Econometric Reviews, Volume 42, Issue 9-10 (2023)

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Econometric Reviews, Volume 42, Issue 9-10 (2023)

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Special issue: In memory of Michael McAleer

Obituary

Obituary
In memory of Michael McAleer: special issue of Econometric Reviews
Esfandiar Maasoumi & Robert Taylor
Pages: 700-702
Published online: 17 Aug 2023
First Page PreviewforIn memory of Michael McAleer: special issue of Econometric Reviews | Full Text | PDF (337.5 KB) | EPUB
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Research Articles

Article
Extremal quantiles and stock price crashes
Panayiotis C. Andreou, Sofia Anyfantaki, Esfandiar Maasoumi & Carlo Sala
Pages: 703-724
Published online: 20 Aug 2023
AbstractforExtremal quantiles and stock price crashes | Full Text | References | PDF (2.2 MB) | EPUB
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Article
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
H. Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis & A. M. Robert Taylor
Pages: 725-757
Published online: 12 Jul 2023
AbstractforAdaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models | Full Text | References | PDF (2.3 MB) | EPUB
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Article
Endogeneity in semiparametric threshold regression models with two threshold variables
Chaoyi Chen, Thanasis Stengos & Yiguo Sun
Pages: 758-779
Published online: 22 Jun 2023
AbstractforEndogeneity in semiparametric threshold regression models with two threshold variables | Full Text | References | PDF (1.6 MB) | EPUB | Supplemental
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Article
Forecasting Levels in Loglinear Unit Root Models
Kees Jan van Garderen
Pages: 780-805
Published online: 12 Jul 2023
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Article
Inference for the VEC(1) model with a heavy-tailed linear process errors*
Feifei Guo & Shiqing Ling
Pages: 806-833
Published online: 31 Jul 2023
AbstractforInference for the VEC(1) model with a heavy-tailed linear process errors* | Full Text | References | PDF (2.2 MB) | EPUB | Supplemental
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Article
Improved tests for stock return predictability
David I. Harvey, Stephen J. Leybourne & A. M. Robert Taylor
Pages: 834-861
Published online: 14 Jul 2023
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