A Service of Leibniz-Informationszentrum econstor Wirtschaft Leibniz Information Centre Make Your Publications Visible. zbw for Economics Chang, Chia-ling (Ed.) Book — Published Version Applied econometrics Provided in Cooperation with: MDPI – Multidisciplinary Digital Publishing Institute, Basel Suggested Citation: Chang, Chia-ling (Ed.) (2019) : Applied econometrics, ISBN 978-3-03897-927-2, MDPI, Basel, http://dx.doi.org/10.3390/books978-3-03897-927-2 This Version is available at: http://hdl.handle.net/10419/203849 Standard-Nutzungsbedingungen: Terms of use: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Documents in EconStor may be saved and copied for your Zwecken und zum Privatgebrauch gespeichert und kopiert werden. personal and scholarly purposes. 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For citation purposes, cite each article independently as indicated on the article page online and as indicated below: LastName, A.A.; LastName, B.B.; LastName, C.C. Article Title. Journal Name Year, Article Number, Page Range. ISBN 978-3-03897-926-5 (Pbk) ISBN 978-3-03897-927-2 (PDF) c 2019 by the authors. Articles in this book are Open Access and distributed under the Creative Commons Attribution (CC BY) license, which allows users to download, copy and build upon published articles, as long as the author and publisher are properly credited, which ensures maximum dissemination and a wider impact of our publications. The book as a whole is distributed by MDPI under the terms and conditions of the Creative Commons license CC BY-NC-ND. Contents About the Special Issue Editor ...................................... vii Preface to ”Applied Econometrics” ................................... ix Arnab Bhattacharjee and Sudipto Roy Abnormal Returns or Mismeasured Risk? Network Effects and Risk Spillover in Stock Returns Reprinted from: JRFM 2019, 12, 50, doi:10.3390/jrfm12020050 .................... 1 D. O. Olayungbo Effects of Global Oil Price on Exchange Rate, Trade Balance, and Reserves in Nigeria: A Frequency Domain Causality Approach Reprinted from: JRFM 2019, 12, 43, doi:10.3390/jrfm12010043 .................... 14 Duc Hong Vo, Thang Cong Nguyen, Ngoc Phu Tran and Anh The Vo What Factors Affect Income Inequality and Economic Growth in Middle-Income Countries? Reprinted from: JRFM 2019, 12, 40, doi:10.3390/jrfm12010040 .................... 28 Duc Hong Vo, Son Van Huynh, Anh The Vo and Dao Thi-Thieu Ha The Importance of the Financial Derivatives Markets to Economic Development in the World’s Four Major Economies Reprinted from: JRFM 2019, 12, 35, doi:10.3390/jrfm12010035 .................... 40 Thi Huong An Nguyen, Anne Ruiz-Gazen, Christine Thomas-Agnan and Thibault Laurent Multivariate Student versus Multivariate Gaussian Regression Models with Application to Finance Reprinted from: JRFM 2019, 12, 28, doi:10.3390/jrfm12010028 .................... 58 Bahram Adrangi and Joseph Macri Does the Misery Index Influence a U.S. President’s Political Re-Election Prospects? Reprinted from: JRFM 2019, 12, 22, doi:10.3390/jrfm12010022 .................... 79 Adriana Csikosova, Maria Janoskova and Katarina Culkova Limitation of Financial Health Prediction in Companies from Post-Communist Countries Reprinted from: JRFM 2019, 12, 15, doi:10.3390/jrfm12010015 .................... 90 Philip Hans Franses and Max Welz Cash Use of the Taiwan Dollar: Is It Efficient? Reprinted from: JRFM 2019, 12, 13, doi:10.3390/jrfm12010013 ....................104 Hichem Dkhili and Lassad Ben Dhiab The Relationship between Economic Freedom and FDI versus Economic Growth: Evidence from the GCC Countries Reprinted from: JRFM 2018, 11, 81, doi:10.3390/jrfm11040081 ....................110 Ionel Bostan, Aliona Bˆırc˘a, Viorel T, urcanu and Christiana Brigitte Sandu Systemic Approach to Management Control through Determining Factors Reprinted from: JRFM 2018, 11, 65, doi:10.3390/jrfm11040065 ....................127 Subhadeep Mukhopadhyay,and Emanuel Parzen Nonlinear Time Series Modeling: A Unified Perspective, Algorithm and Application Reprinted from: JRFM 2018, 11, 37, doi:10.3390/jrfm11030037 ....................147 v Bert de Bruijn and Philip Hans Franses How Informative Are Earnings Forecasts? Reprinted from: JRFM 2018, 11, 36, doi:10.3390/jrfm11030036 ....................164 Ran Deng and Shermineh Haghani FHA Loans in Foreclosure Proceedings: Distinguishing Sources of Interdependence in Competing Risks Reprinted from: JRFM 2018, 11, 2, doi:10.3390/jrfm11010002 .....................184 Philip Hans Franses and Eva Janssens Recovering Historical Inflation Data from Postage Stamps Prices Reprinted from: JRFM 2017, 10, 21, doi:10.3390/jrfm10040021 ....................199 vi About the Special Issue Editor Chia-Lin Chang holds a PhD (Economics), 2004, Universite´ Catholique de Louvain, Belgium, and is an elected Distinguished Fellow of the International Engineering and Technology Institute (DFIETI), and an elected Fellow of the Modelling and Simulation Society of Australia and New Zealand (FMSSANZ). Chia-Lin Chang is a University Distinguished Professor, Professor of Economics, Professor of Finance, and Director of the Agricultural and Natural Resources Research Centre (ANRRC) at the National Chung Hsing University, Taiwan, Distinguished Visiting Professor in the Faculty of Economic and Financial Sciences, the University of Johannesburg, South Africa, and Adjunct Professor, the Department of Economic Analysis and ICAE, the Complutense University of Madrid (founded 1293), Spain. Chia-Lin Chang has over 100 journal publications (most of which are in Web of Science Clarivate Analytics and Scopus, and chapters in books and edited and fully refereed conference proceedings volumes. Chia-Lin Chang is Executive Editor of the Taiwan Journal of Applied Economics (TJAE) (TSSCI), Co-Editor-in-Chief, Journal of Reviews of Global Economics (JRGE) (Scopus), Editor-in-Chief, Journal of Medical and Health Economics (JMHE), Co-Editor-in-Chief, Journal of Management Information and Decision Sciences (JMIDS), Co-Editor-in-Chief, Journal of Big Data and Computational Science (JBDCS), Senior Co-Editor in Chief, Advances in Decision Sciences (ADS) (Scopus), a member of the Editorial Boards of 20+ international journals, and has guest co-edited special issues of the following Web of Science Clarivate Analytics or Scopus journals: Journal of Econometrics (Elsevier), Mathematics and Computers in Simulation (Elsevier), North American Journal of Economics and Finance (Elsevier), Annals of Financial Economics (World Scientific), Advances in Decision Sciences (Hindawi), Sustainability (MDPI), Energies (MDPI), Journal of Risk and Financial Management (MDPI), Risks (MDPI), and China Finance Review International (Emerald). Chia-Lin Chang has been a visiting professor at the Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands; Faculty of Economics and Faculty of Engineering, University of Tokyo, Japan; Institute of Economic Research, Kyoto University, Japan; Faculty of Economics, Yokohama National University, Japan; Department of Economics, University of Padova (founded 1222), Italy; and Department of Finance, Chinese University of Hong Kong, China; and Department of Mathematics, Hong Kong University of Science and Technology, China. Her research areas include applied econometrics, financial econometrics, applied statistics, quantitative finance, modeling risk, financial portfolio management, energy economics, energy finance, applied time series analysis, forecasting, technology and innovation, empirical industrial organization, health and medical economics, tourism research, tourism management, bibliometrics, and international rankings of journals and academics. vii Preface to ”Applied Econometrics” This monograph is concerned with the broad topic of recent advances in “Applied Econometrics”, and includes novel theoretical and empirical research associated with the application of econometrics in a broad range of disciplines associated with finance,