Econometrics, Volume 13, Issue 3

This paper considers the problem of constructing confidence intervals (CIs) for nonlinear functions of parameters, particularly ratios of parameters a common issue in econometrics and statistics. Classical CIs (such as the Delta method and the Fielle...

This study explores the new insights into the integration and dynamic asymmetric volatility risk spillovers between Bitcoin, currency pairs (USD/ZAR, GBP/ZAR and EUR/ZAR), and traditional financial assets (ALSI, Bond, and Gold) in South Africa using...

This study aimed to forecast the gross domestic product (GDP) of the South Caucasian nations (Armenia, Azerbaijan, and Georgia) by scrutinizing the accuracy of various econometric methodologies. This topic is noteworthy considering the significant ec...

In a stage of more and more complex and high-frequency financial markets, the volatility analysis is a cornerstone of modern financial econometrics with practical applications in portfolio optimization, derivative pricing, and systematic risk assessm...

Financial time-series data often exhibit statistically significant skewness and heavy tails, and numerous flexible distributions have been proposed to model them. In the context of the Log-linear Realized GARCH model with Skew-t (ST) distributions, o...

In this paper, time series of length T are seen as frequency distributions. Each distribution is defined with respect to a statistical variable having T observed values. A methodological system based on Gini’s approach is put forward, so the st...

For income distributions divided into middle, lower, and higher regions based on scalar median cut-offs, this paper establishes the asymptotic distribution properties—including explicit empirically applicable variance formulas and hence standar...

The Pareto distribution has been widely used to model income distribution and inequality. The tail index and the Gini index are typically computed by iteration using Maximum Likelihood and are usually interpreted in terms of the Lorenz curve. We deri...

The COVID-19 pandemic triggered unprecedented economic disruptions, raising critical questions about the resilience and adaptability of macroeconomic productivity across countries. This study examines the impact of COVID-19 on macroeconomic efficienc...

This study focusses on the transmission of carbon pricing mechanisms in shaping trade dynamics between the Eurozone and key partners: the USA and China. Using Bayesian variable selection methods and a Time-Varying Structural Vector Autoregressions (T...

This article introduces a novel approach to decomposing the Blinder–Oaxaca gender wage gap using pseudo-panel data. In many developing countries, panel data are not available; however, understanding the evolution of the gender wage gap over tim...

In this article, daily CO₂ emissions for the years 2019–2022 are examined using fractional integration for Brazil, China, EU-27 (and the UK), India, and the USA. According to the findings, all series exhibit long memory mean-reversion tendencie...

Objectives: We investigate the long-run impact of changes in prescription drug sales on mortality and hospital utilization in Belgium during the first two decades of the 21st century. Methods: We analyze the correlation across diseases between change...

This research studies the impact of macroeconomic announcement surprises on daily U.S. Treasury excess returns during the heart of Alan Greenspan’s tenure as Federal Reserve Chair, addressing the possible limitations of standard static regressi...