The new Elsevier journal "Econometrics and Statistics", associated
with the CFE and CMStatistics networks, has published its first issue.
Econometrics and Statistics
Volume 1, Pages 1-200 (January 2017)
Erricos Kontoghiorghes, Herman K. Van Dijk, Ana Colubi, Editorial, Econometrics and Statistics, Volume 1, Page 1.
http://www.sciencedirect.com/science/article/pii/S245230621630034X)
Helmut Lütkepohl, Aleksei Netšunajev, Structural vector autoregressions with heteroskedasticity: A review of different volatility models, Econometrics and Statistics, Volume 1, Pages 2-18.
http://www.sciencedirect.com/science/article/pii/S2452306216300223
Marc S. Paolella, Asymmetric stable Paretian distribution testing, Econometrics and Statistics, Volume 1, Pages 19-39.
http://www.sciencedirect.com/science/article/pii/S2452306216300247
Luc Bauwens, Manuela Braione, Giuseppe Storti, A dynamic component model for forecasting high-dimensional realized covariance matrices, Econometrics and Statistics, Volume 1, Pages 40-61.
http://www.sciencedirect.com/science/article/pii/S2452306216300132
P.S. Catani, N.J.C. Ahlgren, Combined Lagrange multiplier test for ARCH in vector autoregressive models, Econometrics and Statistics, Volume 1, Pages 62-84.
http://www.sciencedirect.com/science/article/pii/S2452306216300107
Josu Arteche, Javier García-Enríquez, Singular Spectrum Analysis for signal extraction in Stochastic Volatility models, Econometrics and Statistics, Volume 1, Pages 85-98.
http://www.sciencedirect.com/science/article/pii/S2452306216300156
Piotr Kokoszka, Hanny Oja, Byeong Park, Laura Sangalli, Special issue on functional data analysis, Econometrics and Statistics, Volume 1, Pages 99-100.
http://www.sciencedirect.com/science/article/pii/S2452306216300272
P. Burdejova, W. Härdle, P. Kokoszka, Q. Xiong, Change point and trend analyses of annual expectile curves of tropical storms, Econometrics and Statistics, Volume 1, Pages 101-117.
http://www.sciencedirect.com/science/article/pii/S2452306216300120
Gil González-Rodríguez, Ana Colubi, On the consistency of bootstrap methods in separable Hilbert spaces, Econometrics and Statistics, Volume 1, Pages 118-127, ISSN 2452-3062
http://www.sciencedirect.com/science/article/pii/S2452306216300259
J. Klepsch, C. Klüppelberg, T. Wei, Prediction of functional ARMA processes with an application to traffic data, Econometrics and Statistics, Volume 1, Pages 128-149
http://www.sciencedirect.com/science/article/pii/S245230621630020X
Seyed Nourollah Mousavi, Helle Sørensen, Multinomial functional regression with wavelets and LASSO penalization, Econometrics and Statistics, Volume 1, Pages 150-166.
http://www.sciencedirect.com/science/article/pii/S2452306216300211
Zhaohu Fan, Matthew Reimherr, High-dimensional adaptive function-on-scalar regression, Econometrics and Statistics, Volume 1, Pages 167-183.
http://www.sciencedirect.com/science/article/pii/S2452306216300053
Han Lin Shang, Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration, Econometrics and Statistics, Volume 1, Pages 184-200, ISSN 2452-3062, http://www.sciencedirect.com/science/article/pii/S2452306216300235
You can submit papers at: http://ees.elsevier.com/ecosta/
Papers for following special issues can be submitted until the 30th of January 2017:
1- Annals of Computational and Financial Econometrics
http://cmstatistics.org/docs/AnnalsCFE_ECOSTA.pdf?20170116210334
2- Forecast combinations
http://cmstatistics.org/docs/EcoStaForecastCombinations2016.pdf?20170116210334
3- Risk management
http://cmstatistics.org/docs/EcoStaRiskManagement2016.pdf?20170116210334
4- Quantile regression and semiparametric methods
http://cmstatistics.org/docs/EcoStaQuantileRegression2016.pdf?20170116210334
5-Statistics of extremes and applications
http://cmstatistics.org/docs/EcoStaEXTREMES2016.pdf?20170116210334
Further information about the journal can be found at
https://www.journals.elsevier.com/econometrics-and-statistics
Please find below the current editorial board and the aims and
scope.
Editorial Board
Editor-in-chief: Erricos Kontoghiorghes
Part A- Econometrics
Co-editor: Herman van Dijk
Advisory board: Tim Bollerslev, Francis X. Diebold, Robert Engle,
Hashem Pesaran, Peter C.B. Phillips, Mike West.
Associate Editors: Sung Ahn, Alessandra Amendola, Monica Billio,
Manfred Deistler, Jean-Marie Dufour, Andrew Harvey, Alain Hecq,
Jonathan Hill, Eric Jacquier,Keneth Judd, Degui Li, Helmut Lütkepohl, Gael Martin, Yasuhiro Omori, Gareth Peters,
D.S.G. Pollock, Tommaso Proietti, Artem Peokhorov, Zacharias Psaradakis, Jeroen
V.K. Rombouts, Willi Semmler, Mike So, Mark Steel,
Robert Taylor, Carsten Tenkler, Peter Winker.
Part B- Statistics
Co-editor: Ana Colubi
Advisory board: Peter Bühlmann, Peter Green, Xuming He, Steve Marron,
Hans-George Mueller, Byeong Park, Ingrid Van Keilegom.
Associate Editors: Ming-Yen Cheng, Bertrand Clarke, Aurore Delaigle,
John Einmahl, Roland Fried, Irene Gijbels, Armelle Guillou, Marc
Hallin, Ivan Kojadinovic, Piotr S. Kokoszka, Christophe Ley, Paul
McNicholas, Lola Martinez-Miranda, Domingo Morales, Davy Paindaveine, Dimitris Politis, Igor
Pruenster, Stefan Van Aelsts, Mattias Villani, Lan Wang, Alastair
Young, Helen Zhang.
Aims & Scope
Econometrics and Statistics is the official journal of the networks
Computational and Financial Econometrics and Computational and
Methodological Statistics. It publishes research papers in all aspects
of econometrics and statistics and comprises of two sections:
Part A: Econometrics. Emphasis is given to methodological and
theoretical papers containing substantial econometrics derivations or
showing a potential of a significant impact in the broad area of
econometrics. Topics of interest include the estimation of econometric
models and associated inference, model selection, panel data,
measurement error, Bayesian methods, and time series analyses.
Simulations are considered when they involve an original methodology.
Innovative papers in financial econometrics and its applications are
considered. The covered topics include portfolio allocation, option
pricing, quantitative risk management, systemic risk and market
microstructure. Interest is focused as well on well-founded applied
econometric studies that demonstrate the practicality of new
procedures and models. Such studies should involve the rigorous
application of statistical techniques, including estimation, inference
and forecasting. Topics include volatility and risk, credit risk,
pricing models, portfolio management, and emerging markets. Innovative
contributions in empirical finance and financial data analysis that
use advanced statistical methods are encouraged. The results of the
submissions should be replicable. Applications consisting only of
routine calculations are not of interest to the journal.
Part B: Statistics. Papers providing important original contributions
to methodological statistics inspired in applications are considered
for this section. Papers dealing, directly or indirectly, with
computational and technical elements are particularly encouraged.
These cover developments concerning issues of high-dimensionality,
re-sampling, dependence, robustness, filtering, and, in general, the
interaction of mathematical methods, numerical implementations and the
extra burden of analysing large and/or complex datasets with such
methods in different areas such as medicine, epidemiology, biology,
psychology, climatology and communication. Innovative algorithmic
developments are also of interest, as are the computer programs and
the computational environments that implement them as a complement.
The journal consists, preponderantly, of original research.
Occasionally, review and short papers from experts are published,
which may be accompanied by discussions. Special issues and sections
within important areas of research are occasionally published. The
journal publishes as a supplement The Annals of Computational and
Financial Econometrics.
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