News - Recently updated info
Become a member
Highlights
Journal
Annals of Computational and Financial Econometrics

The Annals of Computational and Financial Econometrics are published as a supplement to the journal of Econometrics and Statistics (EcoSta). The Annals of CFE serve as an outlet for distinguished research papers in computational econometrics and financial econometrics.

Authors submitting a paper to EcoSta may request that it be considered for inclusion in the Annals. Papers for the Annals issue should be submitted using the Elsevier Electronic Submission tool EES. In the EES please choose as article type the Annals of Computational and Financial Econometrics. All submissions must contain original unpublished work not being considered for publication elsewhere.

The high standards of the Annals will make it a valuable resource for econometric research. The Annals of CFE will be edited by the EcoSta Editorial Board (Part A - Econometrics) who will be responsible, together with several Guest Associated Editors, for the selection of the papers.

Previously the three issues of the Annals of CFE were published by the journal of Computational Statistics & Data Analysis: 51 papers, Vol. 56 (11), 2012; 46 papers, Volume 76, 2014; and 48 papers, Volume 100, 2016.

4th Special Issue: Call for papers in pdf file

For further information please send an email to editor@econometricsandstatistics.org

Editors

Erricos J. Kontoghiorghes
Cyprus University of Technology and Queen Mary, University of London, UK, Cyprus
Editor-in-chief

Herman K. Van Dijk
Erasmus Universiteit Rotterdam and VU University Amsterdam, The Netherlands
Co-editor Part A


Advisory Board

Tim Bollerslev
Duke University, USA
Measuring, modeling, and forecasting financial market volatility

Francis X. Diebold
University of Pennsylvania, USA
Economic and financial measurement, modeling and forecasting, with emphasis on asset return volatility and correlation, yield curves, links to macroeconomic fundamentals, risk management, and business cycles

Robert Engle
New york University, USA
Macro economics, energy markets, urban economies and emerging markets, financial asset classes

Hashem Pesaran
University of Cambridge, USA
Heterogeneous panels with unobserved common effects, panel unit root tests, PVAR, long-run structural macroeconometric modelling, GVAR, structural breaks, financial econometric s

Peter C.B. Phillips
Yale University, University of Auckland, Singapore Management University, University of Southampton., USA
Time series, panels, trends, bubbles, financial warning alert systems

Mike West
Duke University, USA
Bayesian statistics involving stochastic modelling in higher-dimensional problems: dynamic models in time series analysis, multivariate analysis, latent structure, stochastic computational methods, parallel/GPU computing


Guest Associate Editors:

Sung Ahn
Washington State university, United States
Multivariate Time Series, Cointegration

Alessandra Amendola
University of Salerno, Italy
Time series, nonlinear models, forecasting, financial data analysis

Monica Billio
University Ca' Foscari of Venice, Italy
Dynamic latent factor models, simulation-based Inference, volatility and risk modelling, switching regime models, volatility transmission and contagion, business cycle analysis, hedge funds, systemic risk

Eric Jacquier
Boston University School of Management, USA
Bayesian methods in finance, risk and volatility estimation, portfolio and asset allocation

Kenneth Judd
Stanford University, USA
Computational methods for economic modeling, tax policy, antitrust issues, macroeconomics, and policies related to climate change

Gael Martin
Monash University, Australia
Bayesian econometrics, simulation methods, non-Gaussian time series analysis

Carsten Trenkler
Universitaet Mannheim, Germany
Time series analysis, cointegration, bootstrap