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Risks
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Applied Econometrics and International Finance: Analysis, Modeling, and Development
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Applied Econometrics and International Finance: Analysis, Modeling, and Development

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: 31 August 2026 | Viewed by 16289

Special Issue Editors

Prof. Dr. Michael Frömmel

E-Mail Website
Guest Editor
Department of Economics, Ghent University, 9000 Ghent, Belgium
Interests: market microstructure; international financial markets; emerging markets finance; international asset management and institutional investors
Special Issues, Collections and Topics in MDPI journals
Dr. Darko Vukovic

E-Mail Website
Guest Editor
1. Graduate School of Management, Saint Petersburg State University, 199004 Saint Petersburg, Russia
2. Geographical Institute “Jovan Cvijic” SASA, 11000 Belgrade, Serbia
Interests: financial risk management; learning in finance; digital finance; portfolio theory; AI in finance
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

This Special Issue focuses on the development and application of advanced econometric methods to address the complexities of international finance. We aim to gather research that examines the dynamic interplay between financial markets, economic policies, and international capital flows, offering innovative approaches to risk modeling, financial development, and global economic integration. We invite contributions from a wide array of applied econometrics, including but not limited to time series analysis, panel data, machine learning applications, and quantitative risk assessment. We particularly encourage papers that utilize econometric techniques to explore the following pressing issues in international finance:

  • Volatility, spillovers, and risk management in global markets;
  • Impact of economic policies on international financial stability;
  • Exchange rates, capital flows, and trade dynamics;
  • Financial crises, contagion, and systemic risks;
  • The role of financial technologies and innovations in global finance;
  • The interaction between financial development and macroeconomic factors in emerging and developed economies;
  • Dynamic econometric models;
  • The role of central banks and monetary policies in shaping international capital flows;
  • Banking sector stability and the influence of global regulatory frameworks;
  • Integration of ESG factors into international financial risk models;
  • The effects of geopolitical events on international investment and market volatility;
  • Cross-border mergers and acquisitions—financial integration and market efficiency;
  • Emerging financial markets and the impact of global financial shocks;
  • Behavioral finance in international markets—investor sentiment and decision making;
  • Quantitative models for forecasting international asset returns and risks.

Prof. Dr. Michael Frömmel
Dr. Darko Vukovic
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-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks 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 1800 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.

Keywords

  • applied econometrics
  • international finance
  • risk modeling
  • financial markets
  • capital flows
  • economic policies
  • quantitative risk assessment
  • time series analysis
  • financial development
  • machine learning in finance

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  • Reprint: MDPI Books provides the opportunity to republish successful Special Issues in book format, both online and in print.

Further information on MDPI's Special Issue policies can be found here.

Published Papers (5 papers)

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Research

16 pages, 405 KB  
Article
The Flow–Performance Relationship and Behavioral Biases: Evidence from Spanish Mutual Fund Flows
by Carlos Arenas-Laorga and Fernando Gil Capella
Risks 2026, 14(4), 88; https://doi.org/10.3390/risks14040088 - 13 Apr 2026
Viewed by 307
Abstract
This study analyzes the relationship between stock market returns and investment flows in investment funds in Spain. Through a quantitative analysis covering the period from December 2001 to June 2025, it examines not only the existence of a correlation but also its temporal [...] Read more.
This study analyzes the relationship between stock market returns and investment flows in investment funds in Spain. Through a quantitative analysis covering the period from December 2001 to June 2025, it examines not only the existence of a correlation but also its temporal structure, functional form, and heterogeneity across different geographical areas (U.S., Europe, Japan, and Spain). Using monthly data on net flows from INVERCO and market indices, the study employs Ordinary Least Squares (OLS) regression models, segmented regressions, and fixed-effects panel models to obtain robust estimates. The results confirm a positive and statistically significant relationship between past returns and subsequent investment flows, with a temporal lag ranging from one to three months. This delay varies notably by geographical region, suggesting the existence of different investor profiles and information channels. The study also finds evidence of a convex relationship, indicating that investors react asymmetrically, aggressively pursuing high returns more than penalizing low ones. These findings, interpreted through the lens of behavioral finance, point to pro-cyclical and reactive behavior of Spanish investors, driven by biases such as loss aversion, trend-following, and delays in information processing. The study contributes to the academic literature by providing updated and methodologically robust evidence on Spain, a market that has traditionally been underexplored, and offers practical implications for investors, fund managers, and regulators in terms of financial education and risk management. Full article
(This article belongs to the Special Issue Applied Econometrics and International Finance: Analysis, Modeling, and Development)
37 pages, 1391 KB  
Article
Risk Premiums, Market Volatility, and Exchange Rate Dynamics: Evidence from the Yen Carry Trade
by Opale Guyot, Heather A. Montgomery and Peiqing Yang
Risks 2026, 14(3), 46; https://doi.org/10.3390/risks14030046 - 26 Feb 2026
Viewed by 1419
Abstract
Persistent deviations from Uncovered Interest Rate Parity (UIRP) represent a central puzzle in international finance and a key source of currency risk for global investors. This study examines the UIRP puzzle in the JPY/USD market through the lens of financial risk transmission, focusing [...] Read more.
Persistent deviations from Uncovered Interest Rate Parity (UIRP) represent a central puzzle in international finance and a key source of currency risk for global investors. This study examines the UIRP puzzle in the JPY/USD market through the lens of financial risk transmission, focusing on how risk premiums, liquidity conditions, and relative equity market performance jointly shape short-run exchange rate dynamics. Using daily data from 2018 to 2024, we employ a vector autoregression (VAR) framework to capture the endogenous interactions between change in the interest rate differentials, foreign exchange liquidity, global risk indicators (including the VIX, oil price shocks, and currency risk reversals), and relative equity returns consistent with the Uncovered Equity Parity (UEP) hypothesis. The results reveal that traditional interest rate differentials do not directly explain short-term exchange rate movements, confirming persistent UIRP deviations. Instead, risk-related financial channels act as indirect financial risk transmission channels. Shocks to global risk sentiment and currency risk premiums significantly affect JPY/USD returns, while relative equity market performance emerges as a key intermediary linking risk conditions to exchange rate adjustments. The findings also support the Japanese Yen’s continued role as a safe-haven currency during periods of heightened market uncertainty and underline the importance of carry trade dynamics in amplifying risk-driven exchange rate fluctuations. Overall, this study highlights the importance of integrating financial risk measures and portfolio-based transmission channels into exchange rate models. The results have direct implications for risk management, currency exposure hedging, and the assessment of systemic risk spillovers across financial markets. Full article
(This article belongs to the Special Issue Applied Econometrics and International Finance: Analysis, Modeling, and Development)
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26 pages, 7986 KB  
Article
Volatility Spillovers and Market Decoupling: Evidence from BRICS and China’s Green Sector
by Darko B. Vuković, Dmitrii Leonidovich Fefelov, Michael Frömmel and Elena Moiseevna Rogova
Risks 2025, 13(11), 222; https://doi.org/10.3390/risks13110222 - 6 Nov 2025
Viewed by 2435
Abstract
The global economic importance of green tech is rising. Yet the role of the green financial sector in the propagation of volatility is still unclear. Although the existing literature often characterizes green assets as stable, the new risks, particularly US–China trade tensions that [...] Read more.
The global economic importance of green tech is rising. Yet the role of the green financial sector in the propagation of volatility is still unclear. Although the existing literature often characterizes green assets as stable, the new risks, particularly US–China trade tensions that target the green sector directly, may uncover potential vulnerabilities. As China’s green sector has attained global leadership, its interconnections with other major economies require a closer examination, especially within the BRICS block. Applying the Bayesian VAR with Minnesota Ridge prior and a TVP-VAR model-based connectedness approach on a dataset of 1880 observations spanning from 2016 to 2025, we identified that volatility in China’s green sector peaked during the COVID-19 pandemic and resurged in early 2025 amid trade tensions. Uniquely, this study also finds that, despite the intensification of political and economic relations between BRICS members, the interconnectedness of their financial markets has been weakening, suggesting their long-term decoupling and regionalization. From 2016 to 2024, green indices remained historically peripheral, with limited, stable ties to the Nasdaq and SSE. In 2025, short shock-driven transmitter episodes have emerged and indicate an incipient integration rather than a permanent regime change. Full article
(This article belongs to the Special Issue Applied Econometrics and International Finance: Analysis, Modeling, and Development)
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25 pages, 3880 KB  
Article
The Role of Digital Financial Services in Narrowing the Gender Gap in Low–Middle-Income Economies: A Bayesian Machine Learning Approach
by Alicia Fernanda Galindo-Manrique and Nuria Patricia Rojas-Vargas
Risks 2025, 13(5), 96; https://doi.org/10.3390/risks13050096 - 14 May 2025
Cited by 4 | Viewed by 4194
Abstract
Women in emerging economies face unique constraints rooted in cultural norms, socio-economic disparities, and limited access to education and technology. Narrowing the digital gender gap by ensuring access to financial services may reduce the economic inequalities for women in these countries. This study [...] Read more.
Women in emerging economies face unique constraints rooted in cultural norms, socio-economic disparities, and limited access to education and technology. Narrowing the digital gender gap by ensuring access to financial services may reduce the economic inequalities for women in these countries. This study examines the influence of digital finance in narrowing the gender gap, guided by the research question: To what extent do digital financial services contribute to narrowing the gender gap in access to and usage of financial services in low-and middle-income economies? Gender inclusion was measured by the ratio of accounts owned by women over the total number of accounts. Digital financial inclusion was constructed based on eight components: mobile money account, storing money in financial institutions, Internet access, mobile phone owned, savings, savings in financial institutions, making or receiving a digital payment, and mobile phone or use of the Internet for shopping. A Bayesian regression approach was computed using the Global Findex Database data for 73 countries classified as low and lower-middle-income economies from 2011 to 2022. The Machine Learning approach evaluates the model’s ability to predict women’s autonomy and the role of digital finance. The results show that digital financial services would reduce the gender gap in low-income economies while augmenting the number of open accounts, especially for women. The results aid in the establishment of policies to reduce the gender gap. These results are relevant to the UNSDG agenda, mainly Goal 5 and Goal 10. Full article
(This article belongs to the Special Issue Applied Econometrics and International Finance: Analysis, Modeling, and Development)
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29 pages, 1456 KB  
Article
Inter-Market Mean and Volatility Spillover Dynamics Between Cryptocurrencies and an Emerging Stock Market: Evidence from Thailand and Sectoral Analysis
by Yanjia Zhang, Shih-tse Lo and Dhanoos Sutthiphisal
Risks 2025, 13(4), 77; https://doi.org/10.3390/risks13040077 - 15 Apr 2025
Cited by 5 | Viewed by 6754
Abstract
The increasing interaction between the equity market and cryptocurrencies has raised concerns about volatility spillovers; however, empirical evidence about sectoral-specific spillover effects in emerging markets is scarce and hard to find. Existing research mainly concentrates on developed markets and aggregate equity indices, leaving [...] Read more.
The increasing interaction between the equity market and cryptocurrencies has raised concerns about volatility spillovers; however, empirical evidence about sectoral-specific spillover effects in emerging markets is scarce and hard to find. Existing research mainly concentrates on developed markets and aggregate equity indices, leaving a research gap in comprehending how sectoral indices variations impact market interactions in developing financial markets like Thailand. This article investigates the mean and volatility spillover effects between the Thai stock market and leading cryptocurrencies from April 2019 to April 2024. Applying bivariate VAR (1)-BEKK-GARCH (1,1) with an asymmetry model, this study examines the aggregate and sectoral-specific mean and volatility spillovers across major Thai stock market sectors. The findings reveal the significant mean spillover effect from cryptocurrencies to the Thai stock market with sectoral variation, while sectors such as industrials and financials exerted significant linkages, and the agricultural and food sector remains unaffected. Additionally, volatility spillovers were predominantly transmitted from the Thai equity market to cryptocurrency. Moreover, asymmetry effects were observed, with the asymmetry effects mainly transmitted from the Thai equity market to cryptocurrency. These findings provide critical insights for both individual and institutional investors on risk management and portfolio diversification while also helping policymakers with guidance on regulatory measures to mitigate systemic risks in emerging financial markets. Full article
(This article belongs to the Special Issue Applied Econometrics and International Finance: Analysis, Modeling, and Development)
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