Advancements in Macroeconometric Modeling and Time Series Analysis

 

Dear Colleagues:

Econometrics is looking for state-of-the-art theoretical and empirical contributions in the fields of macroeconomic modeling and time series analysis.

Throughout the review process, special attention will be devoted to replicating the empirical estimates (e.g., an external audit of code and data).

Research areas may include (but are not limited to) the following:

• econometric testing
• asymptotic theory, simulation, and computation
• causal inference
• sampling methods
• probabilistic prediction
• robust statistics and estimation
• high/infinite-dimensional inference
• semi- and non-parametric models
• mixture models
• statistical modeling for stochastic processes
• Markov regime-switching processes
• Lévy processes and jumps
• artificial intelligence applications in econometrics
• machine learning versus time series: estimation, tests, and regularization
• quantile regression
• copulas and dependence
• extreme value theory and statistics
• financial econometrics
• option pricing
• dynamic conditional score models
• asset pricing
• risk and volatility in financial markets
• high-frequency data, realized volatility, and microstructure noise
• multivariate correlation models
• macroeconometrics
• identification of structural VARs: new developments
• latent macroeconomic variable modeling and Kalman filtering
• nowcasting
• credit risk modeling
• Value-at-Risk and tail risk
• inflation dynamics and targeting
• fixed-income markets: new horizons
• factor models
• forecasting macroeconomic and financial risk
• yield curve modeling
• Central Bank’s announcement modeling
• analysts’ forecast accuracy
• MIDAS modeling in macroeconomics
• effects of macroeconomic policies

In this Special Issue, both original research articles and reviews are welcome.

We look forward to receiving your original contributions.

Prof. Dr. Julien Chevallier
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 submissions that pass pre-check are 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. Econometrics 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 1400 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.

• time series analysis
• multivariate data analysis
• numerical methods
• data visualization
• macroeconomy
• structural VARs
• testing
• inference