Stochastic Modeling and Computational Statistics in Finance

Dear Colleagues,

The Guest Editor invites you to submit publications for a Special Issue on Stochastic Modeling and Computational Statistics in Finance. The existing economic literature is diverse in economic modelling; however, in this turbulent world with volatile market indicators there is a space for discussion about the measurement of equilibrium. This Special Issue will cover, inter alia, financial themes related to financial (money market, stock exchange and foreign exchange) markets; ESG-related financing; green, social and sustainable financing; asset-based financing; trade finance; commodity finance; project and structured financing; financing of service industries; financing of sovereign debts; as well as innovative financing solutions like FinTech or WealthTech.

Modelling and methodologies of interest for publication include, but are not limited to:

• Stochastic modelling of monetary transmission mechanisms;
• Modelling of independent and identically distributed time series or power law distributions, etc. for capital market instruments (i.e., stock indices, bonds, FX rates) or macroeconomic indicators (i.e., inflation, industrial production, GDP);
• Parametric or non-parametric modelling of economic bubbles or other monetary anomalies;
• Non-linear, exponential and asymmetric generalized autoregressive conditional heteroskedasticity (NGARCH, EGARCH, APARCH, GJRGARCH, TARCH and GARCH) models to predict the volatility of returns on financial assets;
• Applying generalized autoregressive conditional heteroscedasticity (GARCH) models to measure market shock and autoregressive distributive lagged (ARDL) regression model to display COVID-19 measurements and stock indexes performance relationship;
• Model-based and estimation-based approaches for equilibrium exchange rates over the short-, mid- and long-term horizons (PPP, UIP, CHEER, etc. models);
• Understanding the role of shocks: structural vector autoregressions (SVARs) and dynamic stochastic general equilibrium (DSGE) approaches to the foreign exchange rate;
• Predicting price behaviors with vector autoregression (VAR) model, ridge regression, etc.;
• Modelling the financial accounts and the reserve assets within the balance of payments (e.g., with quantile regression);
• Modelling FX rates within conventional and non-conventional monetary policy regimes.
• Application of non-linear threshold autoregressive (TAR), smooth transition autoregressive (STAR) or Markov-switching (MS) models for regime change;
• Analyzing co-movements among financial market indicators (i.e., FY rates or stock indices) with dynamic conditional correlation (DCC) or copulas;
• Exploring risk contagion using graph theory and Markov chains;
• Logit and probit models for sovereign or corporate bankruptcy prediction;
• Modelling behavioral aspects of banking services, the occurrence of Fintech in commercial and investment banking.

Dr. Judit Sági
Dr. Nick Chandler
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.