Applied Econometrics and International Finance: Analysis, Modeling, and Development

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: 31 August 2025 | Viewed by 387

Special Issue Editors


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Guest Editor
Department of Economics, Ghent University, 9000 Ghent, Belgium
Interests: market microstructure; international financial markets; emerging markets finance; international asset management and institutional investors
Special Issues, Collections and Topics in MDPI journals

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Guest Editor
1. Graduate School of Management, Saint Petersburg State University, 199004 Saint Petersburg, Russia
2. Geographical Institute “Jovan Cvijic” SASA, 11000 Belgrade, Serbia
Interests: financial risk management; learning in finance; digital finance; portfolio theory; AI in finance
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

This Special Issue focuses on the development and application of advanced econometric methods to address the complexities of international finance. We aim to gather research that examines the dynamic interplay between financial markets, economic policies, and international capital flows, offering innovative approaches to risk modeling, financial development, and global economic integration. We invite contributions from a wide array of applied econometrics, including but not limited to time series analysis, panel data, machine learning applications, and quantitative risk assessment. We particularly encourage papers that utilize econometric techniques to explore the following pressing issues in international finance:

  • Volatility, spillovers, and risk management in global markets;
  • Impact of economic policies on international financial stability;
  • Exchange rates, capital flows, and trade dynamics;
  • Financial crises, contagion, and systemic risks;
  • The role of financial technologies and innovations in global finance;
  • The interaction between financial development and macroeconomic factors in emerging and developed economies;
  • Dynamic econometric models;
  • The role of central banks and monetary policies in shaping international capital flows;
  • Banking sector stability and the influence of global regulatory frameworks;
  • Integration of ESG factors into international financial risk models;
  • The effects of geopolitical events on international investment and market volatility;
  • Cross-border mergers and acquisitions—financial integration and market efficiency;
  • Emerging financial markets and the impact of global financial shocks;
  • Behavioral finance in international markets—investor sentiment and decision making;
  • Quantitative models for forecasting international asset returns and risks.

Prof. Dr. Michael Frömmel
Dr. Darko Vukovic
Guest Editors

Manuscript Submission Information

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Keywords

  • applied econometrics
  • international finance
  • risk modeling
  • financial markets
  • capital flows
  • economic policies
  • quantitative risk assessment
  • time series analysis
  • financial development
  • machine learning in finance

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Published Papers (1 paper)

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Research

29 pages, 1456 KiB  
Article
Inter-Market Mean and Volatility Spillover Dynamics Between Cryptocurrencies and an Emerging Stock Market: Evidence from Thailand and Sectoral Analysis
by Yanjia Zhang, Shih-tse Lo and Dhanoos Sutthiphisal
Risks 2025, 13(4), 77; https://doi.org/10.3390/risks13040077 - 15 Apr 2025
Viewed by 113
Abstract
The increasing interaction between the equity market and cryptocurrencies has raised concerns about volatility spillovers; however, empirical evidence about sectoral-specific spillover effects in emerging markets is scarce and hard to find. Existing research mainly concentrates on developed markets and aggregate equity indices, leaving [...] Read more.
The increasing interaction between the equity market and cryptocurrencies has raised concerns about volatility spillovers; however, empirical evidence about sectoral-specific spillover effects in emerging markets is scarce and hard to find. Existing research mainly concentrates on developed markets and aggregate equity indices, leaving a research gap in comprehending how sectoral indices variations impact market interactions in developing financial markets like Thailand. This article investigates the mean and volatility spillover effects between the Thai stock market and leading cryptocurrencies from April 2019 to April 2024. Applying bivariate VAR (1)-BEKK-GARCH (1,1) with an asymmetry model, this study examines the aggregate and sectoral-specific mean and volatility spillovers across major Thai stock market sectors. The findings reveal the significant mean spillover effect from cryptocurrencies to the Thai stock market with sectoral variation, while sectors such as industrials and financials exerted significant linkages, and the agricultural and food sector remains unaffected. Additionally, volatility spillovers were predominantly transmitted from the Thai equity market to cryptocurrency. Moreover, asymmetry effects were observed, with the asymmetry effects mainly transmitted from the Thai equity market to cryptocurrency. These findings provide critical insights for both individual and institutional investors on risk management and portfolio diversification while also helping policymakers with guidance on regulatory measures to mitigate systemic risks in emerging financial markets. Full article
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