H.||Econometrics Reviews,||(2017)|
|Semiparametric identification of the bid-ask spread in extended Roll models||Chen, X.,Linton, O. and Yi, Y.||Journal of Econometrics||(2017)|
|Two-Way Models for Gravity||Jochmans, K.||Review of Economics and Statistics||(2017)|
|Nonparametric Estimation of Non-Exchangeable Latent-Variable Models||Bonhomme, S. and Jochmans, K. and Robin, J-M.||Journal of Econometrics, forthcoming||(2017)|
|Semiparametric Analysis of Network Formation||Jochmans, K.||Journal of Business & Economic Statistics, forthcoming||(2017)|
|Tests of Additional Conditional Moment Restrictions||Parente, P.M.D.C. and Smith, R. J.||Journal of Econometrics||(2017)|
|A discrete-choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance||Boneva, L. and Linton, O.||Journal of Applied Econometrics||(2017)|
|Two-way models for gravity||Jochmans, K.||Review of Economics and Statistics||(2017)|
|Are University Admissions Academically Fair?||Bhattacharya, D., Kanaya, S. and Stevens, M.||Review of Economics and Statistics||(2017)|
|Semiparametric dynamic portfolio choice with multiple conditioning variables||Chen, J., Degui, L., Linton, O. and Lu, Z.||Journal of Econometrics||(2016)|
|Robust time series models with trend and seasonal components||Caivano, M., Harvey, A. C. and Luati, A.||SERIEs : Journal of the Spanish Economic Association||(2016)|
|The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series||Han, H., Linton, O., Oka, T. and Whang,Y.-J.||Journal of Econometrics||(2016)|
|Comment on: Reflections on the probability space induced by moment conditions with implications for Bayesian Inference||Linton, O. and Wu, R.||Journal of Financial Econometrics||(2016)|
|A nonparametric test of a strong leverage hypothesis||Linton, O., Whang, Y.-J. and Yen, Y.-M.||Journal of Econometrics||(2016)|
|Testing against changing correlation||Harvey, A. C.and Thiele, S.||Journal of Empirical Finance||(2016)|
|Theory and Practice of GVAR Modeling||Pesaran, M. H. and Chudik, A.||Journal of Economic Surveys||(2016)|
|Inference on Two-Component Mixtures Under Tail Restrictions||Jochmans, K., Henry, M. and Salanié, B.||Econometric Theory||(2016)|
|Likelihood Inference in an Autoregression with Fixed Effects||Dhaene, G. and Jochmans, K.||Econometric Theory||(2016)|
|Estimating Multivariate Latent-Structure Models||Bonhomme, S. and Jochmans, K. and Robin, J-M.||Annals of Statistics||(2016)|
|Non-parametric Estimation of Finite Mixtures from Repeated Measurements||Bonhomme, S. and Jochmans, K. and Robin, J-M.||Journal of the Royal Statistical Society - Series B||(2016)|
|Improving Confidence Set Estimation when Parameters are Weakly Identified||Battey, H., Feng, Q., and Smith, R. J.||Statistics & Probability Letters||(2016)|
|Let's get lade: robust estimation of semiparametric multiplicative volatility models||Koo, B., and Linton, O.||Econometric Theory||(2015)|
|IV estimation of panels with factor residuals||Robertson, D. and Sarafidis, V.||Journal of Econometrics||(2015)|
|Asymptotic analysis of the squared estimation error in misspecified factor models||Onatski, A.||Journal of Econometrics||(2015)|
|A semiparametric model for heterogeneous panel data with fixed effects||Boneva, L., Linton, O. and Vogt, M.||Journal of Econometrics||(2015)|
|The effect of fragmentation in trading on market quality in the UK equity market||Boneva, L., Linton, O. and Vogt, M.||Journal of Applied Econometrics||(2015)|
|A flexible semiparametric forecasting model for time series||Li, D., Linton, O. and Lu, Z.||Journal of Econometrics||(2015)|
|Leverage constraints and real interest rates||Isohatala, J., Kusmartsev, F., Milne, A. and Robertson, D.||Manchester School||(2015)|
|Nonparametric welfare analysis for discrete choice||Bhattacharya, D.||Econometrica||(2015)|
|Estimating the quadratic covariation matrix for asynchronously observed high frquency stock returns corrupted by additive measurement error||Park,S., Hong, S.Y. and Linton,O.||Journal of Econometrics||(2015)|
|Split-panel Jackknife Estimation of Fixed-Effect Models||Dhaene, G. and Jochmans, K.||Review of Economic Studies||(2015)|
|Multiplicative-Error Models with Sample Selection||Jochmans, K.||Journal of Econometrics||(2015)|
|Neglected heterogeneity in moment condition models||Smith, R. J., Hahn, J. and Newey, W. K.||Journal of Econometrics||(2014)|
|Recent developments in empirical likelihood and related methods||Parente, P.M.D.C. and Smith, R.J.||Annual Review of Economics||(2014)|
|Time series models with an EGB2 conditional distribution||Caivano, M. and Harvey, A. C.||Journal of Time Series Analysis||(2014)|
|Filtering with heavy tails||Harvey, A. C. and Luati, A.||Journal of the American Statistical Association||(2014)|
|EGARCH models with fat tails, skewness and leverage||Harvey, A. C. and Sucarrat, G.||Computational Statistics & Data Analysis||(2014)|
|Advances in robust and flexible inference in econometrics: a special issue in honour of Joel I. Horowitz||Chen, X.,Lee, S., Linton, O. and Tamer, E.||Econometrics Journal||(2014)|
|Averaging of an increasing number of moment condition estimators||Chen, X., Jacho-Chavez, D.T. and Linton, O.||Econometric Theory||(2014)|
|Signal Detection in High Dimension: The Multispiked Case||Onatski, A., Moreira, M. J. and Hallin, M.||The Annals of Statistics||(2014)|
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