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Annals of Financial Economics (AFE)

2005 - 2016

Current editor(s): Michael McAleer

From World Scientific Publishing Co. Pte. Ltd.
Series data maintained by Tai Tone Lim ().

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Volume 11, issue 04, 2016

A NOTE ON FERGUSSON AND PLATEN: “APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS” pp. 1-7 Downloads
Luca Vincenzo Ballestra, Graziella Pacelli and Davide Radi
RISK ATTITUDES IN THE BOARD ROOM AND COMPANY PERFORMANCE: EVIDENCE FOR AN EMERGING ECONOMY pp. 1-14 Downloads
Denice Bodeutsch and Philip Hans Franses
CAPITAL ACCOUNT, INSTITUTIONAL QUALITY, AND ECONOMIC GROWTH IN MENA COUNTRIES: A GMM APPROACH pp. 1-23 Downloads
Mohamed Ilyes Gritli and Fatma Marrakchi Charfi
INCOMPLETE EXCHANGE RATE PASS-THROUGH TRANSMISSION TO PRICES: AN SVAR MODEL FOR TUNISIA pp. 1-23 Downloads
Fatma Marrakchi Charfi and Mohamed Kadria
A MULTISCALE STOCHASTIC CONDITIONAL DURATION MODEL pp. 1-28 Downloads
Zhongxian Men, Tony S. Wirjanto and Adam W. Kolkiewicz

Volume 11, issue 03, 2016

MARKET RISK OF INVESTMENT IN US SUBPRIME CRISIS: COMPARISON OF A PURE DIFFUSION AND A PURE JUMP MODEL pp. 1-17 Downloads
Sharif Mozumder and Arafatur Rahman
RISK-FREE RATES AND ANIMAL SPIRITS IN FINANCIAL MARKETS pp. 1-18 Downloads
Jukka Ilomäki
SPATIAL PATTERNS OF ECONOMIC RENTS: DEVELOPING SUVARNABHUMI INTERNATIONAL AIRPORT, THAILAND pp. 1-13 Downloads
Chakarin Bejrananda, Yuk Lee and Thanchanok Bejrananda
PRICING COVARIANCE SWAPS FOR BARNDORFF–NIELSEN AND SHEPHARD PROCESS DRIVEN FINANCIAL MARKETS pp. 1-32 Downloads
Semere Habtemicael and Indranil Sengupta
ENDOGENIZING CONSUMPTION DECISION IN THE FRENKEL–JOVANOVIC STOCHASTIC MODEL OF MONEY HOLDING pp. 1-10 Downloads
R. Ahalya and R. Ramanathan

Volume 11, issue 02, 2016

DAY-OF-THE-WEEK EFFECT IN US BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES MATTER? pp. 1-17 Downloads
Swarn Chatterjee and Amy Hubble
MODELING DEPENDENCY OF VOLATILITY ON SAMPLING FREQUENCY VIA DELAY EQUATIONS pp. 1-21 Downloads
Chuong Luong and Nikolai Dokuchaev
PORTFOLIO FORMATION MEMORY pp. 1-16 Downloads
Tumellano Sebehela
INFERRING THE ECONOMIC PREFERENCE OF A RENTAL VEHICLE COMPANY BY MODELING ITS DE-FLEETING PROCESS pp. 1-12 Downloads
Chuan-Hsiang Han, Jingren Shi and Suzhou Huang
BOUNDARY CONTROL OF THE BLACK–SCHOLES PDE FOR OPTION DYNAMICS STABILIZATION pp. 1-29 Downloads
Gerasimos G. Rigatos

Volume 11, issue 01, 2016

ESTIMATING PREFERENCE PARAMETERS FROM STOCK RETURNS USING SIMULATED METHOD OF MOMENTS pp. 1-13 Downloads
Anindya Biswas and Biswajit Mandal
A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK pp. 1-8 Downloads
Moawia Alghalith, Xu Guo, Wing-Keung Wong and Lixing Zhu
RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES pp. 1-26 Downloads
Michele Costola and Massimiliano Caporin
SHORT RATE FORECASTING BASED ON THE INFERENCE FROM THE CIR MODEL FOR MULTIPLE YIELD CURVE DYNAMICS pp. 1-33 Downloads
Lin-Yee Hin and Nikolai Dokuchaev
MARKET COMPETITION, ARBITRAGE RISK, AND CAPITAL STRUCTURE: EVIDENCE FROM TAIWAN pp. 1-11 Downloads
Yu-En Lin, Hsiang-Hsuan Chih, Chia-Hsin Cheng and Yan-Qing Ku

Volume 10, issue 02, 2015

PREDICTING BY LEARNING: AN ADAPTIVE RATIONALE pp. 1-14 Downloads
Kaihua Deng
CONSTRUCTION OF MODELS FOR BOUNDED PRICE PROCESSES: THE CASE OF THE HKD EXCHANGE RATE pp. 1-23 Downloads
Hong Ben Yee and Nikolai Dokuchaev
OPTIMAL PORTFOLIOS OF CORPORATE BONDS AND HOLD TO MATURITY STRATEGIES pp. 1-34 Downloads
Yaacov Kopeliovich
VOLATILITY IN COPPER PRICES IN INDIA pp. 1-26 Downloads
Nidhi Choudhary, Girish K. Nair and Harsh Purohit
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS pp. 1-26 Downloads
K. Fergusson and E. Platen
THE IMPACT OF INTERNAL CONTROL ON FIRM’S RISK AND PERFORMANCE pp. 1-18 Downloads
Yu-En Lin, Hsiang-Hsuan Chih, Chia-Hsien Tang and Tai-Hsun Huang
ELUCIDATING EQUITY PREMIUM USING CORPORATE DIVIDENDS AND HABIT FORMATION pp. 1-20 Downloads
Jow-Ran Chang and Hsu-Hsien Chu
PREDICTING STOCK RETURNS — THE INFORMATION CONTENT OF PREDICTORS ACROSS HORIZONS pp. 1-27 Downloads
Kaihua Deng and Chang-Jin Kim
ASSET PRICING WITH NON-GEOMETRIC TYPE OF DIVIDENDS pp. 1-38 Downloads
Akira Yamazaki
IMPROVED DETECTION OF RARE-EVENT RISK OF A PORTFOLIO WITH U.S. REITs pp. 1-25 Downloads
Leh-Chyan So and Jun-Yang Yu

Volume 10, issue 01, 2015

IS BITCOIN BUSINESS INCOME OR SPECULATIVE FOOLERY? NEW IDEAS THROUGH AN IMPROVED FREQUENCY DOMAIN ANALYSIS pp. 1-23 Downloads
Jamal Bouoiyour, Refk Selmi and Aviral Tiwari
THE DISPOSITION EFFECT, ESCALATION OF COMMITMENT AND HERDING BEHAVIOR OF MUTUAL FUND MANAGERS pp. 1-23 Downloads
Yu-En Lin, Hsiang-Hsuan Chih, Tai-Hsun Huang and Chia-Hsien Tang
ON THE IMPACT OF THE BOUNDARY ON DYNAMICS: ANTI-PERSISTENCE IN THE CASE OF THE HKD EXCHANGE RATE CORRIDOR pp. 1-25 Downloads
Hong Ben Yee
CONSOLIDATION WITHIN THE BANKING SECTOR AND SAVINGS DEPOSITS: EFFECTS ON LIQUIDITY, OUTPUT, AND PROFITABILITY WITHIN THE NIGERIAN ECONOMY pp. 1-29 Downloads
Oghenovo Adewale Obrimah and Chidinma Edith Ebere
FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK pp. 1-29 Downloads
Alexandros Gabrielsen, Axel Kirchner, Zhuoshi Liu and Paolo Zagaglia
OFF-BALANCE SHEET ACTIVITIES AND BANK RISKS: AN INVESTIGATION OF THE LISTED COMMERCIAL BANKS IN CHINA (1999–2013) pp. 1-21 Downloads
Kangwei Ye
DON'T PUT ALL YOUR EGGS ON ONE BASKET: THE LESSON FROM DETROIT'S BANKRUPTCY pp. 1-20 Downloads
Yu Peng Lin

Volume 09, issue 03, 2014

ANALYSIS OF MARKET VOLATILITY VIA A DYNAMICALLY PURIFIED OPTION PRICE PROCESS pp. 1-19 Downloads
Chuong Luong and Nikolai Dokuchaev
THE "DELTA" OF THE MARGRABE FORMULA pp. 1-19 Downloads
Tumellano Sebehela
BAYESIAN ESTIMATION OF ASYMMETRIC JUMP-DIFFUSION PROCESSES pp. 1-29 Downloads
Samuel J. Frame and Cyrus A. Ramezani

Volume 09, issue 02, 2014

RECENT DEVELOPMENTS IN QUANTITATIVE FINANCE: AN OVERVIEW pp. 1-7 Downloads
Chia-Lin Chang, Shing-Yang Hu and Shih-Ti Yu
CREDIT SPREADS AND BANKRUPTCY INFORMATION FROM OPTIONS DATA pp. 1-22 Downloads
Chi-Feng Tzeng
THE EFFECTS OF FIRM CHARACTERISTICS AND RECOGNITION POLICY ON EMPLOYEE STOCK OPTIONS PRICES AFTER CONTROLLING FOR SELF-SELECTION pp. 1-30 Downloads
Chii-Shyan Kuo and Shih-Ti Yu
QMLE OF A STANDARD EXPONENTIAL ACD MODEL: ASYMPTOTIC DISTRIBUTION AND RESIDUAL CORRELATION pp. 1-10 Downloads
Chor-Yiu Sin
THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE pp. 1-23 Downloads
Renfei Gao, Cindy S. H. Wang and Christian M. Hafner
EDITORIAL NOTE: INTRODUCTION TO THE INAUGURAL SPECIAL ISSUE pp. 1-1 Downloads
Michael McAleer
ACTUARIAL IMPLICATIONS OF STRUCTURAL CHANGES IN EL NIÑO-SOUTHERN OSCILLATION INDEX DYNAMICS pp. 1-20 Downloads
Shu-Ling Chen and Yu-Lieh Huang
TESTING PRICE PRESSURE, INFORMATION, FEEDBACK TRADING, AND SMOOTHING EFFECTS FOR ENERGY EXCHANGE TRADED FUNDS pp. 1-26 Downloads
Chia-Lin Chang and Yu-Pei Ke
USING TWO-PART QUANTILE REGRESSION TO ANALYZE HOW EARNINGS SHOCKS AFFECT STOCK REPURCHASES pp. 1-13 Downloads
Chih-Yi Chi, Shih-Ti Yu, Yi Tzu Li and Yu-Lung Lu
FAST METHODS FOR LARGE-SCALE NON-ELLIPTICAL PORTFOLIO OPTIMIZATION pp. 1-32 Downloads
Marc S. Paolella
DOES CEO INCENTIVE PAY IMPROVE BANK PERFORMANCE? A QUANTILE REGRESSION ANALYSIS OF U.S. COMMERCIAL BANKS pp. 1-28 Downloads
Min-Lee Chan, Cho-Min Lin, Hsin-Yu Liang and Ming-Hua Chen
SEARCHING FOR LANDMINES IN EQUITY MARKETS pp. 1-24 Downloads
Bi-Juan Chang, Jow-Ran Chang and Mao-Wei Hung

Volume 09, issue 01, 2014

JUST HOW GOOD ARE THE TOP THREE JOURNALS IN FINANCE? AN ASSESSMENT BASED ON QUANTITY AND QUALITY CITATIONS pp. 1-31 Downloads
Chia-Lin Chang and Michael McAleer
ARE REAL OPTIONS "REAL"? ISOLATING UNCERTAINTY FROM RISK IN REAL OPTIONS ANALYSIS pp. 1-18 Downloads
Leh-Chyan So
YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL pp. 1-20 Downloads
Nagaratnam Jeyasreedharan, David Allen and Joey Wenling Yang
AN ANALYSIS OF STOCK REPURCHASE TRANSACTION USING A PANEL DATA SAMPLE SELECTION MODEL pp. 1-24 Downloads
Chii-Shyan Kuo, Shih-Ti Yu and Che-Ching Liao
SHORT-RUN ARBITRAGE IN CRISIS MARKETS — EXPERIMENTAL EVIDENCE pp. 1-60 Downloads
Doron Sonsino and Tal Shavit
Page updated 2017-07-21