Econometrics — Editors

Editors

Marc S. Paolella
Editor-in-Chief
Department of Banking and Finance, University of Zurich, Zurich, Switzerland
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Interests: computational statistics; volatility modeling; large-scale multivariate density prediction of financial asset returns; portfolio optimization
Special Issues and Collections in MDPI journals
Kerry Patterson
Founding Editor-in-Chief
Department of Economics, The University of Reading, Whiteknights, PO Box 217, READING, Berkshire, RG6 6AH, UK
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Interests: time series econometrics; the econometrics of nonstationary processes; national income and accounts data; construction and revision; Macroeconomic forecasting models; construction and evaluation
In Choi
Deputy Editor-in-Chief
Department of Economics, Sogang University, 35 Baekbeom-ro, Mapo-gu Seoul, 121-742 Korea
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Interests: time series; panel data
Special Issues and Collections in MDPI journals
Steve Cook
Deputy Editor-in-Chief
Department of Economics, Swansea University, SA2 8PP, Wales, UK
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Interests: applied econometrics; unit root and cointegration analysis; non-linear and asymmetric adjustment; financial econometrics
Jeffrey S. Racine
Deputy Editor-in-Chief
Department of Economics, McMaster University, 1280 Main Street West, Hamilton, Ontario, L8S 4M4, Canada
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Interests: nonparametric estimation and inference; cross-validatory model selection; frequentist model averaging; nonparametric instrumental methods; entropy-based measures of dependence and their statistical underpinnings

Editorial Board

Tomohiro Ando
Melbourne Business School, University of Melbourne, 200 Leicester Street, Carlton 3053, Australia
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Interests: Bayesian econometrics; economic forecasting; financial econometrics; high-dimensional modeling; model selection; Monte Carlo simulation; supply and demand analysis
Special Issues and Collections in MDPI journals:
Special Issue: Econometric Model Selection
Manabu Asai
Faculty of Economics, Soka University, Japan
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Interests: econometrics; especially times series analysis; financial econometrics; statistics; forecasting
Richard A. Ashley
Department of Economics, Virginia Polytechnic Institute and State University, Blacksburg, Virginia 24061, USA
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Interests: granger causality testing; nonlinear time series modeling; instrumental variables validity; regression parameter frequency dependence; cluster analysis
Stelios Bekiros
1. Department of Economics, European University Institute (EUI), Via delle Fontanelle 18, I-50014 Florence, Italy
2.IPAG Lab, IPAG Business School, 184, bd Saint-Germain, 75006 Paris, France
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Interests: spectral and time series econometrics; nonlinear chaotic dynamics; extreme value theory; machine learning; Bayesian statistics; wavelets; Kalman filtering; DSGE modeling; behavioral economics; monetary economics; macro-financial theory; econophysics and complex systems
Special Issues and Collections in MDPI journals:
Special Issue: Entropic Applications in Economics and Finance
Tim Bollerslev
Department of Economics, Duke University, US
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Interests: volatility; time series and financial econometrics; asset pricing finance
Christian Brownlees
Department of Economics and Business, Pompeu Fabra University, Ramon Trias Fargas 25-27, Office 2-E10, 08005, Barcelona, Spain
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Interests: network analysis; nonlinear time series; forecasting; statistical computing; empirical finance; financial high frequency data
Special Issues and Collections in MDPI journals:
Special Issue: Econometric Analysis of Networks
Zongwu Cai
The Charles Oswald Professor of Econometrics & Professor of Economics, Department of Economics, University of Kansas, Lawrence, KS 66045, USA
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Interests: financial econometrics; quantitative finance and risk management; theoretical and applied econometrics; applied econometrics in labor economics and macroeconomics; nonlinear time series modeling and panel data analysis; nonparametric curve estimation and tests; survival and longitudinal analysis with applications in economics and finance
Massimiliano Caporin
Department of Statistical Sciences "Marco Fanno", University of Padova, Italy
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Interests: financial time series; portfolio allocation and management; market risk measurement; high frequency data analysis and trading strategies
Special Issues and Collections in MDPI journals:
Special Issue: Big Data in Economics and Finance
Roberto Casarin
Department of Economics, University Ca' Foscari, Venice, San Giobbe 873/b, 30121 Venezia, Italy
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Interests: Bayesian econometrics: graphical models, Bayesian nonparametric, Dirichlet processes, Markov chain Monte Carlo, sequential Monte Carlo; time series analysis: VAR, stochastic volatility, stochastic correlation, Markov-switching; forecasting: combination, calibration
Special Issues and Collections in MDPI journals:
Special Issue: Computational Complexity in Bayesian Econometric Analysis
Isabel Casas
Department of Business and Economics, University of Southern Denmark, Campusvej 55, DK-5230 Odense, Denmark
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Interests: econometrics: semiparametric and nonparametric estimation; time series econometrics: volatility and interest rates estimation; simulation and modelling
Special Issues and Collections in MDPI journals:
Special Issue: Nonparametric Methods in Econometrics
Marcus Chambers
Department of Economics, University of Essex, UK
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Interests: time series econometrics; continuous time models and issues of temporal aggregation; jackknife methods; mixed frequency data
Chia-Lin Chang
Department of Applied Economics and Department of Finance, National Chung Hsing University, 250 Kuo Kuang Road, Taichung 402, Taiwan
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Interests: applied econometrics; financial econometrics; energy finance; time series analysis; forecasting; empirical industrial organisation; risk management
Special Issues and Collections in MDPI journals:
Special Issue: Selected Papers from the Fifth International Conference on Mathematics in Finance (MiF) 2014, Organized by North-West University, University of Cape Town and University of Johannesburg, South Africa
Boris Choy
Discipline of Business Analytics, The University of Sydney, Australia
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Interests: Bayesian inference; robust inference; heavy-tailed distributions; scale mixture distributions; stochastic volatility; survival analysis; risk management; non-life insurance
Adam Clements
Queensland University of Technology, Brisbane, GPO Box 2434, Brisbane, QLD 4001, Australia
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Interests: electricity prices; price risk; multivariate models; volatility; forecasting
Philip Hans Franses
Erasmus University Rotterdam, Erasmus School of Economics, Econometrics, Burgemeester Oudlaan 50, PO Box 1738 3000 DR, Rotterdam, The Netherlands
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Qiang Fu
School of Finance, Central University of Finance and Economics, 39 South College Road, Beijing, 100081, China
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Interests: econometrics; operational research; software development; time-series analysis; object-oriented (OO) technologies; telecommunication engineering; development of integrated supply chain management (SCM) system; Bayesian belief network (BBN) modeling
David E. Giles
Department of Economics, University of Victoria, Canada
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Interests: time series; Bayesian econometrics; distribution theory; bias reduction methods; saddlepoint methods; extreme value theory
Joachim Grammig
Department of Econometrics, Statistics and Empirical Economics, University of Tübingen, Germany
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Interests: financial econometrics; dynamic empirical asset pricing; market microstructure; econometric methodology; financial economics; simulation-based estimation methods; empirical macro-finance
Christian Hafner
CORE and Institute of statistics, biostatistics and actuarial sciences, Université catholique de Louvain, Louvain-la-neuve, Belgium
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Interests: financial econometrics
Nikolaus Hautsch
Department of Statistics and Operations Research, University of Vienna, Austria
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Interests: financial econometrics; econometric modelling of financial high-frequency data; time series econometrics; volatility estimation; empirical market microstructure; estimation of systemic risk
Special Issues and Collections in MDPI journals:
Special Issue: Financial High-Frequency Data
Javier Hidalgo
Department of Economics, The London School of Economics, Houghton Street, London WC2A 2AE, UK
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Interests: time series; bootstrap methods
Christophe Hurlin
Faculty of Law, Economics and Management, Orleans University, Rue de Blois, 45000 Orléans, France
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Interests: financial econometrics; risk management; risk measures; forecasting; validation tests; panel data econometrics
Christian Kleiber
Faculty of Business and Economics, Quantitative Methods Unit, Universität Basel, Peter Merian-Weg 6, 4002 Basel, Switzerland
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Interests: economic size distributions; inequality measurement; statistical distribution theory; microeconometrics; time series analysis; applied statistics; econometric and statistical computing
Kajal Lahiri
Distinguished Professor of Economics, and Health Policy, Management & Behavior, State University of New York, 1400 Washington Avenue, Albany, NY 12222, USA
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Interests: econometric theory; forecasting; applied econometrics; panel data analysis; health econometrics; limited dependent and qualitative variables; probability and density forecasts; forecast combination; Bayesian analysis
Carlos Lamarche
Department of Economics, University of Kentucky, 335A Gatton College of Business and Economics, Lexington, KY 40506-0034, USA
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Interests: quantile regression; panel data; theoretical and applied econometrics; microeconometrics; applied microeconomics
Emese Lazar
ICMA Centre, Henley Business School, University of Reading, UK
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Interests: financial econometrics; volatility modelling; time series; financial risk measurement; derivatives pricing
Tae-Hwy Lee
Department of Economics University of California, Riverside 900 University Avenue Riverside, California 92521-0427, USA
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Interests: econometrics; financial econometrics; forecasting; time series analysis; macroeconometrics
Richard C. Lindrooth
Department of Health Services, Management and Policy, Colorado School of Public Health, University of Colorado, Anschutz Medical Campus, Aurora, CO 80045, USA
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Interests: applied econometrics; health economics; applied industrial organization
Shiqing Ling
Department of Mathematics, Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong
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Interests: time series analysis; asymptotic theory of econometrics; financial econometrics
Robin L. Lumsdaine
Department of Finance and Real Estate, American University, Washington, DC, USA
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Interests: econometrics; time series analysis; financial econometrics; applied econometrics and forecasting; international finance; quantitative risk management; economics of aging; survey methodology
Jenny Lye
Department of Economics, University of Melbourne, Melbourne, Vic, 3010, Australia
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Interests: applied econometrics; econometric theory; higher education; estimation of confidence intervals
Loriano Mancini
University of Lugano and Swiss Finance Institute
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Interests: volatility; liquidity; option pricing
Michael McAleer
1. Department of Quantitative Finance, National Tsing Hua University, Taiwan;
2. Discipline of Business Analytics, University of Sydney Business School, Australia;
3. Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands;
4. Department of Quantitative Economics, Complutense University of Madrid, Spain;
5. Institute of Advanced Sciences, Yokohama National University, Japan

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Interests: Theoretical and applied econometrics; financial econometrics; theoretical and applied statistics; time series analysis; empirical finance; risk management; applied mathematics
Special Issues and Collections in MDPI journals:
Special Issue: Risk Measures with Applications in Finance and Economics
Alexander J. McNeil
The York Management School, University of York, Freboys, Lane, York YO10 5GD, UK
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Interests: quantitative risk management; market risk; credit risk; extreme values; dependence models; copulas; model validation
Marcelo Medeiros
Department of Economics, Pontifical Catholic University of Rio de Janeiro (PUC-Rio), Brazil
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Interests: econometrics; nonlinear time-series models; financial econometrics; classification and pattern recognition; electricity load forecasting
Elisabetta Michetti
Department of Economics and Law University of Macerata Macerata, 62100, Italy
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Interests: dynamical systems and their applications in economics and finance; local and global stability; bifurcation theory; analysis of complex behaviors; numerical simulations
Gabriel Montes-Rojas
Department of Economics, City University London, London EC1V 0HB, UK
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Interests: panel data; quantile regression; testing; econometric theory; development economics
Special Issues and Collections in MDPI journals:
Special Issue: Quantile Methods
Yoshihiko Nishiyama
Institute of Economic Research, Kyoto University, Sakyo-ku, Kyoto 606-8501, Japan
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Interests: nonparametric; semiparametric econometrics; specification testing
Ryo Okui
NYU Shanghai, Pudong Shanghai, China
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Interests: panel data
Peter L. Pedroni
Department of Economics, Williams College, 24 Hopkins Hall Drive, Williamstown, MA 01267, USA
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Interests: panel time series econometrics; nonstationary panel methods; empirical growth; international monetary economics
Special Issues and Collections in MDPI journals:
Special Issue: Panel Time Series Methods
Teodosio Perez-Amaral
Head, Department of Quantitative Economics, Complutense University of Madrid 28223, Madrid, Spain
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Interests: economics of telecommunications; demand of telecommunications services; panel data econometrics; model selection in econometric models; RETINA (Relevant Transformations of the Inputs Network Approach); finance; VaR; strategies for risk communication
Tommaso Proietti
Dipartimento di Economia e Finanza, Università di Roma 'Tor Vergata'
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Interests: time series analysis; forecasting and signal extraction; business cycles
Duo Qin
Department of Economics, SOAS, University of London
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Interests: history and methodology of econometrics; applied econometric model design
Francesco Ravazzolo
Affiliation: Faculty of Economics and Management, Free University of Bozen/Bolzano, Universitätsplatz 1, 39100 Bozen-Bolzano, Italy
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Interests: Bayesian econometrics; macroeconomics; financial econometrics
Special Issues and Collections in MDPI journals:
Special Issue: Computational Complexity in Bayesian Econometric Analysis
Jean-Francois Richard
Department of Economics, University of Pittsburgh, Pittsburgh, PA 15260, USA
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Interests: time series econometric modeling; state-space models; particle filters; Monte Carlo simulation; exogeneity; encompassing; empirical auctions; Bayesian methods
Aris Spanos
Department of Economics, Virginia Tech, USA
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Interests: econometric modeling and inference; financial econometrics; econometric methodology; philosophical foundations of statistics; philosophy of science; history of probability; statistics and econometrics
Norman R. Swanson
Department of Economics, Rutgers University, USA
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Interests: financial and macro econometrics; time series analysis and forecasting
Vassilis Tselios
Department of Planning and Regional Development, University of Thessaly, School of Engineering, Greece
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Interests: regional economic development and growth; regional policy; labour markets; inequalities; education; externalities; social welfare; welfare state; urbanisation; migration; decentralisation; innovation; social cohesion; neighbourhood effects; natural hazards; network analysis; applied econometrics (esp. cross-sectional and panel data techniques); applied multivariate analysis (esp. structural equation models); spatial statistics; GIS
Aman Ullah
4104 Sproul Hall, Department of Economics, University Of California, Riverside, CA 92521,USA
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Interests: econometric theory; nonparametric econometrics; finite sample econometrics; cross sectional and time series econometrics; panel and spatial econometrics
Tony S. Wirjanto
1 School of Accounting & Finance (SAF), Faculty of Arts, University of Waterloo, Waterloo, Ontario, Canada N2L 3G1, Canada
2 Department of Statistics & Actuarial Science (SAS), Faculty of Mathematics, University of Waterloo, Waterloo, Ontario, Canada N2L 3G1, Canada
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Interests: econometrics and statistics; financial econometrics and financial statistics; financial time series; mathematical finance; finance
Special Issues and Collections in MDPI journals:
Special Issue: Recent Developments of Financial Econometrics
Michael Wolf
Department of Economics, University of Zurich, Switzerland
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Interests: large covariance matrices; multiple testing; resampling methods; financial econometrics

Journal Contact

MDPI AG
Econometrics Editorial Office
St. Alban-Anlage 66, 4052 Basel, Switzerland
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Tel. +41 61 683 77 34
Fax: +41 61 302 89 18
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Contact Details Submit to Econometrics Edit a special issue Review for Econometrics
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