Annals of Financial Economics (AFE)

2005 - 2021

Current editor(s): Michael McAleer

From World Scientific Publishing Co. Pte. Ltd.
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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