Annals of Financial Economics (AFE)

2005 - 2019

Current editor(s): Michael McAleer

From World Scientific Publishing Co. Pte. Ltd.
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Volume 14, issue 04, 2019

A NOVEL METHOD FOR ARBITRAGE-FREE OPTION SURFACE CONSTRUCTION pp. 1-14

Greg Orosi

AN OPTION THEORETIC APPROACH TO MARKET EFFICIENCY pp. 1-21

Rajeev R. Bhattacharya

FORECASTING REALIZED VOLATILITY DYNAMICALLY BASED ON ADJUSTED DYNAMIC MODEL AVERAGING (AMDA) APPROACH: EVIDENCE FROM CHINA’S STOCK MARKET pp. 1-21

Ping Yuan

DOES CHANGE IN ECONOMIC POLICY UNCERTAINTY AFFECT REAL ESTATE INVESTMENT TRUSTS (REITs)? pp. 1-24

Ranjeeta Sadhwani, Suresh Kumar Oad Rajput, Asad Ali-Rind and Muhammad Tahir Suleman

A PROPOSAL FOR MULTI-ASSET GENERALIZED VARIANCE SWAPS pp. 1-29

Subhojit Biswas and Diganta Mukherjee

DOES THE BUSINESS CLIMATE AFFECT PRIVATE DOMESTIC AND FOREIGN INVESTMENT? EMPIRICAL EVIDENCE FROM THE MENA REGION pp. 1-29

Ousama Ben-Salha and Mourad Zmami

A PERFORMANCE ANALYSIS OF DOLLAR-COST AVERAGING AND SELF-ANNUITIZATION pp. 1-15

Richard Lu and Meng-Sung Hsieh

Volume 14, issue 03, 2019

DO EXCHANGE RATE CHANGES HAVE SYMMETRIC OR ASYMMETRIC EFFECTS ON INTERNATIONAL TRADE INTEGRATION? pp. 1-21

Suresh Kumar Oad Rajput, Niaz Hussain Ghumro and Nadia Anjum

THE NEXUS BETWEEN ECONOMIC INTEGRATION AND GROWTH: APPLICATION TO VIETNAM pp. 1-16

Minh Nguyen, Bui Ngoc and Duc Vo

ESTIMATING SECTORAL SYSTEMATIC RISK FOR CHINA, MALAYSIA, SINGAPORE, AND THAILAND pp. 1-18

Thach Pham and Duc Vo

VOLATILITY SPILLOVER EFFECT OF FEDERAL RESERVE’S BALANCE SHEET ON THE FINANCIAL AND GOODS MARKETS OF INDO-PAK REGION pp. 1-18

Qasim Raza Syed, Waseem Shahid Malik and Bisharat Hussain Chang

FINANCIAL DEVELOPMENT, TECHNOLOGY AND ECONOMIC DEVELOPMENT: THE ROLE OF INSTITUTIONS IN DEVELOPING COUNTRIES pp. 1-25

Samina Sabir, Rashid Latif, Unbreen Qayyum and Kamran Abass

Volume 14, issue 02, 2019

FINANCIAL INCLUSION AND MACROECONOMIC STABILITY IN EMERGING AND FRONTIER MARKETS pp. 1-15

Anh The Vo, Loan Thi-Hong van, Duc Vo and Michael McAleer

PASS-THROUGH RATE STUDY FOR HONG KONG BANKING INDUSTRY AND ITS APPLICATION TO NONMATURITY DEPOSITS INTEREST RATE RISK MANAGEMENT pp. 1-25

Zhifeng Wang, Fangying Wei and Yuzhou Fang

MULTIFRACTAL BEHAVIOR IN PRECIOUS METALS: WAVELET COHERENCY AND FORECASTING BY VARIMA AND V-FARIMA MODELS pp. 1-12

Itir Doğangün and Gazanfer Ünal

FINANCIAL INTEGRATION AND MACROECONOMIC VOLATILITY: NEW EVIDENCE FROM DSGE MODELING pp. 1-19

Tarek Ghazouani, Ramzi Drissi and Jamel Boukhatem

THE DETERMINANTS OF FINANCIAL INSTABILITY IN EMERGING COUNTRIES pp. 1-19

Duc Vo, Vuong Minh Nguyen, Phat Quang-Ton Le and Thach Pham

Volume 14, issue 01, 2019

SIMPLIFIED OPTION PRICING TECHNIQUES pp. 1-19

Moawia Alghalith, Christos Floros and Thomas Poufinas

EDGEWORTH EXPANSION FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATE IN THE VASICEK MODEL pp. 1-26

Qinwen Zhu, Hui Liu and Chengfeng Sun

QUANTILE ANALYSIS OF INVESTMENT IN PRIVATE PARTICIPATION IN INFRASTRUCTURE PROJECTS pp. 1-26

Jie Yang, Wuqing Wu, Xiao Mao and Zongwu Cai

INVESTMENT IMPLICATIONS OF THE FRACTAL MARKET HYPOTHESIS pp. 1-27

Adam Karp and Gary van Vuuren

SHORT-TERM HERDING EFFECT ON MARKET INDEX RETURNS pp. 1-16

Andrey Kudryavtsev

Volume 13, issue 04, 2018

TESTING THE LONG-RUN RISK MODEL: A KALMAN FILTER APPROACH pp. 1-15

Jianqiu Wang and Ke Wu

U.S. DIESEL FUEL PRICE RESPONSES TO THE GLOBAL CRUDE OIL SUPPLY AND DEMAND pp. 1-25

Bahram Adrangi, Arjun Chatrath, Joseph Macri and Kambiz Raffiee

ASYMMETRIC IMPACT OF EXCHANGE RATE CHANGES ON THE TRADE BALANCE: DOES GLOBAL FINANCIAL CRISIS MATTER? pp. 1-18

Bisharat Hussain Chang, Suresh Kumar Oad Rajput and Niaz Hussain Ghumro

FINANCIAL LIBERALIZATION AND STOCK MARKET EFFICIENCY: MEASURING THE THRESHOLD EFFECTS OF GOVERNANCE pp. 1-24

Navaz Naghavi, Muhammad Shujaat Mubarik and Devinder Kaur

EMPIRICAL ANALYSIS OF BITCOIN PRICES USING THRESHOLD TIME SERIES MODELS pp. 1-24

Rodolfo Angelo Magtanggol Iii de Guzman and Mike K. P. So

Volume 13, issue 03, 2018

PRICING CARBON EMISSIONS IN CHINA pp. 1-37

Chia-Lin Chang, Te-Ke Mai and Michael McAleer

MODELING THE DYNAMICS OF INTERNATIONAL AGRICULTURAL COMMODITY PRICES: A COMPARISON OF GARCH AND STOCHASTIC VOLATILITY MODELS pp. 1-20

Lu Yang and Shigeyuki Hamori

WHAT IMPACT DOES INFLATION TARGETING HAVE ON THE REAL ECONOMY OF DEVELOPING AND EMERGING COUNTRIES? pp. 1-18

Jose Angelo Divino

CONCERNING THE SEIZURE OF COLLATERAL IN COLLATERALIZED LOAN MARKETS pp. 1-9

Adriano Campos Menezes and Jaime Orrillo

TIME DIVERSIFICATION: PERSPECTIVES FROM THE ECONOMIC INDEX OF RISKINESS pp. 1-15

Richard Lu, Chen-Chen Yang and Wing-Keung Wong

Volume 13, issue 02, 2018

THIS TIME IT IS DIFFERENT! OR NOT? DISCOUNTING PAST DATA WHEN PREDICTING THE FUTURE pp. 1-34

Philip Hans Franses and Eva Janssens

A NOTE ON THE LSE OF THREE-REGIME TAR MODEL WITH AN INFINITE VARIANCE pp. 1-13

Yaxing Yang and Shiqing Ling

HERDING IN CRYPTO-CURRENCY MARKETS pp. 1-15

Taufeeq Ajaz and Anoop S. Kumar

NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS pp. 1-23

David Allen, Michael McAleer, Robert Powell and Abhay K. Singh

EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT pp. 1-25

Christian Brownlees, Giuseppe Cavaliere and Alice Monti

Volume 13, issue 01, 2018

THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH pp. 1-25

Takashi Miyazaki and Shigeyuki Hamori

AVERAGE HOLDING PRICE pp. 1-20

Yehong Liu and Guosheng Yin

EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN OIL AND PRECIOUS METALS MARKETS pp. 1-20

Khaled Mokni

OPTIMAL INVESTMENT STRATEGY WITH DIVIDEND PAYING AND PROPORTIONAL TRANSACTION COSTS pp. 1-17

Charles. I. Nkeki

EDITORIAL NOTE: REVIEW PAPERS FOR ANNALS OF FINANCIAL ECONOMICS pp. 1-2

Michael McAleer

Volume 12, issue 04, 2017

AN INCLUSIVE CRITERION FOR AN OPTIMAL CHOICE OF REINSURANCE pp. 1-22

El Attar Abderrahim, El Hachloufi Mostafa and Guennoun Zine El Abidine

TESTING THE CAUSALITIES BETWEEN ECONOMIC POLICY UNCERTAINTY AND THE US STOCK INDICES: APPLICATIONS OF LINEAR AND NONLINEAR APPROACHES pp. 1-20

Serdar Ongan and Ismet Gocer

OPTIMAL INVESTMENT AND OPTIMAL ADDITIONAL VOLUNTARY CONTRIBUTION RATE OF A DC PENSION FUND IN A JUMP-DIFFUSION ENVIRONMENT pp. 1-26

Charles I. Nkeki

CORPORATE FINANCING UNDER HETEROGENEOUS BELIEFS pp. 1-12

Weining Niu

EDITORIAL NOTE: SPECIAL ISSUES OF ANNALS OF FINANCIAL ECONOMICS (AFE) pp. 1-2

Michael McAleer

Volume 12, issue 03, 2017

GAME OPTIONS pp. 1-17

Tumellano Sebehela

THE DYNAMICS OF GOVERNMENT BOND YIELDS IN THE EURO ZONE pp. 1-18

Tanweer Akram and Anupam Das

BIASED VOLUNTARY DISCLOSURE, EARNINGS TARGET, AND PRODUCT MARKET COMPETITION pp. 1-20

Hao-Chang Sung and Chunsheng Yuan

DERIVATION OF A STOCHASTIC LOAN REPAYMENT MODEL FOR VALUING A REVENUE-BASED LOAN CONTRACT pp. 1-29

Hassan Mazengera

FORECASTING OF OIL AND AGRICULTURAL COMMODITY PRICES: VARMA VERSUS ARMA pp. 1-30

Mustafa Gülerce and Gazanfer Ünal

Volume 12, issue 02, 2017

EXPLICIT FORMULAE FOR PARAMETERS OF STOCHASTIC MODELS OF A DISCOUNTED EQUITY INDEX USING MAXIMUM LIKELIHOOD ESTIMATION WITH APPLICATIONS pp. 1-31

K. Fergusson

RETURN AND VOLATILITY SPILLOVER BETWEEN SECTORAL STOCK AND OIL PRICE: EVIDENCE FROM PAKISTAN STOCK EXCHANGE pp. 1-22

Muhammad Malik and Abdul Rashid

GOODNESS-OF-FIT TEST FOR NONLINEAR TIME SERIES MODELS pp. 1-21

Ngai Sze Han and Shiqing Ling

OPTIMAL BANK CAPITAL AND IMPACT OF THE MM THEOREM: A STUDY OF THE PAKISTANI FINANCIAL SECTOR pp. 1-21

Sumera Anis and Abdul Rashid

FINANCIAL CONSTRAINTS AND CORPORATE CASH HOLDINGS: AN EMPIRICAL ANALYSIS USING FIRM LEVEL DATA pp. 1-26

Abdul Rashid and Maryam Ashfaq

Volume 12, issue 01, 2017

CONNECTING THEORY AND EMPIRICS FOR ANIMAL SPIRITS, RETURNS AND INTEREST RATES: A CLARIFICATION OF “RISK-FREE RATES AND ANIMAL SPIRITS IN FINANCIAL MARKETS” pp. 1-2

Jukka Ilomäki

INDIVIDUAL FOREIGN EXCHANGE INVESTORS, RETURN PREDICTABILITY AND MARKET TIMING pp. 1-28

Moustafa Abuelfadl

A STATISTICAL RISK ASSESSMENT OF BITCOIN AND ITS EXTREME TAIL BEHAVIOR pp. 1-19

Joerg Osterrieder and Julian Lorenz

STATISTICAL ARBITRAGE IN THE MULTI-ASSET BLACK–SCHOLES ECONOMY pp. 1-18

Ahmet Göncü and Erdinc Akyildirim

ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE pp. 1-33

K. Fergusson