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Financial Econometrics and Quantitative Economic Analysis
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Financial Econometrics and Quantitative Economic Analysis

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Economics and Finance".

Deadline for manuscript submissions: 30 November 2024 | Viewed by 11111

Special Issue Editors

Dr. Sergej Gričar

E-Mail Website
Guest Editor
1. Faculty of Business and Management Sciences, University of Novo Mesto, Na Loko 2, SI-8000 Novo Mesto, Slovenia
2. Faculty of Economics and Informatics, University of Novo Mesto, Na Loko 2, SI-8000 Novo Mesto, Slovenia
Interests: time series econometrics; economics
Special Issues, Collections and Topics in MDPI journals
Dr. Nemanja Lojanica

E-Mail Website
Guest Editor
Faculty of Economics, University of Kragujevac, 34000 Kragujevac, Serbia
Interests: growth economics; time series econometrics; panel data econometrics; applied econometrics; econometric analysis; macroeconomics; econometrics; economic growth
Dr. Tamara Backović

E-Mail Website
Guest Editor
Faculty of Economics, The University of Montenegro, Ul. Jovana Tomaševića 37, 81110 Podgorica, Montenegro
Interests: financial reporting; capital markets; markets; emerging markets; portfolio theory

Special Issue Information

Dear Colleagues,

We are delighted to announce the Special Issue titled "Financial Econometrics and Quantitative Economic Analysis." This publication will bring together a distinguished panel of Guest Editors, who are all specialists in the fields of econometrics and quantitative economics. We invite you to contribute your state-of-the-art research and insightful perspectives to this venture.

The aim of this Special Issue is to foster a comprehensive understanding of the intricate relationship between financial econometrics and quantitative economic analysis. We will showcase cutting-edge research that advances our knowledge of and methodologies in these domains, with the ultimate goal of enhancing the efficacy of financial decision-making and economic policy formulation.

We welcome submissions related to a wide array of topics within the realms of financial econometrics and quantitative economic analysis. Contributions may explore, but are not limited to, the following areas:

  • Asset pricing models and their applications;
  • Housing markets;
  • Risk management in environmental economics;
  • Financial forecasting and time series analysis;
  • High-frequency financial data analysis;
  • Volatility modeling and estimation;
  • Econometric modeling;
  • Macroeconomic modeling;
  • Quantitative methods of economic policy analysis;
  • Empirical studies of financial and economic phenomena;
  • Tourism economics.

The motivation behind this Special Issue is our collective recognition of the critical role that financial econometrics and quantitative economic analysis play in informing decision-making processes in both academia and industry. By bringing together this field’s experts and their groundbreaking research, we will promote the exchange in ideas, foster collaboration, and stimulate innovative approaches to addressing the complex challenges faced by researchers, practitioners, and policymakers in these fields.

We look forward to receiving your contributions and collaborating with you to make this Special Issue an enlightening and impactful publication. Together, we hope to push the boundaries of financial econometrics and quantitative economic analysis, identify valuable new insights, and forge paths that enable a more robust and sustainable future.

Submission Guidelines:

Authors are invited to submit their original manuscripts in adherence to the journal's guidelines. All submissions will undergo a rigorous peer-review process to ensure that they are written to the highest possible standard of quality. Detailed submission instructions, including important dates and formatting guidelines, can be found on the journal's website.

Dr. Sergej Gričar
Dr. Nemanja Lojanica
Dr. Tamara Backović
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 100 words) can be sent to the Editorial Office for announcement on this website.

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. 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 1400 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

  • financial econometrics
  • quantitative economics
  • risk management
  • forecasting
  • time-series analysis
  • volatility modelling
  • econometric modeling
  • macroeconomic modelling
  • economic policy analysis
  • empirical studies
  • financial markets
  • economic decision-making
  • tourism

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  • Ease of navigation: Grouping papers by topic helps scholars navigate broad scope journals more efficiently.
  • Greater discoverability: Special Issues support the reach and impact of scientific research. Articles in Special Issues are more discoverable and cited more frequently.
  • Expansion of research network: Special Issues facilitate connections among authors, fostering scientific collaborations.
  • External promotion: Articles in Special Issues are often promoted through the journal's social media, increasing their visibility.
  • e-Book format: Special Issues with more than 10 articles can be published as dedicated e-books, ensuring wide and rapid dissemination.

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

Published Papers (7 papers)

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Research

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36 pages, 3760 KiB  
Article
Assessing the Impact of Federal Reserve Policies on Equity Market Valuations: An Instrumental Variables Approach
by Carlos J. Rincon and Darko B. Vukovic
J. Risk Financial Manag. 2024, 17(10), 442; https://doi.org/10.3390/jrfm17100442 - 30 Sep 2024
Viewed by 743
Abstract
This study investigates the impact of Central Bank interventions on the pricing dynamics of select stock markets. The research utilizes the instrumental variables three-stage least square (3SLS) model approach. It analyses the effects of variations in the Federal Reserve’s balance sheet size across [...] Read more.
This study investigates the impact of Central Bank interventions on the pricing dynamics of select stock markets. The research utilizes the instrumental variables three-stage least square (3SLS) model approach. It analyses the effects of variations in the Federal Reserve’s balance sheet size across three distinct intervention scenarios: the 2008–2013 Great Recession, the 2020–2021 COVID-19 pandemic periods, and an overarching analysis spanning these timelines. Our methodology includes estimations of the Seemingly Unrelated Regression Equations (SURE), and the results are robust under the two-step Generalized Method of Moments (GMM). Our findings indicate that changes in the size of the Fed’s balance sheet correlate significantly with the pricing of principal U.S. equity market indices. This correlation reflects a time-dependent effect emanating from the Fed’s balance sheet expansion, marking a growing divergence between the adaptability of pricing mechanisms in equity and debt markets. Notably, the Federal Reserve’s interventions during the COVID-19 crisis are associated with an increase of approximately 0.0403 basis points per billion in treasury yields. This research makes a significant contribution to the understanding of financial asset pricing, particularly by elucidating the extent to which interventions in government debt securities engender price distortions in certain equity markets. Full article
(This article belongs to the Special Issue Financial Econometrics and Quantitative Economic Analysis)
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17 pages, 1299 KiB  
Article
Exploring the Usefulness of Real Options Theory for Foreign Affiliate Divestments: Real Abandonment Options’ Applications
by Andrejs Čirjevskis
J. Risk Financial Manag. 2024, 17(10), 438; https://doi.org/10.3390/jrfm17100438 - 29 Sep 2024
Viewed by 714
Abstract
Scholars propose that future research on real options theory should shift attention away from option buying during the first investment stage and toward option execution after investment. Researchers maintain that it would be interesting to explore the circumstances under which investors decide to [...] Read more.
Scholars propose that future research on real options theory should shift attention away from option buying during the first investment stage and toward option execution after investment. Researchers maintain that it would be interesting to explore the circumstances under which investors decide to withdraw their investments, thereby exercising the option to abandon their investments. The present research seeks to fill the gap in the literature and investigate the applicability of real options theory when an organization enhances sustainability policies while focusing on disciplined capital allocation through exit strategies. With case study data on Natura &Co’s divestment strategy for the Body Shop in November 2023, a real options analysis revealed the method’s practical advantages and disadvantages. This paper investigates real options theory in the context of the divestments of foreign affiliates, providing unique viewpoints and enhancing the theory beyond previous knowledge while also increasing our understanding of the divestiture phenomenon. This study concludes with a review of this paper’s theoretical contributions to real options theory, the managerial and practical/social implications of real options applications in general, and the valuation methods of abandonment options in particular, shedding light on the potential of future research. Full article
(This article belongs to the Special Issue Financial Econometrics and Quantitative Economic Analysis)
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20 pages, 365 KiB  
Article
The Determinants of the Efficiency of Microfinance Institutions in Africa
by Maroua Zineelabidine, Fadwa Nafssi and Hamza Ayass
J. Risk Financial Manag. 2024, 17(8), 318; https://doi.org/10.3390/jrfm17080318 - 24 Jul 2024
Viewed by 1028
Abstract
Over the past few decades, microfinance institutions have attracted the interest of governments and academics alike, given their unique nature of being financial institutions with a dual mission of promoting social development and reducing poverty. However, concerns have been raised about their effectiveness [...] Read more.
Over the past few decades, microfinance institutions have attracted the interest of governments and academics alike, given their unique nature of being financial institutions with a dual mission of promoting social development and reducing poverty. However, concerns have been raised about their effectiveness in achieving these goals while remaining financially sustainable. In this study, we attempt to examine the factors that have the greatest impact on the social, financial, and overall efficiency of microfinance institutions in African regions. We adopt a two-step approach: First, we assess the efficiency scores of 95 microfinance institutions in Africa between 2005 and 2018 using a data envelopment analysis (DEA) approach. We then regress their efficiency scores on a set of determinant variables, capturing the microfinance institutions’ characteristics. Our findings suggest that a majority of institutions prioritize profitability over social outreach. Furthermore, the panel data regression indicates that factors such as profitability, equity capitalization, types of loans, and low gross domestic product (GDP) have a positive influence on microfinance institutions’ efficiency. Conversely, variables including their risk portfolio, grants, microfinance institution status (Non-Governmental Organization (NGO), cooperative, etc.), operational area, political environment, and size exert a negative impact on efficiency. Through this study, we seek to enhance our understanding of microfinance institutions and to identify the factors that impact their operational efficiency, thereby reinforcing their crucial role in advancing financial inclusion, empowering marginalized communities, and fostering inclusive economic growth. Full article
(This article belongs to the Special Issue Financial Econometrics and Quantitative Economic Analysis)
30 pages, 2069 KiB  
Article
Transmission of Inflation and Exchange Rate Effects: The Markov Switching Vector Autoregressive Methodology
by Heni Boubaker and Ben Saad Zorgati Mouna
J. Risk Financial Manag. 2024, 17(6), 221; https://doi.org/10.3390/jrfm17060221 - 24 May 2024
Viewed by 1609
Abstract
The aim of this study is to delve into the intricate the mechanism through which alterations in currency exchange rates give rise to shifts in inflation rates, while taking into careful consideration the country’s economic cycle. In order to accomplish this objective, we [...] Read more.
The aim of this study is to delve into the intricate the mechanism through which alterations in currency exchange rates give rise to shifts in inflation rates, while taking into careful consideration the country’s economic cycle. In order to accomplish this objective, we used a dataset that spanned from 1 January 1999 to 1 July 2023, focusing our analytical lens on three specific geographic areas, namely the Eurozone, the United Kingdom, and Canada. In our pursuit of understanding this complex relationship, we employed the Markov Switching Vector Autoregressive model. Our research outcomes can be succinctly encapsulated as follows: in the initial stages, particularly during phases characterized by robust economic growth, the transmission of exchange rate effects onto inflation levels appeared to exhibit a partial impact across all geographic areas under examination. However, during periods marked by economic downturns, both the United Kingdom and Canada displayed a distinctly more comprehensive transmission of these effects. Moreover, the prevailing projections for the forthcoming time horizon, across all the countries encompassed by our study, strongly indicate the onset of an expansionary phase that is projected to extend over a span of 25 months. Lastly, concerning the implications of unexpected disturbances or shocks, it is noteworthy that the response of exchange rates to inflation induced shocks was neither immediate nor as pronounced as the corresponding reaction of inflation to sudden shifts in exchange rates. Full article
(This article belongs to the Special Issue Financial Econometrics and Quantitative Economic Analysis)
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19 pages, 1486 KiB  
Article
Navigating Financial Frontiers in the Tourism Economies of Kosovo and Albania during and beyond COVID-19
by Enkeleda Lulaj, Mirela Tase, Conceição Gomes and Lucília Cardoso
J. Risk Financial Manag. 2024, 17(4), 142; https://doi.org/10.3390/jrfm17040142 - 31 Mar 2024
Cited by 1 | Viewed by 1558
Abstract
The problem addressed in this study is the profound impact of the COVID-19 pandemic on the tourism economies of Kosovo (KOS) and Albania (AL), which led to economic–financial stagnation and price increases. The aim was to analyze the financial frontier challenges facing the [...] Read more.
The problem addressed in this study is the profound impact of the COVID-19 pandemic on the tourism economies of Kosovo (KOS) and Albania (AL), which led to economic–financial stagnation and price increases. The aim was to analyze the financial frontier challenges facing the tourism industry during COVID-19 and beyond and propose effective strategies for shaping a sustainable future for countries within Europe with great potential for tourism development in the current decade. The survey was conducted in 102 locations, including cities, municipalities, regions, villages, and neighborhoods in both countries over the years 2020–2023, while data analysis was performed using a cluster analysis (K-means and hierarchical) and the multidimensional scaling method (Alscal). The results highlighted (a) the severe impact of COVID-19 on both the population and businesses in the tourism sector, which will persist beyond the pandemic, (b) the indispensable role of government intervention in alleviating the financial crisis, (c) the need for innovative approaches and accurate financial management by both the country and businesses to attract tourists, and (d) the importance of control and management for financial sustainability. This paper is of significant importance to tourism destinations as it provides insights into the severe impact of COVID-19 on both the population and businesses in the tourism economies. By highlighting the indispensable role of government intervention, the need for innovative approaches and accurate financial management, and the importance of control and management for financial sustainability, the study offers valuable guidance for tourism destinations in navigating the current crisis and attracting tourists. Furthermore, the paper emphasizes the need for future studies to explore opportunities for long-term financial resilience and growth, contributing to the development of sustainable tourism destinations. Full article
(This article belongs to the Special Issue Financial Econometrics and Quantitative Economic Analysis)
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20 pages, 646 KiB  
Article
Exploring Competence-Based Synergism in Strategic Collaborations: Evidence from the Global Healthcare Industry
by Andrejs Čirjevskis
J. Risk Financial Manag. 2024, 17(3), 93; https://doi.org/10.3390/jrfm17030093 - 21 Feb 2024
Viewed by 1912
Abstract
One of the most essential issues in business partners’ collaboration is whether the integration of their businesses creates a collaborative synergy and adds market value to merging companies. This paper aims to develop a methodological framework that will be convenient for managerial praxis [...] Read more.
One of the most essential issues in business partners’ collaboration is whether the integration of their businesses creates a collaborative synergy and adds market value to merging companies. This paper aims to develop a methodological framework that will be convenient for managerial praxis and helpful for scholars’ research in forecasting explicit synergy and valuing tacit synergy in strategic collaborations. The paper theoretically and empirically contributes twofold to strategic foresight. It employs the ARCTIC framework as an extension of the VRIO model to predict an explicit synergy and real options methodology to measure tacit competence-based synergies in M&A deals. The paper makes several theoretical contributions and managerial implications to corporate finance and strategic management disciplines. Finally, the paper discusses research limitations and future work. Full article
(This article belongs to the Special Issue Financial Econometrics and Quantitative Economic Analysis)
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Review

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13 pages, 607 KiB  
Review
Tourism Forecasting of “Unpredictable” Future Shocks: A Literature Review by the PRISMA Model
by Sergej Gricar
J. Risk Financial Manag. 2023, 16(12), 493; https://doi.org/10.3390/jrfm16120493 - 21 Nov 2023
Cited by 1 | Viewed by 2569
Abstract
This study delves into the intricate process of predicting tourism demand, explicitly focusing on econometric and quantitative time series analysis. A meticulous review of the existing literature is carried out to comprehensively understand the various methods for forecasting “unpredictable” shocks of tourism demand [...] Read more.
This study delves into the intricate process of predicting tourism demand, explicitly focusing on econometric and quantitative time series analysis. A meticulous review of the existing literature is carried out to comprehensively understand the various methods for forecasting “unpredictable” shocks of tourism demand on an ex-ante basis. The PRISMA method has been implemented. Drawing on scholarly research, this study pinpoints the critical challenges in accurately predicting tourism demand, making it a valuable resource for tourism professionals and researchers seeking to stay on top of the latest forecasting techniques. Moreover, the study includes an overview of published manuscripts from the current decade, with mixed results from the 32 manuscripts reviewed. The study concludes that virtual tourism, augmented reality, virtual reality, big data, and artificial intelligence all have the potential to enhance demand forecasting in time series econometrics. Full article
(This article belongs to the Special Issue Financial Econometrics and Quantitative Economic Analysis)
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