2021 March - 14 articles
Peer review is the driving force of journal development, and reviewers are gatekeepers who ensure that Econometrics maintains its standards for the high quality of its published papers [...]
The effect of the conventional model-based methods of seasonal adjustment is to nullify the elements of the data that reside at the seasonal frequencies and to attenuate the elements at the adjacent frequencies. It may be desirable to nullify some of...
As the guest editors of this Special Issue, we feel proud and grateful to write the editorial note of this issue, which consists of seven high-quality research papers [...]
The maximum diversification has been shown in the literature to depend on the vector of asset volatilities and the inverse of the covariance matrix of the asset return. In practice, these two quantities need to be replaced by their sample statistics....
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