Annals of Financial Economics (AFE)
2005 - 2021
Current editor(s): Michael McAleer From World Scientific Publishing Co. Pte. Ltd. Bibliographic data for series maintained by Tai Tone Lim (). Access Statistics for this journal.
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Volume 16, issue 04, 2021
- INVESTOR SENTIMENT CONNECTEDNESS: EVIDENCE FROM LINEAR AND NONLINEAR CAUSALITY APPROACHES pp. 1-29

- Aviral Tiwari, Deven Bathia, Elie Bouri and Rangan Gupta
- APPROXIMATE SERIES SOLUTIONS OF A ONE-FACTOR TERM STRUCTURE MODEL FOR BOND PRICING pp. 1-22

- Sunday Onos Edeki, Deborah Chikwado Okoli, Hijaz Ahmad and Wing-Keung Wong
- THE EFFECTS OF U.S. MONETARY POLICY UNCERTAINTY SHOCK ON INTERNATIONAL EQUITY MARKETS pp. 1-14

- Raymond Aor, Afees Salisu and Isah J. Okpe
- NON-CENTRAL MOMENTS OF THE TRUNCATED NORMAL VARIABLE IN FINANCE pp. 1-23

- Fausto Corradin and Domenico Sartore
- SYMMETRIC IMPACT OF EXCHANGE RATE VOLATILITY ON FOREIGN DIRECT INVESTMENT IN PAKISTAN: DO THE GLOBAL FINANCIAL CRISES AND POLITICAL REGIMES MATTER? pp. 1-21

- Muhammad Ramzan
- MACROECONOMIC DETERMINANTS OF HOUSEHOLD CONSUMPTIONS IN GEORGIA pp. 1-16

- Azer Dilanchiev and Tengiz Taktakishvili
Volume 16, issue 03, 2021
- EDITORIAL STATEMENT IN HONOR OF PROFESSOR MICHAEL MCALEER pp. 1-21

- Moawia Alghalith, Norman Swanson, Andrey Vasnev and Wing-Keung Wong
- CORPORATE VALUATION SPURRED BY INFORMATION TRANSPARENCY IN AN EMERGING ECONOMY pp. 1-21

- Tran Thai Ha Nguyen, Wing-Keung Wong, Gia Quyen Phan, Dang Thanh Minh Tran and Massoud Moslehpour
- STRATEGIC INTERACTIONS AND NEGATIVE OIL PRICES pp. 1-33

- Chenghu Ma and Xianzhen Wang
- GEOPOLITICAL RISKS AND THE HIGH-FREQUENCY MOVEMENTS OF THE US TERM STRUCTURE OF INTEREST RATES pp. 1-16

- Rangan Gupta, Anandamayee Majumdar, Jacobus Nel and Sowmya Subramaniam
- UNIVERSAL RISK BUDGETING pp. 1-18

- Alex Garivaltis
- ARBITRAGEUR BEHAVIOR IN SENTIMENT-DRIVEN ASSET-PRICING pp. 1-37

- Erdem Kilic and Oguzhan Gã–ksel
Volume 16, issue 02, 2021
- ZERO-INFLATED POISSON REGRESSION MODELS: APPLICATIONS IN THE SCIENCES AND SOCIAL SCIENCES pp. 1-19

- Buu-Chau Truong, Kim-Hung Pho, Cong-Chanh Dinh and Michael McAleer
- THE IMPACT OF CAPITAL STRUCTURE AND OWNERSHIP ON THE PERFORMANCE OF STATE ENTERPRISES AFTER EQUITIZATION: EVIDENCE FROM VIETNAM pp. 1-22

- Nguyen Duy Suu, Ho Thuy Tien and Wing-Keung Wong
- CASES, DEATHS, STRINGENCY INDEXES AND INDIAN FINANCIAL MARKET — EMPIRICAL EVIDENCE DURING COVID-19 PANDEMIC pp. 1-13

- Shailaja Kheni and Santosh Kumar
- UNCERTAINTY RELATED TO INFECTIOUS DISEASES AND FORECASTABILITY OF THE REALIZED VOLATILITY OF US TREASURY SECURITIES pp. 1-12

- Sisa Shiba and Rangan Gupta
- EVALUATING THE EFFICIENCY OF VIETNAM BANKS USING DATA ENVELOPMENT ANALYSIS pp. 1-17

- Do Thi Thanh Nhan, Kim-Hung Pho, Dang Thi van Anh and Michael McAleer
Volume 16, issue 01, 2021
- ASSET INVESTMENT DIVERSIFICATION, BANKRUPTCY RISK AND THE MEDIATING ROLE OF BUSINESS DIVERSIFICATION pp. 1-26

- Thanh Vu, Minh Nguyen and Michael McAleer
- REGULARIZATION METHODS FOR ESTIMATING A MULTI-FACTOR CORPORATE BOND PRICING MODEL: AN APPLICATION FOR BRAZIL pp. 1-20

- Paulo Roberto Guimarães, Osvaldo Candido and André Ronzani
- THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND CORPORATE TAX RATES pp. 1-13

- Matthew Clance, Giray Gözgör, Rangan Gupta and Chi Keung Lau
- SUBMISSIONS AND ACCEPTANCES FOR THE ANNALS OF FINANCIAL ECONOMICS (AFE) pp. 1-2

- Michael McAleer
- LIMIT-TO-ARBITRAGE FACTORS AND IVOL RETURNS PUZZLE: EMPIRICAL EVIDENCE FROM TAIWAN BEFORE AND DURING COVID-19 pp. 1-18

- Khoa Dang Duong, Qui Nhat Nguyen, Truong Vinh Le and Diep van Nguyen
- PRICING OPTIONS UNDER STOCHASTIC INTEREST RATE AND THE FRASCA–FARINA PROCESS: A SIMPLE, EXPLICIT FORMULA pp. 1-4

- Moawia Alghalith
Volume 15, issue 04, 2020
- REVENUE DIVERSIFICATION AND BANKING RISK: DOES THE STATE OWNERSHIP MATTER? EVIDENCE FROM AN EMERGING MARKET pp. 1-18

- Giang Thi Huong Vuong and Manh Huu Nguyen
- PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS pp. 1-15

- David Allen and Michael McAleer
- SIMPLE BAYESIAN FORECAST COMBINATION pp. 1-7

- Philip Hans Franses
- HISTORICAL FORECASTING OF INTEREST RATE MEAN AND VOLATILITY OF THE UNITED STATES: IS THERE A ROLE OF UNCERTAINTY? pp. 1-17

- Hossein Hassani, Mohammad Reza Yeganegi and Rangan Gupta
- FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK? pp. 1-26

- David Allen and Michael McAleer
- PRICING MULTI-ASSET AMERICAN OPTION WITH STOCHASTIC CORRELATION COEFFICIENT UNDER VARIANCE GAMMA ASSET PRICE DYNAMIC pp. 1-25

- Farshid Mehrdoust and Oldouz Samimi
Volume 15, issue 03, 2020
- FINANCIAL INTEGRATION, ENERGY CONSUMPTION AND ECONOMIC GROWTH IN VIETNAM pp. 1-19

- Minh Nguyen, Bui Ngoc and Michael McAleer
- PRIOR TRADING OUTCOMES AND SUBSEQUENT PORTFOLIO RISKS: USING SECURITIES DEALER IN TAIWAN AS AN EXAMPLE pp. 1-30

- Yong-Chin Liu, Hsiang-Ju Chen and Wei-Ting Hsu
- TESTING TRADE-OFF THEORY BETWEEN NETWORKING CAPITAL AND FIRM VALUE: EMPIRICAL EVIDENCE FROM VIETNAM pp. 1-21

- Duong Dang Khoa, Pham Thi Tram Anh and Le Thi My Duyen
- EFFECTS OF VOLATILITY AMONG COMMODITIES IN THE LONG TERM: ANALYSIS OF A COMPLEX NETWORK pp. 1-16

- Marcelo de Oliveira Passos, Mathias Schneid Tessmann, Régis Augusto Ely, Daniel Uhr and Márcio Taceli Taveira
Volume 15, issue 02, 2020
- HEDGING UNDER PRICE, OUTPUT AND BASIS RISKS: EMPIRICAL ANALYSIS pp. 1-7

- Moawia Alghalith and Ricardo Lalloo
- WELFARE GAINS FROM MACRO-HEDGING pp. 1-7

- Moawia Alghalith and Wing-Keung Wong
- VALUATION, HEDGING, AND BOUNDS OF SWAPS UNDER MULTI-FACTOR BNS-TYPE STOCHASTIC VOLATILITY MODELS pp. 1-28

- Aziz Issaka
- THE IMPACT OF SAVINGS WITHDRAWALS ON A BANKER’S CAPITAL HOLDINGS SUBJECT TO BASEL III ACCORD pp. 1-30

- Ryle S. Perera and Kimitoshi Sato
- BANK EARNINGS MANAGEMENT AND DIVIDEND POLICY UNDER AGENCY PROBLEM CONTEXTS pp. 1-15

- Dung Viet Tran
Volume 15, issue 01, 2020
- MULTI-ASSET PORTFOLIO OPTIMIZATION WITH STOCHASTIC SHARPE RATIO UNDER DRAWDOWN CONSTRAINT pp. 1-33

- Subhojit Biswas, Saif Jawaid and Diganta Mukherjee
- THE CASH USE OF THE MALAYSIAN RINGGIT: CAN IT BE MORE EFFICIENT? pp. 1-5

- Philip Hans Franses and Max Welz
- AN EFFICIENT VARIANCE REDUCTION-BASED SIMULATION ALGORITHM FOR PRICING ARITHMETIC ASIAN OPTIONS pp. 1-17

- Farshid Mehrdoust and Idin Noorani
- IMMEDIATE AND LONGER-TERM STOCK PRICE DYNAMICS FOLLOWING LARGE STOCK PRICE CHANGES pp. 1-17

- Andrey Kudryavtsev
- AUSTRALIAN GOVERNMENT BONDS’ NOMINAL YIELDS: A KEYNESIAN PERSPECTIVE pp. 1-20

- Tanweer Akram and Anupam Das
Volume 14, issue 04, 2019
- 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
- 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 NOVEL METHOD FOR ARBITRAGE-FREE OPTION SURFACE CONSTRUCTION pp. 1-14

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

- Richard Lu and Meng-Sung Hsieh
- 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
Volume 14, issue 03, 2019
- 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
- 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
- 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
Volume 14, issue 02, 2019
- MULTIFRACTAL BEHAVIOR IN PRECIOUS METALS: WAVELET COHERENCY AND FORECASTING BY VARIMA AND V-FARIMA MODELS pp. 1-12

- Itir Doğangün and Gazanfer Ünal
- 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
- 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
- FINANCIAL INCLUSION AND MACROECONOMIC STABILITY IN EMERGING AND FRONTIER MARKETS pp. 1-15

- Anh Vo, Loan Thi-Hong van, Duc Vo and Michael McAleer
Volume 14, issue 01, 2019
- 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
- SHORT-TERM HERDING EFFECT ON MARKET INDEX RETURNS pp. 1-16

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

- Adam Karp and Gary van Vuuren
- SIMPLIFIED OPTION PRICING TECHNIQUES pp. 1-19

- Moawia Alghalith, Christos Floros and Thomas Poufinas
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