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Editorial Board of Computational and Financial Econometrics

The CFEnetwork is currently publishing the Annals of Computational and Financial Econometrics as a supplement to the journal of Computational Statistics & Data Analysis. The Annals of CFE serve as an outlet for distinguished research papers in computational econometrics and financial econometrics.

Authors submitting a paper to CSDA may request that it be considered for inclusion in the Annals. Papers for the special 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 and the Co-Editor responsible for the Annals. All submissions must contain original unpublished work not being considered for publication elsewhere.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. Each issue will be edited by several Guest Editors and Associated Editors who will be responsible, together with the CSDA Co-Editors, for the selection of the papers. The first Issue of the CSDA Annals of Computational and Financial Econometrics comprises 51 papers (Published May 2012).
The list of papers can be found at Vol. 56, Issue (11), Pages 2991-3808, November 2012.

CFE Editors

Erricos J. Kontoghiorghes
Cyprus University of Technology and Queen Mary, University of London, UK, Cyprus

Herman K. Van Dijk
Erasmus Universiteit Rotterdam and VU University Amsterdam, The Netherlands

CFE Advisory Board

David A. Belsley
Boston College, USA
Econometrics, forecasting, data analysis, simlutaneous systems estimation, computational research

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

Jean-Marie Dufour
McGill University, Canada
Econometrics and statistics, macroeconomics, finance, public finance

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

Andrew Harvey
University of Cambridge, UK
Time series and econometrics, macroecometrics and financial econometrics, state space models, signal extraction, volatility, quantiles and copulas.

Siem Jan Koopman
VU University Amsterdam, The Netherlands
Statistical analysis of time series, financial econometrics, simulation-based estimation, Kalman filter, economic forecasting

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. Philllips
Yale University, University of Auckland, Singapore Management University, University of Southampton., USA
Time series, panels, trends, bubbles, financial warning alert systems

Richard J Smith
University of Cambridge, UK
Econometric theory, estimation and inference in econometrics, hypothesis testing, model selection

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

Qiwei Yao
London School of Economics, UK
Time series analysis, nonparametric regression, dimension reduction and factor modelling, spatio-temporal modelling, financial econometrics

CFE Associate Editors:

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

Luc Bauwens
Universite catholique de Louvain, Belgium
Econometrics, time series modelling and forecasting, Bayesian inference, simulation methods

Monica Billio
University 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

Cathy W.S. Chen
Feng Chia University, Taiwan
Financial econometric, time series modelling and forecasting, market volatility and value at risk, Bayesian methods

Ana Colubi
University of Oviedo, Spain
CMStatistics associate editor and conference coordinator

Manfred Deistler
Vienna University of Technology, Austria
Time series analysis, econometrics, systems identification

Christian Francq
CREST and University Lille III, France
Econometrics, time series models, stochastic processes, estimation methods, testing problems, non parametric estimation and prediction

Marc Hallin
Universite Libre de Bruxelles, Belgium
Time series, factor models, asymptotic theory of statistical experiments

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

Gary Koop
University of Strathclyde, UK
Bayesian econometrics, empirical macroeconomics

Helmut Luetkepohl
Freie Universit├Ąt Berlin and DIW Berlin, Germany
Multiple time series analysis, cointegration, structural vector autoregressive anaysis, forecasting methods, aggregation of time series

James G. MacKinnon
Queen's University, Canada
Bootstrap methods, specification testing

Stefan Mittnik
University of Munich, Germany

Yasuhiro Omori
University of Tokyo, Japan
Bayesian analysis, Bayesian econometrics, Markov chain Monte Carlo, stochastic volatility, state space model

D.S.G. Pollock
University of Leicester, UK
Statistical analysis in the frequency domain, filtering methods, wavelets, econometric methods, time series analysis, functional analysis

Tommaso Proietti
Universita di Roma Tor Vergata, Italy
Econometrics, time series, latent components, and spatial statistics

Jeroen V.K. Rombouts
ESSEC Business School, France
Financial econometrics, volatility, option pricing, times series forecasting, Bayesian times series

Olivier Scaillet
University of Geneva and Swiss Finance Institute, Switzerland
Multiple testing, factor model, large panel, risk measures, resampling techniques

Willi Semmler
New School for Social Research, Germany
Empirical macroeconomics, business cycles, macro dynamics, dynamic portfolio modeling, multi regime models, multi regime VAR, dynamic programming, Nonlinear Model Predictive Control

Mike K .P. So
Hkust Business School, China
Bayesian analysis, financial time series modeling, market volatility study, risk management

Mark Steel
University of Warwick, UK
Bayesian inference, models with unobserved heterogeneity, MCMC methods, inference robustness, model choice and Bayesian model averaging, improper and reference priors, mixture modelling, skewness, inference in stochastic processes, spatial statistics, semi- and nonparametric Bayesian, growth theory, stochastic frontier models, contingent valuation, stochastic volatility models

Robert Taylor
University of Essex, UK
Bootstrap methods for non-stationary time series, co-integration methods, (seasonal) unit root tests, stationarity tests, stochastic volatility, persistence change testing and structural breaks

Elias Tzavalis
Athens University of Economics & Business, Greece
Econometrics, financial and monetary economics

Peter Winker
University of Giessen, Germany
Time series modeling, uniform design, optimization heuristics in statistics and econometrics

Jean-Michel Zakoian
CREST, France
Volatility and risk modeling, asymptotic statistics, nonlinear time series

CFE Guest Editors:

Peter Boswijk
University of Amsterdam, The Netherlands
Econometrics, non-stationary time series, unit roots and cointegration, volatility and correlation modelling

Lynda Khalaf
University of Carleton, Canada
Simulation-based inference, identification-robust inference, multivariate models, asset pricing models, inflation modelling

Alessandra Luati
University of Bologna, Italy
Frequency domain analysis, spectral methods, signal extraction, turning point detection, predictive densities

John Maheu
McMaster University, Canada
Bayesian econometrics, volatility modelling, nonparametric Bayesian, times series forecasting

Esther Ruiz
Universidad Carlos III, Spain
Stochastic volatility models, nobserved component models, Bootstrap procedures

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