Special Issue "Applied Econometrics"

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074).

Deadline for manuscript submissions: 31 December 2018

Special Issue Editor

Guest Editor
Prof. Dr. Chia-Lin Chang

Department of Applied Economics and Department of Finance, National Chung Hsing University, 145 Xingda Road, Taichung 40227, Taiwan
Website | E-Mail
Interests: applied econometrics; financial econometrics; energy finance; time series analysis; forecasting; empirical industrial organisation; risk management

Special Issue Information

Dear Colleagues,

This Special Issue is concerned with the broad topic of Applied Econometrics, and includes any novel theoretical or empirical research associated with the application of econometrics.

Theoretical contributions should be associated with an empirical example, or directions in which the novel ideas might be applied.

The Special Issue may be associated with any contributions in: Theoretical and applied econometrics; economics; theoretical and applied financial econometrics; quantitative finance; risk; financial management; theoretical and applied statistics; time series analysis; forecasting; mathematics; energy economics; energy finance; agricultural economics; informatics; data mining; bibliometrics; and international rankings of journals and academics.

Distinguished Prof. Dr. Chia-Lin Chang
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 350 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • theoretical and applied econometrics
  • economics
  • theoretical and applied financial econometrics
  • quantitative finance
  • risk
  • financial management
  • theoretical and applied statistics
  • time series analysis
  • forecasting
  • mathematics
  • energy economics
  • energy finance
  • agricultural economics
  • informatics
  • data mining
  • bibliometrics
  • international rankings of journals and academics.

Published Papers (3 papers)

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Research

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Open AccessArticle FHA Loans in Foreclosure Proceedings: Distinguishing Sources of Interdependence in Competing Risks
J. Risk Financial Manag. 2018, 11(1), 2; https://doi.org/10.3390/jrfm11010002
Received: 31 October 2017 / Revised: 15 December 2017 / Accepted: 18 December 2017 / Published: 28 December 2017
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Abstract
A mortgage borrower has several options once a foreclosure proceedings is initiated, mainly default and prepayment. Using a sample of FHA mortgage loans, we develop a dependent competing risks framework to examine the determinants of time to default and time to prepayment once
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A mortgage borrower has several options once a foreclosure proceedings is initiated, mainly default and prepayment. Using a sample of FHA mortgage loans, we develop a dependent competing risks framework to examine the determinants of time to default and time to prepayment once the foreclosure proceedings is initiated. More importantly, we examine the interdependence between default and prepayment, through both the correlation of the unobserved heterogeneity terms and the preventive behavior of the individual mortgage borrowers. We find that time to default and time to prepayment are affected by several factors, such as the Loan-To-Value ratio (LTV), FICO score and unemployment rate. In addition, we find strong evidence that supports the existence of interdependence between the default and prepayment hazards through both the correlation of the unobserved heterogeneity terms and the preventive behavior of individual mortgage borrowers. We show that neglecting the interdependence through the preventive behavior of the individual mortgage borrowers can lead to biased estimates and misleading inference. Full article
(This article belongs to the Special Issue Applied Econometrics)
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Open AccessFeature PaperArticle Recovering Historical Inflation Data from Postage Stamps Prices
J. Risk Financial Manag. 2017, 10(4), 21; https://doi.org/10.3390/jrfm10040021
Received: 17 October 2017 / Revised: 7 November 2017 / Accepted: 9 November 2017 / Published: 14 November 2017
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Abstract
For many developing countries, historical inflation figures are rarely available. We propose a simple method that aims to recover such figures of inflation using prices of postage stamps issued in earlier years. We illustrate our method for Suriname, where annual inflation rates are
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For many developing countries, historical inflation figures are rarely available. We propose a simple method that aims to recover such figures of inflation using prices of postage stamps issued in earlier years. We illustrate our method for Suriname, where annual inflation rates are available for 1961 until 2015, and where fluctuations in inflation rates are prominent. We estimate the inflation rates for the sample 1873 to 1960. Our main finding is that high inflation periods usually last no longer than 2 or 3 years. An Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model for the recent sample and for the full sample with the recovered inflation rates shows the relevance of adding the recovered data. Full article
(This article belongs to the Special Issue Applied Econometrics)
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Figure 1

Review

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Open AccessFeature PaperReview Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections
J. Risk Financial Manag. 2018, 11(1), 15; https://doi.org/10.3390/jrfm11010015
Received: 4 February 2018 / Revised: 7 March 2018 / Accepted: 13 March 2018 / Published: 20 March 2018
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Abstract
The paper provides a review of the literature that connects Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology, and discusses research issues that are related to the various disciplines. Academics could develop theoretical models and subsequent econometric and statistical models to
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The paper provides a review of the literature that connects Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology, and discusses research issues that are related to the various disciplines. Academics could develop theoretical models and subsequent econometric and statistical models to estimate the parameters in the associated models, as well as conduct simulation to examine whether the estimators in their theories on estimation and hypothesis testing have good size and high power. Thereafter, academics and practitioners could apply theory to analyse some interesting issues in the seven disciplines and cognate areas. Full article
(This article belongs to the Special Issue Applied Econometrics)
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