Financial Econometrics and Quantitative Economic Analysis

1. Behind the “Curtain”

Since the foundational contributions of Katarina Juselius and Søren Johansen on cointegration, along with earlier works by influential scholars like Clive Granger, the field has witnessed significant developments. Their groundbreaking research laid the groundwork for a deeper understanding of integrated series and their application to econometrics. Through their efforts, we continually improve and refine methodologies, ensuring that the scientific community remains on a path of progress. However, the continuous challenge is to build upon their foundational theories and explore new avenues and perspectives that push the boundaries of knowledge. The aim of this Special Issue is to foster innovation and encourage younger generations of scholars to engage with new concepts in econometrics and quantitative economics. By studying works ranging from foundational texts to contemporary journal articles, new researchers can deepen their understanding and contribute to the ongoing evolution of econometrics. By integrating historical insights with modern analytical techniques, we aim to foster continual growth and discovery, ensuring that our legacy inspires new generations and scientific journals to push the boundaries of knowledge (Mosconi & Paruolo, 2022; Juselius, 2021).

2. The Special Issue Development

As we conclude this Special Issue titled Financial Econometrics and Quantitative Economic Analysis, we extend our heartfelt gratitude to all the authors, reviewers, and Guest Editors whose exceptional contributions have made this publication a remarkable success. This hardcopy edition is a testament to the collaborative spirit and rigorous scholarship that define our field. We are honored to present diverse research that enhances our understanding of financial econometrics and quantitative economic analysis and establishes innovative methodologies and practical applications in these essential areas.

The varied studies presented in this Special Issue have showcased cutting-edge advancements, including novel asset pricing models, high-frequency financial data analysis, innovative volatility modelling, and macroeconomic forecasting approaches. Each article contributes uniquely to offering a richer, more nuanced perspective on the relationship between economic theory and financial practice. Our contributors have examined the dynamic intersections of empirical research and policy analysis, offering insights poised to influence academic inquiry and industry practices for years.

When reading this hardcopy edition, we hope you find it a record of pioneering research and a source of inspiration for future studies and collaborations. Thank you for joining us on this journey of gathering deeper insights and conducting more robust analyses in financial econometrics and quantitative economic analysis. We look forward to witnessing the continued evolution of our discipline and the innovative research that will build upon the foundations detailed in these pages.

3. The Collection of Econometrics

With this in mind, the Journal of Risk and Financial Management presents a collection of ten peer-reviewed articles that enhance our understanding of complex financial phenomena. This edition features empirical studies and theoretical explorations of challenges in global financial markets, asset pricing dynamics, and sustainable finance. The articles examine issues like the impact of geopolitical risk, the role of anti-corruption measures, and central bank interventions on pricing. They also discuss digital transformation in tourism, corporate collaborations, and applications of real options theory in sustainability. These insights provide valuable analytical frameworks for scholars and policymakers to inform research and decision-making.

5 February 2025.

Imed Medhioub studied herding behaviour in Middle East Stock Markets (MENA) stock markets in response to geopolitical risk, using daily data from 4 January 2011 to 31 December 2023, for companies in Egypt, Jordan, Lebanon, Morocco, Saudi Arabia, and Tunisia. He found that higher geopolitical risk leads to increased dispersion in Lebanon’s stock market and raises the likelihood of herding in Jordan and Tunisia’s markets.

3 February 2025.

Recognising corruption as a barrier to economic growth, coauthors Recep Ali Küçükçolak, Gözde Bozkurt, Necla İlter Küçükçolak, Adnan Veysel Ertemel, and Sami Küçükoğlu examined the impact of anti-corruption efforts on financial development in G7 and E7 countries. Their findings reveal a significant cointegration relationship, indicating that anti-corruption measures positively influence financial development, especially in E7 economies. The Westerlund test confirmed the robustness of these results, emphasising the need for tailored anti-corruption policies that consider each country’s unique economic context.

3 February 2025.

Recognising that the stability of the financial cycle is essential for the effective formulation and implementation of macroprudential policy in South Africa; author Khwazi Magubane proposed that proactive and aggressive measures are necessary in the years leading up to potential crises. Additionally, the study’s findings highlight the importance of accounting for macroeconomic conditions when calibrating policies related to the financial cycle.

30 September 2024.

The coauthors Carlos J. Rincon and Darko B. Vukovic investigate the impact of central bank interventions on the pricing dynamics of selected stock markets. This research significantly contributes to understanding financial asset pricing, particularly by clarifying how interventions in government debt securities can create price distortions in specific equity markets.

29 September 2024.

The author Andrejs Čirjevskis, in his research, aimed to address a gap in the literature by investigating the applicability of real options theory to organisations that enhance sustainability policies while focusing on disciplined capital allocation through exit strategies. His study concludes with a review of the theoretical contributions of this paper to fundamental options theory, as well as the managerial and practical/social implications of applying real options in general. Additionally, it examines the valuation methods of abandonment options, highlighting the potential for future research.

24 July 2024.

The coauthors Maroua Zineelabidine, Fadwa Nafssi, and Hamza Ayass assessed the efficiency scores of 95 microfinance institutions in Africa from 2005 to 2018 using a data envelopment analysis approach. They then analysed these efficiency scores about various determinant variables that reflect the characteristics of the microfinance institutions. The main findings indicate that most institutions prioritise profitability over social outreach. Additionally, the panel data regression analysis reveals that factors such as profitability, equity capitalisation, types of loans, and low gross domestic product positively influence the efficiency of microfinance institutions.

24 May 2024.

The coauthors Heni Boubaker and Ben Saad Zorgati Mouna explored the complex mechanisms through which changes in currency exchange rates influence inflation rates while carefully considering each country’s economic cycle. The research findings can be summarised as follows: in the early stages, especially during periods of strong economic growth, the impact of exchange rate fluctuations on inflation levels was found to be partial across all geographic areas studied.

31 March 2024.

The co-authors Enkeleda Lulaj, Mirela Tase, Conceição Gomes, and Lucília Cardoso examined the impact of the COVID-19 pandemic on the tourism economies of Kosovo and Albania. Their findings revealed that the pandemic led to economic stagnation and rising prices in both regions. The results highlighted several key points: (a) COVID-19 had a severe impact on both the population and businesses in the tourism sector, effects which are expected to persist even after the pandemic; (b) government intervention is essential to alleviate the financial crisis; (c) there is a need for innovative approaches and effective financial management by both the government and businesses to attract tourists; (d) control and management are crucial for ensuring financial sustainability.

21 February 2024.

Starting with the understanding that a key issue in the collaboration between business partners is whether the integration of their companies creates collaborative synergy and adds market value, the author, Andrejs Čirjevskis, aimed to develop a methodological framework useful for managerial practice and beneficial for academic research. This framework focused on forecasting explicit synergy and valuing tacit synergy in strategic collaborations. The paper contributed to both theoretical understanding and practical applications in corporate finance and strategic management.

21 November 2023.

In his study, Sergej Gričar explored the complex process of predicting tourism demand, particularly emphasising econometric and quantitative time series analysis. He thoroughly reviewed the existing literature to understand the various methods used for forecasting the “unpredictable” shocks in tourism demand on an ex ante basis. The study concluded that innovations such as virtual tourism, augmented reality, virtual reality, big data, and artificial intelligence can significantly improve demand forecasting in time series econometrics.

4. Guest Editors’ Comments

On behalf of the Guest Editors, we express our gratitude to the authors of the contributions published in this Special Issue, titled Financial Econometrics and Quantitative Economic Analysis. Special thanks also go to the reviewers, whose constructive and critical comments and suggestions to the authors of the submitted papers have contributed to their quality.

Emerging scientific methodologies promise to have a transformative impact on Financial Econometrics and Quantitative Economic Analysis. Novel models harness machine learning, high-frequency data, and advanced computational techniques to capture complex market dynamics. In particular, integrating the cointegration of $I\left(2\right)$ provides a robust framework for analysing integrated time series data, enhancing our understanding of long-run relationships. These innovations pave the way for precise analysis, informed policy-making, and research that will shape the future of econometrics.