Special Issue: Advances in Forecasting Financial and Macroeconomic Variables Using Econometric Methods

Guest Editors

Prof. Norman R. Swanson
Department of Economics, Rutgers University, USA
Email: nswanson@economics.rutgers.edu


Dr. Mingmian Cheng
Department of Finance, Lingnan College, Sun Yat-sen University, Guangzhou, China
Email: chengmingmian@gmail.com


Manuscript Topics

Given that our current output of data is estimated to be at least 2.5 quintillion bytes per day, it goes without saying that we now have more data than ever before, with which to construct predictions of economic variables ranging from stock market indicators to measures of economic activity. This in turn has spurred a tremendous amount of research activity in recent years concerned in the areas of model estimation, specification, and testing. For example, many fields, ranging from economics to neuroscience, have been making substantial advances in the area of big data analysis, with new methods being advocated for machine learning, variable selection, shrinkage, and dimension reduction. At the same time many new techniques have been proposed for model selection and testing. This special issue brings all of the latest advances in forecasting financial and macroeconomic variables together by acting as a repository for papers, both empirical and theoretical, that advance the frontier of prediction. In particular, the editors encourage authors carrying our research in all areas related to the estimation, selection, and accuracy assessment of prediction models in economics, econometrics, and statistics related fields to submit their research to this special issue.


Quantitative Finance and Economics (QFE) tries hard to provide high-quality research information on development of sustainable finance via quantitative methods. Due to the increasing popularity of this topic, world-wide interest in the work performed by researchers in this area is constantly expanding.


Instruction for Authors
http://www.aimspress.com/qfe/news/solo-detail/instructionsforauthors
Please submit your manuscript to online submission system
https://aimspress.jams.pub/


Paper Submission

All manuscripts will be peer-reviewed before their acceptance for publication. The deadline for manuscript submission is 31 October 2018

Published Papers(6)

Research article
Bitcoin-based triangular arbitrage with the Euro/U.S. dollar as a foreign futures hedge: modeling with a bivariate GARCH model
Zheng Nan Taisei Kaizoji
2019, Volume 3, Issue 2: 347-365. doi: 10.3934/QFE.2019.2.347
Abstract HTML PDF Cited (14) Viewed (9095)
Research article
Out-of-sample forecasting of housing bubble tipping points
Diego Ardila Dorsa Sanadgol Didier Sornette
2018, Volume 2, Issue 4: 904-930. doi: 10.3934/QFE.2018.4.904
Abstract HTML PDF Cited (5) Viewed (4164)
Research article
Environmental Kuznets curve hypothesis in a financial development and natural resource extraction context: evidence from Tunisia
Paul Adjei Kwakwa Hamdiyah Alhassan Solomon Aboagye
2018, Volume 2, Issue 4: 981-1000. doi: 10.3934/QFE.2018.4.981
Abstract HTML PDF Cited (45) Viewed (6604)
Research article
Yield curve rotations, monetary shocks, and Greenspan’s Conundrum
Victor J. Valcarcel
2019, Volume 3, Issue 1: 1-21. doi: 10.3934/QFE.2019.1.1
Abstract HTML PDF Cited (1) Viewed (5780)
Research article
Performance evaluation of modified adaptive Kalman filters, least means square and recursive least square methods for market risk beta and VaR estimation
Atanu Das
2019, Volume 3, Issue 1: 124-144. doi: 10.3934/QFE.2019.1.124
Abstract HTML PDF Cited (2) Viewed (4448)
Research article
A survey of dynamic Nelson-Siegel models, diffusion indexes, and big data methods for predicting interest rates
Hal Pedersen Norman R. Swanson
2019, Volume 3, Issue 1: 22-45. doi: 10.3934/QFE.2019.1.22
Abstract HTML PDF Cited (5) Viewed (4280)