Econometrics, Volume 13, Issue 2

This study investigates the relationship between capital structure and financial performance in South African firms, focusing on the potential non-linear, inverse U-shaped effect of leverage on profitability. Drawing on data from 1548 firm-year obser...

We explore the impact of time series behavior on model errors when working under an elliptically contoured distribution. By adopting a time series approach aligned with the realistic dependence between errors under such distributions, this perspectiv...

Financial studies on the herding effect have been very popular for decades, as detecting herding behavior helps to explain price deviations and market inefficiencies. However, studying the herding effect as a single influencing factor is believed to...

This article estimates the impact of government subsidies on productivity growth in South Africa, joining the ongoing debate among economists regarding the effectiveness of subsidies as a driver of industrial productivity. While some argue that subsi...

This paper suggests a generalization of covariate shifts to study distributional impacts on inequality and distributional measures. It builds on the recentered influence function (RIF) regression method, originally designed for location shifts in cov...

The notion of compensation for systematic risk is well ingrained in finance and constitutes the basis for numerous empirical tests. The concept an increase in systematic risk is accompanied by an increase in the required risk premium has strong intui...

This paper explores the hypothesis that the returns of asset classes can be predicted using common, systematic risk factors represented by the level, slope, and curvature of the US interest rate term structure. These are extracted using the Nelson&nd...

Political scientists and economists often assert that they understand how economic sanctions function as a foreign policy tool and claim to have backed their theories with compelling statistical evidence. The research puzzle that this article address...

Impulse response functions (IRFs) are crucial for analyzing the dynamic interactions of macroeconomic variables in vector autoregressive (VAR) models. However, traditional IRF estimation methods often have limitations with assumptions on variable ord...

Applications of high-frequency data, including energy management, economics, and finance, frequently require time-series forecasting characterized by complex seasonality. Recognizing prevailing seasonal trends continues to be difficult, given that th...

Financial assets often exhibit explosive price surges followed by abrupt collapses, alongside persistent volatility clustering. Motivated by these features, we introduce a mixed causal–noncausal invertible–noninvertible autoregressive mov...