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Volume 1, Number ??, January, 2017Erricos Kontoghiorghes and Herman K. Van Dijk and Ana Colubi \booktitleEconometrics and Statistics 1--1 Anonymous Pages 1-200 (January 2017) . . . . . . . 1--200 Helmut Lütkepohl and Aleksei Netsunajev Structural vector autoregressions with heteroskedasticity: A review of different volatility models . . . . . . 2--18 Marc S. Paolella Asymmetric stable Paretian distribution testing . . . . . . . . . . . . . . . . 19--39 Luc Bauwens and Manuela Braione and Giuseppe Storti A dynamic component model for forecasting high-dimensional realized covariance matrices . . . . . . . . . . 40--61 P. S. Catani and N. J. C. Ahlgren Combined Lagrange multiplier test for ARCH in vector autoregressive models . . 62--84 Josu Arteche and Javier García-Enríquez Singular Spectrum Analysis for signal extraction in Stochastic Volatility models . . . . . . . . . . . . . . . . . 85--98 Piotr Kokoszka and Hanny Oja and Byeong Park and Laura Sangalli Special issue on functional data analysis . . . . . . . . . . . . . . . . 99--100 P. Burdejova and W. Härdle and P. Kokoszka and Q. Xiong Change point and trend analyses of annual expectile curves of tropical storms . . . . . . . . . . . . . . . . . 101--117 Gil González-Rodríguez and Ana Colubi On the consistency of bootstrap methods in separable Hilbert spaces . . . . . . 118--127 J. Klepsch and C. Klüppelberg and T. Wei Prediction of functional ARMA processes with an application to traffic data . . 128--149 Seyed Nourollah Mousavi and Helle Sòrensen Multinomial functional regression with wavelets and LASSO penalization . . . . 150--166 Zhaohu Fan and Matthew Reimherr High-dimensional adaptive function-on-scalar regression . . . . . 167--183 Han Lin Shang Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration . . . . . . . . . . . . . 184--200
Jan F. Kiviet and Milan Pleus The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation . . . . . . . . . 1--21 Anonymous Pages 1-148 (April 2017) . . . . . . . . 1--148 Dawlah Al-Sulami and Zhenyu Jiang and Zudi Lu and Jun Zhu Estimation for semiparametric nonlinear regression of irregularly located spatial time-series data . . . . . . . . 22--35 Michael Creel Neural nets for indirect inference . . . 36--49 Zacharias Psaradakis and Marián Vávra A distance test of normality for a wide class of stationary processes . . . . . 50--60 Deniz Dilan Karaman Örsal and Antonia Arsova Meta-analytic cointegrating rank tests for dependent panels . . . . . . . . . . 61--72 J. S. Marron Big Data in context and robustness against heterogeneity . . . . . . . . . 73--80 Shu Li and Jan Ernest and Peter Bühlmann Nonparametric causal inference from observational time series through marginal integration . . . . . . . . . . 81--105 Davy Paindaveine and Rondrotiana Joséa Rasoafaraniaina and Thomas Verdebout Preliminary test estimation for multi-sample principal components . . . 106--116 Konstantinos Fokianos and Theodoros Moysiadis Binary time series models driven by a latent process . . . . . . . . . . . . . 117--130 G. Tutz and M. Berger Separating location and dispersion in ordinal regression models . . . . . . . 131--148
Taeryon Choi and Yasuhiro Omori and Michael Smith and Stephen G. Walker Special issue on Bayesian methods in statistics and econometrics . . . . . . 1--2 Anonymous Pages 1-168 (July 2017) . . . . . . . . 1--168 Lutz F. Gruber and Mike West Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models . . . . . . . . . 3--22 D. K. Sakaria and J. E. Griffin On efficient Bayesian inference for models with stochastic volatility . . . 23--33 Shinichiro Shirota and Yasuhiro Omori and Hedibert. F. Lopes and Haixiang Piao Cholesky realized stochastic volatility model . . . . . . . . . . . . . . . . . 34--59 Wenxin Jiang On limiting distribution of quasi-posteriors under partial identification . . . . . . . . . . . . . 60--72 Catalina A. Vallejos and Mark F. J. Steel Incorporating unobserved heterogeneity in Weibull survival models: A Bayesian approach . . . . . . . . . . . . . . . . 73--88 John Hinde and Salvatore Ingrassia and Tsung-I Lin and Paul D. McNicholas Special issue on mixture models . . . . 89--90 Marco Gambacciani and Marc S. Paolella Robust normal mixtures for financial portfolio allocation . . . . . . . . . . 91--111 Francesco Bartolucci and Silvia Bacci and Claudia Pigini Misspecification test for random effects in generalized linear finite-mixture models for clustered binary and ordered data . . . . . . . . . . . . . . . . . . 112--131 Antonio Forcina A Fisher-scoring algorithm for fitting latent class models with individual covariates . . . . . . . . . . . . . . . 132--140 Md. Abul Hasnat and Julien Velcin and Stephane Bonnevay and Julien Jacques Evolutionary clustering for categorical data using parametric links among multinomial mixture models . . . . . . . 141--159 Paula M. Murray and Ryan P. Browne and Paul D. McNicholas A mixture of SDB skew-$t$ factor analyzers . . . . . . . . . . . . . . . 160--168
Peter Boswijk and Marc Hallin and Degui Li and Dimitris N. Politis and Robert Taylor Special issue on time series econometrics . . . . . . . . . . . . . . 1--2 Anonymous Pages 1-130 (October 2017) . . . . . . . 1--130 Josu Arteche and Jesus Orbe A strategy for optimal bandwidth selection in Local Whittle estimation 3--17 Francesco Bravo and Ba M. Chu and David T. Jacho-Chávez Generalized empirical likelihood M testing for semiparametric models with time series data . . . . . . . . . . . . 18--30 Manfred Deistler and Lukas Koelbl and Brian D. O. Anderson Non-identifiability of VMA and VARMA systems in the mixed frequency case . . 31--38 Tore Selland Kleppe and Atle Oglend Estimating the competitive storage model: A simulated likelihood approach 39--56 M. Matilainen and C. Croux and K. Nordhausen and H. Oja Supervised dimension reduction for multivariate time series . . . . . . . . 57--69 Loukia Meligkotsidou and Elias Tzavalis and Ioannis Vrontos On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks 70--90 Toshihiro Abe and Christophe Ley A tractable, parsimonious and flexible model for cylindrical data, with applications . . . . . . . . . . . . . . 91--104 Hao Chai and Qingzhao Zhang and Yu Jiang and Guohua Wang and Sanguo Zhang and Syed Ejaz Ahmed and Shuangge Ma Identifying gene-environment interactions for prognosis using a robust approach . . . . . . . . . . . . 105--120 Rene Segers and Philip Hans Franses and Bert de Bruijn A novel approach to measuring consumer confidence . . . . . . . . . . . . . . . 121--129
Martin Becker and Stefan Klößner Fast and reliable computation of generalized synthetic controls . . . . . 1--19 Anonymous Pages 1-188 (January 2018) . . . . . . . 1--188 Efstathios Panayi and Gareth W. Peters and Jon Danielsson and Jean-Pierre Zigrand Designating market maker behaviour in limit order book markets . . . . . . . . 20--44 J. Isaac Miller Simple robust tests for the specification of high-frequency predictors of a low-frequency series . . 45--66 Lyudmila Grigoryeva and Juan-Pablo Ortega and Anatoly Peresetsky Volatility forecasting using global stochastic financial trends extracted from non-synchronous data . . . . . . . 67--82 Francesco Lamperti An information theoretic criterion for empirical validation of simulation models . . . . . . . . . . . . . . . . . 83--106 Martyna Marczak and Tommaso Proietti and Stefano Grassi A data-cleaning augmented Kalman filter for robust estimation of state space models . . . . . . . . . . . . . . . . . 107--123 Takuma Yoshida Semiparametric method for model structure discovery in additive regression models . . . . . . . . . . . 124--136 Sebastian Döhler A discrete modification of the Benjamini--Yekutieli procedure . . . . . 137--147 Aboubacar Amiri and Sophie Dabo-Niang Density estimation over spatio-temporal data streams . . . . . . . . . . . . . . 148--170 Shoichi Eguchi Model comparison for generalized linear models with dependent observations . . . 171--188
George Kapetanios and Simon Price and Garry Young A UK financial conditions index using targeted data reduction: Forecasting and structural identification . . . . . . . 1--17
Vikram Krishnamurthy and Elisabeth Leoff and Jörn Sass Filterbased stochastic volatility in continuous-time hidden Markov models . . 1--21 Imma Valentina Curato and Maria Elvira Mancino and Maria Cristina Recchioni Spot volatility estimation using the Laplace transform . . . . . . . . . . . 22--43 Willi Mutschler Higher-order statistics for DSGE models 44--56 Jörg Breitung and Sven Schreiber Assessing causality and delay within a frequency band . . . . . . . . . . . . . 57--73 Ximing Wu and Robin Sickles Semiparametric estimation under shape constraints . . . . . . . . . . . . . . 74--89 Gareth Liu-Evans and Garry D. A. Phillips On the use of higher order bias approximations for 2SLS and $k$-class estimators with non-normal disturbances and many instruments . . . . . . . . . . 90--105 Armelle Guillou Special issue on statistics of extremes and applications . . . . . . . . . . . . 106--106 Cees de Valk and Juan-Juan Cai A high quantile estimator based on the log-generalized Weibull tail limit . . . 107--128 Jonathan El Methni and Gilles Stupfler Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions . . . . . . . 129--148 Nadine Gissibl and Claudia Klüppelberg and Moritz Otto Tail dependence of recursive max-linear models with regularly varying noise variables . . . . . . . . . . . . . . . 149--167
Anonymous Pages 1-164 (July 2018) . . . . . . . . 1--164 D. S. G. Pollock Stochastic processes of limited frequency and the effects of oversampling . . . . . . . . . . . . . . 18--29 C. Gourieroux and A. Monfort Composite indirect inference with application to corporate risks . . . . . 30--45 Nelson Muriel and Graciela González-Farías Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR . . . . . . . . . . 46--62 Tomasz Górecki and Lajos Horváth and Piotr Kokoszka Change point detection in heteroscedastic time series . . . . . . 63--88 Aleksandar Sujica and Ingrid Van Keilegom The copula-graphic estimator in censored nonparametric location-scale regression models . . . . . . . . . . . . . . . . . 89--114 Meng Wang and Zhao Chen and Christina Dan Wang Composite quantile regression for GARCH models using high-frequency data . . . . 115--133 M. S. Ahmed and M. K. Attouch and S. Dabo-Niang Binary functional linear models under choice-based sampling . . . . . . . . . 134--152 Matthias Schmid and Gerhard Tutz and Thomas Welchowski Discrimination measures for discrete time-to-event predictions . . . . . . . 153--164
Xuming He and Thomas Kneib and Carlos Lamarche and Lan Wang Special issue on quantile regression and semiparametric methods . . . . . . . . . 1--2 Anonymous Pages 1-250 (October 2018) . . . . . . . 1--250 Christophe Muller Heterogeneity and nonconstant effect in two-stage quantile regression . . . . . 3--12 Javier Alejo and Antonio F. Galvao and Gabriel Montes-Rojas Quantile continuous treatment effects 13--36 Kostas Florios A hyperplanes intersection simulated annealing algorithm for maximum score estimation . . . . . . . . . . . . . . . 37--55 Sebastian Bayer Combining Value-at-Risk forecasts using penalized quantile regressions . . . . . 56--77 Huybrechts F. Bindele Covariates missing at random under signed-rank inference . . . . . . . . . 78--93 Xiaojun Tong and Zhuoqiong Chong He and Dongchu Sun Estimating Chinese Treasury yield curves with Bayesian smoothing splines . . . . 94--124 Philipp Bach and Helmut Farbmacher and Martin Spindler Semiparametric count data modeling with an application to health service demand 125--140 Harry Haupt and Joachim Schnurbus and Willi Semmler Estimation of grouped, time-varying convergence in economic growth . . . . . 141--158 John M. Maheu and Marc Paolella and Tak Kuen Siu and Mike K. P. So Special issue on risk management . . . . 159--160 Marius Hofert and Wayne Oldford Visualizing dependence in high-dimensional data: An application to S&P 500 constituent data . . . . . . . . 161--183 Simon A. Broda and Jochen Krause and Marc S. Paolella Approximating expected shortfall for heavy-tailed distributions . . . . . . . 184--203 Frédéric Karamé A new particle filtering approach to estimate stochastic volatility models with Markov-switching . . . . . . . . . 204--230 Yixing Zhao and Rogemar Mamon and Huan Gao A two-decrement model for the valuation and risk measurement of a guaranteed annuity option . . . . . . . . . . . . . 231--249
Anonymous Editorial Board . . . . . . . . . . . . ii--ii Eric Ghysels and Hang Qian Estimating MIDAS regressions via OLS with polynomial parameter profiling . . 1--16 Anonymous Pages 1-170 (January 2019) . . . . . . . 1--170 Christian Gourieroux and Joann Jasiak Robust analysis of the martingale hypothesis . . . . . . . . . . . . . . . 17--41 Majid M. Al-Sadoon Testing subspace Granger causality . . . 42--61 Yonghui Zhang and Qiankun Zhou Estimation for time-invariant effects in dynamic panel data models with application to income dynamics . . . . . 62--77 Christian Leschinski and Philipp Sibbertsen Model order selection in periodic long memory models . . . . . . . . . . . . . 78--94 Frédéric Ferraty and Anthony Zullo and Mathieu Fauvel Nonparametric regression on contaminated functional predictor with application to hyperspectral data . . . . . . . . . . . 95--107 Peter Rousseeuw and Domenico Perrotta and Marco Riani and Mia Hubert Robust Monitoring of Time Series with Application to Fraud Detection . . . . . 108--121 Zhaoyuan Li and Jianfeng Yao Testing for heteroscedasticity in high-dimensional regressions . . . . . . 122--139 Yanqing Sun and Yuanqing Zhang and Jianhua Z. Huang Estimation of a semiparametric varying-coefficient mixed regressive spatial autoregressive model . . . . . . 140--155 Benedikt Funke and Masayuki Hirukawa Nonparametric estimation and testing on discontinuity of positive supported densities: a kernel truncation approach 156--170
Anonymous Editorial Board . . . . . . . . . . . . ii--ii Donald Brown and Rustam Ibragimov Sign tests for dependent observations 1--8 Anonymous Pages 1-170 (April 2019) . . . . . . . . 1--170 Brendan K. Beare and Xiaoxia Shi An improved bootstrap test of density ratio ordering . . . . . . . . . . . . . 9--26 Federico Poloni and Giacomo Sbrana Closed-form results for vector moving average models with a univariate estimation approach . . . . . . . . . . 27--52 Chrysoula Dimitriou-Fakalou On accepting the edge-effect (for the inference of ARMA-type processes in $ \mathbb {Z}^2 $) . . . . . . . . . . . . 53--70 Kazuhiko Hayakawa Alternative over-identifying restriction test in the GMM estimation of panel data models . . . . . . . . . . . . . . . . . 71--95 Cyrus J. DiCiccio and Joseph P. Romano and Michael Wolf Improving weighted least squares inference . . . . . . . . . . . . . . . 96--119 A. Skripnikov and G. Michailidis Joint estimation of multiple network Granger causal models . . . . . . . . . 120--133 Carlo Grillenzoni and Michele Fornaciari On-line peak detection in medical time series with adaptive regression methods 134--150 Michelle Anzarut and Ramsés H. Mena A Harris process to model stochastic volatility . . . . . . . . . . . . . . . 151--169
Anonymous Editorial Board . . . . . . . . . . . . ii--ii M. Hashem Pesaran and Ron P. Smith A Bayesian analysis of linear regression models with highly collinear regressors 1--21 Anonymous Pages 1-158 (July 2019) . . . . . . . . 1--158 Fabrizio Cipollini and Giampiero M. Gallo Modeling Euro STOXX 50 volatility with common and market-specific components 22--42 Maxwell Sutton and Andrey L. Vasnev and Richard Gerlach Mixed interval realized variance: a robust estimator of stock price volatility . . . . . . . . . . . . . . . 43--62 Carolina Castagnetti and Eduardo Rossi and Lorenzo Trapani A two-stage estimator for heterogeneous panel models with common factors . . . . 63--82 Milda Norkute and Joakim Westerlund The factor analytical method for interactive effects dynamic panel models with moving average errors . . . . . . . 83--104 Dominik Liebl and Fabian Walders Parameter regimes in partial functional panel regression . . . . . . . . . . . . 105--115 Fabian Otto-Sobotka and Nicola Salvati and Maria Giovanna Ranalli and Thomas Kneib Adaptive semiparametric $M$-quantile regression . . . . . . . . . . . . . . . 116--129 Lendie Follett and Cindy Yu Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior 130--144 Yuta Koike and Yuta Tanoue Oracle inequalities for sign constrained generalized linear models . . . . . . . 145--157
Anonymous Pages 1-216 (October 2019) . . . . . . . 1--216 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Changli He and Jian Kang and Timo Teräsvirta and Shuhua Zhang The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772--2016 . . . . . . . . . . . 1--24 Markus Leippold and Hanlin Yang Particle filtering, learning, and smoothing for mixed-frequency state-space models . . . . . . . . . . . 25--41 Claudio Morana Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices . . . . . . . . . . 42--65 Javier García-Enríquez and Javier Hualde Local Whittle estimation of long memory: Standard versus bias-reducing techniques 66--77 Robert L. Czudaj Dynamics between trading volume, volatility and open interest in agricultural futures markets: a Bayesian time-varying coefficient approach . . . 78--145 Christian Genest and Ivan Kojadinovic and Fabrizio Durante Introduction to the special topic on copula modeling . . . . . . . . . . . . 146--147 Jean-François Quessy and Martin Durocher The class of copulas arising from squared distributions: Properties and inference . . . . . . . . . . . . . . . 148--166 Vinnie Ko and Nils Lid Hjort Copula information criterion for model selection with two-stage maximum likelihood estimation . . . . . . . . . 167--180 Elif F. Acar and Claudia Czado and Martin Lysy Flexible dynamic vine copula models for multivariate time series data . . . . . 181--197 Claudia Czado and Eugen Ivanov and Yarema Okhrin Modelling temporal dependence of realized variances with vines . . . . . 198--216
Anonymous Pages 1-196 (January 2020) . . . . . . . 1--196 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Tomohiro Ando and Erricos Kontoghiorghes and Peter Winker CFEnetwork: the annals of computational and financial econometrics, $ 5^{\rm th} $ issue . . . . . . . . . . . . . . . . 1--1 Jaroslava Hlouskova and Leopold Sögner GMM estimation of affine term structure models . . . . . . . . . . . . . . . . . 2--15 Jan F. Kiviet Microeconometric dynamic panel data methods: Model specification and selection issues . . . . . . . . . . . . 16--45 Yuta Kurose and Yasuhiro Omori Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity . . . . . . . . . . . . . . 46--68 Helmut Lütkepohl and Anna Staszewska-Bystrova and Peter Winker Constructing joint confidence bands for impulse response functions of VAR models --- a review . . . . . . . . . . . . . . 69--83 Xiuping Mao and Veronika Czellar and Esther Ruiz and Helena Veiga Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation 84--105 Jeroen V. K. Rombouts and Lars Stentoft and Francesco Violante Variance swap payoffs, risk premia and extreme market conditions . . . . . . . 106--124 Hidetoshi Matsui Quadratic regression for functional response models . . . . . . . . . . . . 125--136 Clément Albert and Anne Dutfoy and Laurent Gardes and Stéphane Girard An extreme quantile estimator for the log-generalized Weibull-tail model . . . 137--174 Vaidotas Characiejus and Gregory Rice A general white noise test based on kernel lag-window estimates of the spectral density operator . . . . . . . 175--196
Anonymous Pages 1-158 (April 2020) . . . . . . . . 1--158 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Abdelaati Daouia and Jean-Pierre Florens and Léopold Simar Robust frontier estimation from noisy data: a Tikhonov regularization approach 1--23 Jeppe Rich A spline function class suitable for demand models . . . . . . . . . . . . . 24--37 Giovanni Angelini Bootstrap lag selection in DSGE models with expectations correction . . . . . . 38--48 Vasyl Golosnoy and Wolfgang Schmid and Miriam Isabel Seifert and Taras Lazariv Statistical inferences for realized portfolio weights . . . . . . . . . . . 49--62 Silvia Figini and Mario Maggi and Pierpaolo Uberti The market rank indicator to detect financial distress . . . . . . . . . . . 63--73 Elvezio Ronchetti Accurate and robust inference . . . . . 74--88 Wicher P. Bergsma Regression with $I$-priors . . . . . . . 89--111 Tucker S. McElroy and Marc Wildi The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions . . . . . . . . . . 112--130 Liang Zhang and Tianming Zhu and Jin-Ting Zhang A Simple Scale-Invariant Two-Sample Test for High-dimensional Data . . . . . . . 131--144 Rosaria Simone and Gerhard Tutz and Maria Iannario Subjective heterogeneity in response attitude for multivariate ordinal outcomes . . . . . . . . . . . . . . . . 145--158
Anonymous Pages 1-136 (July 2020) . . . . . . . . 1--136 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Jean-Marie Dufour and Alain Hecq and Alan Wan EcoSta special issue on theoretical econometrics . . . . . . . . . . . . . . 1--2 Rembert De Blander Iterative estimation correcting for error auto-correlation in short panels, applied to lagged dependent variable models . . . . . . . . . . . . . . . . . 3--29 Bai Huang and Tae-Hwy Lee and Aman Ullah Combined estimation of semiparametric panel data models . . . . . . . . . . . 30--45 Silvia Platoni and Laura Barbieri and Daniele Moro and Paolo Sckokai Heteroscedastic stratified two-way EC models of single equations and SUR systems . . . . . . . . . . . . . . . . 46--66 Jhames M. Sampaio and Pedro A. Morettin Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models . . . . . . . . . 67--83 Timothy D. Johnson and Armin Schwartzman Special Issue on Neuroimaging . . . . . 84--84 Charles Fontaine and Ron D. Frostig and Hernando Ombao Modeling non-linear spectral domain dependence using copulas with applications to rat local field potentials . . . . . . . . . . . . . . . 85--103 Ning Dai and Galin L. Jones and Mark Fiecas Bayesian longitudinal spectral estimation with application to resting-state fMRI data analysis . . . . 104--116 Lechuan Hu and Michele Guindani and Norbert J. Fortin and Hernando Ombao A hierarchical Bayesian model for differential connectivity in multi-trial brain signals . . . . . . . . . . . . . 117--135
Anonymous Pages 1-168 (October 2020) . . . . . . . 1--168 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Thomai Filippeli and Richard Harrison and Konstantinos Theodoridis DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation . . . . . 1--27 Gerhard Tutz and Moritz Berger The effect of explanatory variables on income: a tool that allows a closer look at the differences in income . . . . . . 28--41 Manabu Asai and Michael McAleer and Shelton Peiris Realized stochastic volatility models with generalized Gegenbauer long memory 42--54 Simone Maxand Identification of independent structural shocks in the presence of multiple Gaussian components . . . . . . . . . . 55--68 Andrew Phillip and Jennifer Chan and Shelton Peiris On generalized bivariate Student-$t$ Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin . . . . . . . . 69--90 Ananya Lahiri and Rituparna Sen Fractional Brownian markets with time-varying volatility and high-frequency data . . . . . . . . . . 91--107 Eva Cantoni and Xavier de Luna Semiparametric inference with missing data: Robustness to outliers and model misspecification . . . . . . . . . . . . 108--120 Anna Kiriliouk Hypothesis testing for tail dependence parameters on the boundary of the parameter space . . . . . . . . . . . . 121--135 Roberto Colombi Selection tests for possibly misspecified hierarchical multinomial marginal models . . . . . . . . . . . . 136--147 Pavel Krupskii and Harry Joe Flexible copula models with dynamic dependence and application to financial data . . . . . . . . . . . . . . . . . . 148--167
Anonymous Pages 1-172 (January 2021) . . . . . . . 1--172 Anonymous Editorial Board . . . . . . . . . . . . ii--ii C. Gourieroux and A. Monfort Model risk management: Valuation and governance of pseudo-models . . . . . . 1--22 Guanyu Hu Spatially varying sparsity in dynamic regression models . . . . . . . . . . . 23--34 Samuele Centorrino and Jean-Pierre Florens Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors 35--63 Francesca Di Iorio and Stefano Fachin Evaluating restricted common factor models for non-stationary data . . . . . 64--75 William McCausland and Shirley Miller and Denis Pelletier Multivariate stochastic volatility using the HESSIAN method . . . . . . . . . . . 76--94 Tomás del Barrio Castro and Heiko Rachinger Aggregation of Seasonal Long-Memory Processes . . . . . . . . . . . . . . . 95--106 Antonia Arsova and Deniz Dilan Karaman Örsal A panel cointegrating rank test with structural breaks and cross-sectional dependence . . . . . . . . . . . . . . . 107--129 I. C. Demetriou A $ O(n) $ algorithm for the discrete best $ L_4 $ monotonic approximation problem . . . . . . . . . . . . . . . . 130--144 Xin Liu and Grace Y. Yi and Glenn Bauman and Wenqing He Ensembling Imbalanced-Spatial-Structured Support Vector Machine . . . . . . . . . 145--155 Simon Behrendt and Karsten Schweikert A Note on Adaptive Group Lasso for Structural Break Time Series . . . . . . 156--172
Anonymous Pages 1--142 (April 2021) . . . . . . . 1--142 Anonymous Editorial Board . . . . . . . . . . . . ii--ii George Kapetanios and Simon Price and Menelaos Tasiou and Alexia Ventouri State-level wage Phillips curves . . . . 1--11 Marcin Jaskowski and Michael McAleer Spurious cross-sectional dependence in credit spread changes . . . . . . . . . 12--27 Ana Colubi and Erricos Kontoghiorghes \booktitleAdvances of Econometrics and Statistics (EcoSta), 1st issue . . . . . 28--28 Hefei Liu and Xinyuan Song Bayesian analysis of hidden Markov structural equation models with an unknown number of hidden states . . . . 29--43 Christina Stoehr and John A. D. Aston and Claudia Kirch Detecting changes in the covariance structure of functional time series with application to fMRI data . . . . . . . . 44--62 Maria Brigida Ferraro and Paolo Giordani and Maurizio Vichi A class of two-mode clustering algorithms in a fuzzy setting . . . . . 63--78 Lin Cong and Weixin Yao A Likelihood Ratio Test of a Homoscedastic Multivariate Normal Mixture Against a Heteroscedastic Multivariate Normal Mixture . . . . . . 79--88 Natalya Pya Arnqvist and Blaise Ngendangenzwa and Eric Lindahl and Leif Nilsson and Jun Yu Efficient surface finish defect detection using reduced rank spline smoothers and probabilistic classifiers 89--105 Matús Maciak Quantile LASSO in arbitrage-free option markets . . . . . . . . . . . . . . . . 106--116 C. Y. (Chor-yiu) Sin and Cheng-Few Lee Using heteroscedasticity-non-consistent or heteroscedasticity-consistent variances in linear regression . . . . . 117--142
Anonymous Pages 1--188 (July 2021) . . . . . . . . 1--188 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Nan Zou and Dimitris N. Politis Bootstrap seasonal unit root test under periodic variation . . . . . . . . . . . 1--21 Dan Li and Adam Clements and Christopher Drovandi Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo . . . . . . . . . . . . . . . . . 22--46 Francisco Blasques and André Lucas and Andries C. van Vlodrop Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence . . . . . . . . . . . . . . . . 47--57 Pavel Cízek and Chao Hui Koo Jump-preserving varying-coefficient models for nonlinear time series . . . . 58--96 Sebastian Ankargren and Paulina Jonéus Simulation smoothing for nowcasting with large mixed-frequency VARs . . . . . . . 97--113 Michelle Voges and Philipp Sibbertsen Cyclical fractional cointegration . . . 114--129 Alexander Kreuzer and Claudia Czado Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo . . . . . . . . 130--150 Toshihiro Abe and Hironori Fujisawa and Takayuki Kawashima and Christophe Ley EM algorithm using overparameterization for the multivariate skew-normal distribution . . . . . . . . . . . . . . 151--168 Linyuan Li and Pierre Duchesne and Chu Pheuil Liou On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods . . . . . . . . . . . . . . . . 169--187
Anonymous Pages 1--202 (October 2021) . . . . . . 1--202 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Ana Colubi and Erricos Kontoghiorghes \booktitleAdvances of Econometrics and Statistics (EcoSta), 2nd issue . . . . . 1--1 Ilias Chronopoulos and George Kapetanios and Katerina Petrova Kernel-based Volatility Generalised Least Squares . . . . . . . . . . . . . 2--11 Alessandra Amendola and Vincenzo Candila and Giampiero M. Gallo Choosing the frequency of volatility components within the Double Asymmetric GARCH--MIDAS--X model . . . . . . . . . 12--28 Alain Hecq and Elisa Voisin Forecasting bubbles with mixed causal-noncausal autoregressive models 29--45 Kai Wenger and Christian Leschinski Fixed-bandwidth CUSUM tests under long memory . . . . . . . . . . . . . . . . . 46--61 Raffaello Seri and Mario Martinoli and Davide Secchi and Samuele Centorrino Model calibration and validation via confidence sets . . . . . . . . . . . . 62--86 Niko Hauzenberger Flexible Mixture Priors for Large Time-varying Parameter Models . . . . . 87--108 Benedikt Funke and Masayuki Hirukawa Bias correction for local linear regression estimation using asymmetric kernels via the skewing method . . . . . 109--130 Máté Baranyi and Marianna Bolla Iterated conditional expectation algorithm on DAGs and regression graphs 131--152 Marian Hristache and Valentin Patilea Equivalent models for observables under the assumption of missing at random . . 153--165 Matús Maciak Quantile LASSO with changepoints in panel data models applied to option pricing . . . . . . . . . . . . . . . . 166--175 Víctor Morales-Oñate and Federico Crudu and Moreno Bevilacqua Blockwise Euclidean likelihood for spatio-temporal covariance models . . . 176--201
Anonymous Pages 1--178 (January 2022) . . . . . . 1--178 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Stella Hadjiantoni and Erricos John Kontoghiorghes An alternative numerical method for estimating large-scale time-varying parameter seemingly unrelated regressions models . . . . . . . . . . . 1--18 Gery Geenens and Richard Dunn A nonparametric copula approach to conditional Value-at-Risk . . . . . . . 19--37 Wai-Sum Chan On temporal aggregation of some nonlinear time-series models . . . . . . 38--49 Damien C. H. Wee and Feng Chen and William T. M. Dunsmuir Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo . . . . . . . . . 50--68 Thomas Lux Inference for Nonlinear State Space Models: a Comparison of Different Methods applied to Markov-Switching Multifractal Models . . . . . . . . . . 69--95 Guy Mélard An indirect proof for the asymptotic properties of VARMA model estimators . . 96--111 Frederic Ferraty and Alois Kneip and Piotr Kokoszka and Alexander Petersen 2nd Special issue on Functional Data Analysis . . . . . . . . . . . . . . . . 112--113 Rahul Ghosal and Arnab Maity A Score Based Test for Functional Linear Concurrent Regression . . . . . . . . . 114--130 Stéphane Girard and Gilles Stupfler and Antoine Usseglio-Carleve Functional estimation of extreme conditional expectiles . . . . . . . . . 131--158 Alexander Petersen and Chao Zhang and Piotr Kokoszka Modeling Probability Density Functions as Data Objects . . . . . . . . . . . . 159--178
Anonymous Editorial Board . . . . . . . . . . . . ii--ii Salvatore Ingrassia and Tsung-I Lin The 2nd Special issue on Mixture Models 1--2 Timo Adam and Andreas Mayr and Thomas Kneib Gradient boosting in Markov-switching generalized additive models for location, scale, and shape . . . . . . . 3--16 Riccardo Corradin and Luis Enrique Nieto-Barajas and Bernardo Nipoti Optimal stratification of survival data via Bayesian nonparametric mixtures . . 17--38 Lore Dirick and Gerda Claeskens and Andrey Vasnev and Bart Baesens A hierarchical mixture cure model with unobserved heterogeneity for credit risk 39--55 Matthew Fitzpatrick and Michael Stewart Asymptotics for Markov chain mixture detection . . . . . . . . . . . . . . . 56--66 Siva Rajesh Kasa and Vaibhav Rajan Improved Inference of Gaussian Mixture Copula Model for Clustering and Reproducibility Analysis using Automatic Differentiation . . . . . . . . . . . . 67--97 Marica Manisera and Paola Zuccolotto A mixture model for ordinal variables measured on semantic differential scales 98--123 Sanela Omerovic and Herwig Friedl and Bettina Grün Modelling Multiple Regimes in Economic Growth by Mixtures of Generalised Nonlinear Models . . . . . . . . . . . . 124--135 Özge Sahin and Claudia Czado Vine copula mixture models and clustering for non-Gaussian data . . . . 136--158 Jiacheng Xue and Weixin Yao Machine Learning Embedded Semiparametric Mixtures of Regressions with Covariate-Varying Mixing Proportions . . 159--171 Haoxin Zhuang and Liqun Diao and Grace Y. Yi A Bayesian nonparametric mixture model for grouping dependence structures and selecting copula functions . . . . . . . 172--189
Anonymous Pages 1--204 (July 2022) . . . . . . . . 1--204 Anonymous Editorial Board . . . . . . . . . . . . ii--ii McKinley L. Blackburn Testing for coefficient differences across nested linear regression specifications . . . . . . . . . . . . . 1--18 Nicklas Werge and Olivier Wintenberger AdaVol: an Adaptive Recursive Volatility Prediction Method . . . . . . . . . . . 19--35 Holger Dette and Vasyl Golosnoy and Janosch Kellermann Correcting Intraday Periodicity Bias in Realized Volatility Measures . . . . . . 36--52 Imma Valentina Curato and Simona Sanfelici Stochastic leverage effect in high-frequency data: a Fourier based analysis . . . . . . . . . . . . . . . . 53--82 Claudia Pigini and Francesco Bartolucci Conditional inference for binary panel data models with predetermined covariates . . . . . . . . . . . . . . . 83--104 Tore Selland Kleppe and Roman Liesenfeld and Guilherme Valle Moura and Atle Oglend Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility . . . . . . . . . 105--127 Carlos Vladimir Rodríguez-Caballero Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence . . . . . . . 128--146 Marius Hofert and Avinash Prasad and Mu Zhu Multivariate time-series modeling with generative neural networks . . . . . . . 147--164 Maria Laura Battagliola and Helle Sòrensen and Anders Tolver and Ana-Maria Staicu A bias-adjusted estimator in quantile regression for clustered data . . . . . 165--186 Haeran Cho and Karolos K. Korkas High-dimensional GARCH process segmentation with an application to Value-at-Risk . . . . . . . . . . . . . 187--203
Anonymous Pages 1--194 (October 2022) . . . . . . 1--194 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Johannes Bleher and Thomas Dimpfl Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption. . . . . . . . . . . . . . . 1--26 Martin Bladt and Alexander J. McNeil Time series copula models using d-vines and v-transforms . . . . . . . . . . . . 27--48 Alexander Mayer On the local power of some tests of strict exogeneity in linear fixed effects models . . . . . . . . . . . . . 49--74 Yixiao Zhang and Cindy L. Yu and Haitao Li Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: a Bayesian Approach . . . . . . . . . . . . . . . . 75--93 Rafael Kawka Convergence of spectral density estimators in the locally stationary framework . . . . . . . . . . . . . . . 94--115 Jörg Breitung and Sebastian Kripfganz and Kazuhiko Hayakawa Bias-corrected method of moments estimators for dynamic panel data models 116--132 Hua Li and Zhidong Bai and Wing-Keung Wong and Michael McAleer Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization . . . . . . . . . . . . . . 133--150 Yves G. Berger and Valentin Patilea A semi-parametric empirical likelihood approach for conditional estimating equations under endogenous selection . . 151--163 Michael Schatz and Spencer Wheatley and Didier Sornette The ARMA Point Process and its Estimation . . . . . . . . . . . . . . . 164--182 Stefano Antonio Gattone and Francesca Fortuna and Adelia Evangelista and Tonio Di Battista Simultaneous confidence bands for the functional mean of convex curves . . . . 183--193
Anonymous Pages 1--134 (January 2023) . . . . . . 1--134 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Jan F. Kiviet Instrument-free inference under confined regressor endogeneity and mild regularity . . . . . . . . . . . . . . . 1--22 Manabu Asai Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application . . . . . . . . . 23--38 Evgeniy Savinov and Victoria Shamraeva On a Rosenblatt-type transformation of multivariate copulas . . . . . . . . . . 39--48 Michele Guindani and F. Javier Rubio Editorial: Special issue on Biostatistics . . . . . . . . . . . . . 49--50 Ashok Chaurasia Combining rules for $F$- and Beta-statistics from multiply-imputed data . . . . . . . . . . . . . . . . . . 51--65 Sarah J. C. Craig and Ana M. Kenney and Junli Lin and Ian M. Paul and Leann L. Birch and Jennifer S. Savage and Michele E. Marini and Francesca Chiaromonte and Matthew L. Reimherr and Kateryna D. Makova Constructing a polygenic risk score for childhood obesity using functional data analysis . . . . . . . . . . . . . . . . 66--86 Christiana Kartsonaki and D. R. Cox Regression Reconstruction from a Retrospective Sample . . . . . . . . . . 87--92 Subhadeep Mukhopadhyay and Kaijun Wang On The Problem of Relevance in Statistical Inference . . . . . . . . . 93--109 Alexandra Nießl and Arthur Allignol and Jan Beyersmann and Carina Mueller Statistical inference for state occupation and transition probabilities in non-Markov multi-state models subject to both random left-truncation and right-censoring . . . . . . . . . . . . 110--124 Yanqing Yi and Xikui Wang A Markov decision process for response adaptive designs . . . . . . . . . . . . 125--133
Anonymous Pages 1--160 (April 2023) . . . . . . . 1--160 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Ana Colubi and Erricos Kontoghiorghes Editorial Special issues on the 20th anniversary of the CMStatistics (Computational and Methodological Statistics) . . . . . . . . . . . . . . 1--2 Marco Lippi and Manfred Deistler and Brian Anderson High-Dimensional Dynamic Factor Models: a Selective Survey and Lines of Future Research . . . . . . . . . . . . . . . . 3--16 M. Hashem Pesaran and Ron P. Smith Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios . . . . . . . . . 17--30 Jennifer L. Castle and Jurgen A. Doornik and David F. Hendry Robust Discovery of Regression Models 31--51 James G. MacKinnon Fast cluster bootstrap methods for linear regression models . . . . . . . . 52--71 Andew Harvey and Yin Liao Dynamic Tobit models . . . . . . . . . . 72--83 Ana Colubi and Ana Belén Ramos-Guajardo Fuzzy sets and (fuzzy) random sets in \booktitleEconometrics and Statistics 84--98 Thomas Kneib and Alexander Silbersdorff and Benjamin Säfken Rage Against the Mean --- a Review of Distributional Regression Approaches . . 99--123 Daniel Ahfock and Geoffrey J. McLachlan Semi-Supervised Learning of Classifiers from a Statistical Perspective: a Brief Review . . . . . . . . . . . . . . . . . 124--138 Su Chen and Stephen G. Walker A New Statistic for Bayesian Hypothesis Testing . . . . . . . . . . . . . . . . 139--152 Christophe Ley When the score function is the identity function --- a tale of characterizations of the normal distribution . . . . . . . 153--160
Anonymous Pages 1--196 (July 2023) . . . . . . . . 1--196 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Marc Hallin and Carlos Trucíos Forecasting value-at-risk and expected shortfall in large portfolios: a general dynamic factor model approach . . . . . 1--15 Amanda M. Y. Chu and Yasuhiro Omori and Hing-yu So and Mike K. P. So A Multivariate Randomized Response Model for Sensitive Binary Data . . . . . . . 16--35 Masayuki Hirukawa Robust Covariance Matrix Estimation in Time Series: a Review . . . . . . . . . 36--61 Tommaso Proietti and Diego J. Pedregal Seasonality in High Frequency Time Series . . . . . . . . . . . . . . . . . 62--82 Zhaoxing Gao and Ruey S. Tsay A Two-Way Transformed Factor Model for Matrix-Variate Time Series . . . . . . . 83--101 Christopher M. Hans and Mario Peruggia and Junyan Wang Empirical Bayes Model Averaging with Influential Observations: Tuning Zellner's $g$ Prior for Predictive Robustness . . . . . . . . . . . . . . . 102--119 Antonio Canale and Antonio Lijoi and Bernardo Nipoti and Igor Prünster Inner spike and slab Bayesian nonparametric models . . . . . . . . . . 120--135 Toshihiro Abe and Yoichi Miyata and Takayuki Shiohama Bayesian estimation for mode and anti-mode preserving circular distributions . . . . . . . . . . . . . 136--160 Jean-Michel Galharret and Anne Philippe Bayesian analysis for mediation and moderation using $g$-priors . . . . . . 161--172 Yuri Goegebeur and Armelle Guillou and Nguyen Khanh Le Ho and Jing Qin A Weissman-type estimator of the conditional marginal expected shortfall 173--196
Anonymous Pages 1--172 (October 2023) . . . . . . 1--172 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Monica Billio and Massimiliano Caporin and Lorenzo Frattarolo and Loriana Pelizzon Networks in risk spillovers: a multivariate GARCH perspective . . . . . 1--29 Cathy W. S. Chen and Toshiaki Watanabe and Edward M. H. Lin Bayesian estimation of realized GARCH-type models with application to financial tail risk management . . . . . 30--46 Zefang Song and Xinyuan Song and Yuan Li Bayesian Analysis of ARCH-M model with a dynamic latent variable . . . . . . . . 47--62 Helga Wagner and Sylvia Frühwirth-Schnatter and Liana Jacobi Factor-augmented Bayesian treatment effects models for panel outcomes . . . 63--80 Michael Stanley Smith Implicit Copulas: an Overview . . . . . 81--104 Eric Beutner A review of effective age models and associated non- and semiparametric methods . . . . . . . . . . . . . . . . 105--119 Takeshi Emura and Ching-Chieh Lai and Li-Hsien Sun Change point estimation under a copula-based Markov chain model for binomial time series . . . . . . . . . . 120--137 Heiko Großmann and Steven G. Gilmour Partially orthogonal blocked three-level response surface designs . . . . . . . . 138--154 Ping-Yang Chen and Ray-Bing Chen and Yu-Shi Chen and Weng Kee Wong Numerical Methods for Finding $A$-optimal Designs Analytically . . . . 155--162 Matteo Borrotti and Francesco Sambo and Kalliopi Mylona Multi-objective optimisation of split-plot designs . . . . . . . . . . . 163--172
Anonymous Pages 1--282 (January 2024) . . . . . . 1--282 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Josu Arteche Bootstrapping long memory time series: Application in low frequency estimators 1--15 Degui Li Estimation of Large Dynamic Covariance Matrices: a Selective Review . . . . . . 16--30 Kazuhiko Hayakawa Recent development of covariance structure analysis in economics . . . . ?? Zacharias Psaradakis and Martin Sola Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities . . . . . . . . . . . . . 49--63 Claudio Morana A new macro-financial condition index for the euro area . . . . . . . . . . . 64--87 Richard T. Baillie and Dooyeon Cho and Seunghwa Rho Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs . . . . . . . . 88--112 Monica Billio and Roberto Casarin and Michele Costola and Matteo Iacopini COVID-19 spreading in financial networks: a semiparametric matrix regression model . . . . . . . . . . . . 113--131 Amy Y. Guisinger and Michael T. Owyang and Daniel Soques Industrial Connectedness and Business Cycle Comovements . . . . . . . . . . . 132--149 Eva Cantoni and Nad\`ege Jacot and Paolo Ghisletta Review and comparison of measures of explained variation and model selection in linear mixed-effects models . . . . . ?? Ioannis Kalogridis and Stefan Van Aelst Robust penalized spline estimation with difference penalties . . . . . . . . . . 169--188 Marco Riani and Anthony Curtis Atkinson and Aldo Corbellini and Alessio Farcomeni and Fabrizio Laurini Information Criteria for Outlier Detection Avoiding Arbitrary Significance Levels . . . . . . . . . . 189--205 Kris Boudt and Ewoud Heyndels Robust interactive fixed effects . . . . 206--223 JooChul Lee and Elizabeth D. Schifano and HaiYing Wang Fast Optimal Subsampling Probability Approximation for Generalized Linear Models . . . . . . . . . . . . . . . . . 224--237 Xiao-Wen Chang and Zhilong Chen and Jinming Wen An extended Babai method for estimating linear model based integer parameters 238--251 Gaspard Bernard and Thomas Verdebout On some multivariate sign tests for scatter matrix eigenvalues . . . . . . . 252--260 Thomas Muschinski and Georg J. Mayr and Thorsten Simon and Nikolaus Umlauf and Achim Zeileis Cholesky-based multivariate Gaussian regression . . . . . . . . . . . . . . . 261--281
Anonymous Pages 1--132 (April 2024) . . . . . . . 1--132 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Karim M. Abadir and Walter Distaso and Liudas Giraitis Partially one-sided semiparametric inference for trending persistent and antipersistent processes . . . . . . . . 1--14 P. de Zea Bermudez and J. Miguel Marín and Håvard Rue and Helena Veiga Integrated nested Laplace approximations for threshold stochastic volatility models . . . . . . . . . . . . . . . . . 15--35 Bertille Antoine and Eric Renault GMM with Nearly-Weak Identification . . 36--59 Daniel Felix Ahelegbey and Monica Billio and Roberto Casarin Modeling Turning Points in the Global Equity Market . . . . . . . . . . . . . 60--75 Haeran Cho and Claudia Kirch Data segmentation algorithms: Univariate mean change and beyond . . . . . . . . . 76--95 Peng Zhong and Raphaël Huser and Thomas Opitz Exact Simulation of Max-Infinitely Divisible Processes . . . . . . . . . . 96--109 Maria Brigida Ferraro Fuzzy $k$-Means: history and applications . . . . . . . . . . . . . . 110--123 Cheng Yong Tang A model specification test for semiparametric nonignorable missing data modeling . . . . . . . . . . . . . . . . 124--132
Anonymous Pages 1--130 (July 2024) . . . . . . . . 1--130 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Alessandro Barbarino and Efstathia Bura Forecasting Near-equivalence of Linear Dimension Reduction Methods in Large Panels of Macro-variables . . . . . . . 1--18 Rong Peng and Zudi Lu Semiparametric Averaging of Nonlinear Marginal Logistic Regressions and Forecasting for Time Series Classification . . . . . . . . . . . . . 19--37 Antonio Fazzi and Alexander Kukush and Ivan Markovsky Bias correction for Vandermonde low-rank approximation . . . . . . . . . . . . . 38--48 Carlos Lamarche and Xuan Shi and Derek S. Young Conditional Quantile Functions for Zero-Inflated Longitudinal Count Data 49--65 Farrukh Javed and Nicola Loperfido and Stepan Mazur Edgeworth expansions for multivariate random sums . . . . . . . . . . . . . . 66--80 Seung Woo Kwak and Jeongyoun Ahn and Jaewoo Lee and Cheolwoo Park Differentially Private Goodness-of-Fit Tests for Continuous Variables . . . . . 81--99 Konstantinos Fokianos Multivariate Count Time Series Modelling 100--116 Tingting Zhang and Minh Pham and Guofen Yan and Yaotian Wang and Sara Medina-DeVilliers and James A. Coan Spatial-Temporal Analysis of Multi-Subject Functional Magnetic Resonance Imaging Data . . . . . . . . . 117--129
Anonymous Pages 1--160 (October 2024) . . . . . . 1--160 Anonymous Editorial Board . . . . . . . . . . . . ii--ii Jörn Sass and Anna-Katharina Thös Risk reduction and portfolio optimization using clustering methods 1--16 Christian M. Hafner and Linqi Wang Dynamic portfolio selection with sector-specific regularization . . . . . 17--33 Makoto Takahashi and Toshiaki Watanabe and Yasuhiro Omori Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility . . . . . . . . . . 34--56 Annastiina Silvennoinen and Timo Teräsvirta Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model . . . 57--72 Yuzhong Cheng and Nicole Hufnagel and Hiroki Masuda Estimation of ergodic square-root diffusion under high-frequency sampling 73--87 Yunpeng Zhou and Kam Chuen Yuen Estimation in the High Dimensional Additive Hazard Model with $ l_0 $ Type of Penalty . . . . . . . . . . . . . . . 88--97 Mattias Villani and Matias Quiroz and Robert Kohn and Robert Salomone Spectral Subsampling MCMC for Stationary Multivariate Time Series with Applications to Vector ARTFIMA Processes 98--121 Hernando Ombao and Marco Pinto Spectral Dependence . . . . . . . . . . 122--159