Annals of Financial Economics (AFE)

2005 - 2020

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.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 15, issue 04, 2020

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

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

PRICING MULTI-ASSET AMERICAN OPTION WITH STOCHASTIC CORRELATION COEFFICIENT UNDER VARIANCE GAMMA ASSET PRICE DYNAMIC pp. 1-25

Farshid Mehrdoust and Oldouz Samimi

FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK? pp. 1-26

David Allen and Michael McAleer

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

Volume 15, issue 03, 2020

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

FINANCIAL INTEGRATION, ENERGY CONSUMPTION AND ECONOMIC GROWTH IN VIETNAM pp. 1-19

Minh Nguyen, Bui Ngoc and Michael McAleer

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

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

Volume 15, issue 02, 2020

BANK EARNINGS MANAGEMENT AND DIVIDEND POLICY UNDER AGENCY PROBLEM CONTEXTS pp. 1-15

Dung Viet Tran

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

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

VALUATION, HEDGING, AND BOUNDS OF SWAPS UNDER MULTI-FACTOR BNS-TYPE STOCHASTIC VOLATILITY MODELS pp. 1-28

Aziz Issaka

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

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

Tanweer Akram and Anupam Das

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

Volume 14, issue 04, 2019

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

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

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

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

Greg Orosi

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

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

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

Minh Nguyen, Bui Ngoc and Duc Vo

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

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

Anh 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

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

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

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

Volume 13, issue 04, 2018

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

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

Jianqiu Wang and Ke Wu

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

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

Volume 13, issue 03, 2018

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

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

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

Adriano Campos Menezes and Jaime Orrillo

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

Jose Angelo Divino

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

Lu Yang and Shigeyuki Hamori

PRICING CARBON EMISSIONS IN CHINA pp. 1-37

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

Volume 13, issue 02, 2018

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

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

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

Philip Hans Franses and Eva Janssens

HERDING IN CRYPTO-CURRENCY MARKETS pp. 1-15

Taufeeq Ajaz and Anoop S. Kumar

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

Yaxing Yang and Shiqing Ling

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

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

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

Takashi Miyazaki and Shigeyuki Hamori

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

Michael McAleer

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

Charles. I. Nkeki