Panel Data and Factor Models in Empirical Finance

Dear Colleagues,

Nowadays, panel data methods and factor models play an important role in empirical finance. This Special Issue deals with the analysis of multivariate financial data that is characterized by a large number of cross-section units and time periods. The availability of “big” financial data sets has spurred many new developments in empirical finance. This issue invites submissions in the broad area of panel data modelling, large dimensional data and factors models with empirical applications in financial econometrics. A wide spectrum of methods might be covered ranging from the analysis of high-dimensional covariance matrices, dynamic factor models, spatial and quantile regressions. Possible topics for applications include (but are not limited to) asset pricing, risk management, volatility forecasting, portfolio allocation, speculative bubbles and stock return prediction.

Prof. Dr. Jörg Breitung
Prof. Dr. Robinson Kruse
Guest Editors

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 250 words) can be sent to the Editorial Office for assessment.

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-anonymized peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly 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 1600 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.