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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 ().

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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 Downloads
Hossein Hassani, Mohammad Reza Yeganegi and Rangan Gupta
PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS pp. 1-15 Downloads
David Allen and Michael McAleer
SIMPLE BAYESIAN FORECAST COMBINATION pp. 1-7 Downloads
Philip Hans Franses
PRICING MULTI-ASSET AMERICAN OPTION WITH STOCHASTIC CORRELATION COEFFICIENT UNDER VARIANCE GAMMA ASSET PRICE DYNAMIC pp. 1-25 Downloads
Farshid Mehrdoust and Oldouz Samimi
FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK? pp. 1-26 Downloads
David Allen and Michael McAleer
REVENUE DIVERSIFICATION AND BANKING RISK: DOES THE STATE OWNERSHIP MATTER? EVIDENCE FROM AN EMERGING MARKET pp. 1-18 Downloads
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 Downloads
Yong-Chin Liu, Hsiang-Ju Chen and Wei-Ting Hsu
FINANCIAL INTEGRATION, ENERGY CONSUMPTION AND ECONOMIC GROWTH IN VIETNAM pp. 1-19 Downloads
Minh Nguyen, Bui Ngoc and Michael McAleer
EFFECTS OF VOLATILITY AMONG COMMODITIES IN THE LONG TERM: ANALYSIS OF A COMPLEX NETWORK pp. 1-16 Downloads
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 Downloads
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 Downloads
Dung Viet Tran
HEDGING UNDER PRICE, OUTPUT AND BASIS RISKS: EMPIRICAL ANALYSIS pp. 1-7 Downloads
Moawia Alghalith and Ricardo Lalloo
WELFARE GAINS FROM MACRO-HEDGING pp. 1-7 Downloads
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 Downloads
Ryle S. Perera and Kimitoshi Sato
VALUATION, HEDGING, AND BOUNDS OF SWAPS UNDER MULTI-FACTOR BNS-TYPE STOCHASTIC VOLATILITY MODELS pp. 1-28 Downloads
Aziz Issaka

Volume 15, issue 01, 2020

MULTI-ASSET PORTFOLIO OPTIMIZATION WITH STOCHASTIC SHARPE RATIO UNDER DRAWDOWN CONSTRAINT pp. 1-33 Downloads
Subhojit Biswas, Saif Jawaid and Diganta Mukherjee
THE CASH USE OF THE MALAYSIAN RINGGIT: CAN IT BE MORE EFFICIENT? pp. 1-5 Downloads
Philip Hans Franses and Max Welz
AUSTRALIAN GOVERNMENT BONDS’ NOMINAL YIELDS: A KEYNESIAN PERSPECTIVE pp. 1-20 Downloads
Tanweer Akram and Anupam Das
AN EFFICIENT VARIANCE REDUCTION-BASED SIMULATION ALGORITHM FOR PRICING ARITHMETIC ASIAN OPTIONS pp. 1-17 Downloads
Farshid Mehrdoust and Idin Noorani
IMMEDIATE AND LONGER-TERM STOCK PRICE DYNAMICS FOLLOWING LARGE STOCK PRICE CHANGES pp. 1-17 Downloads
Andrey Kudryavtsev

Volume 14, issue 04, 2019

DOES CHANGE IN ECONOMIC POLICY UNCERTAINTY AFFECT REAL ESTATE INVESTMENT TRUSTS (REITs)? pp. 1-24 Downloads
Ranjeeta Sadhwani, Suresh Kumar Oad Rajput, Asad Ali-Rind and Muhammad Tahir Suleman
AN OPTION THEORETIC APPROACH TO MARKET EFFICIENCY pp. 1-21 Downloads
Rajeev R. Bhattacharya
FORECASTING REALIZED VOLATILITY DYNAMICALLY BASED ON ADJUSTED DYNAMIC MODEL AVERAGING (AMDA) APPROACH: EVIDENCE FROM CHINA’S STOCK MARKET pp. 1-21 Downloads
Ping Yuan
A PROPOSAL FOR MULTI-ASSET GENERALIZED VARIANCE SWAPS pp. 1-29 Downloads
Subhojit Biswas and Diganta Mukherjee
DOES THE BUSINESS CLIMATE AFFECT PRIVATE DOMESTIC AND FOREIGN INVESTMENT? EMPIRICAL EVIDENCE FROM THE MENA REGION pp. 1-29 Downloads
Ousama Ben-Salha and Mourad Zmami
A PERFORMANCE ANALYSIS OF DOLLAR-COST AVERAGING AND SELF-ANNUITIZATION pp. 1-15 Downloads
Richard Lu and Meng-Sung Hsieh
A NOVEL METHOD FOR ARBITRAGE-FREE OPTION SURFACE CONSTRUCTION pp. 1-14 Downloads
Greg Orosi

Volume 14, issue 03, 2019

FINANCIAL DEVELOPMENT, TECHNOLOGY AND ECONOMIC DEVELOPMENT: THE ROLE OF INSTITUTIONS IN DEVELOPING COUNTRIES pp. 1-25 Downloads
Samina Sabir, Rashid Latif, Unbreen Qayyum and Kamran Abass
ESTIMATING SECTORAL SYSTEMATIC RISK FOR CHINA, MALAYSIA, SINGAPORE, AND THAILAND pp. 1-18 Downloads
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 Downloads
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 Downloads
Suresh Kumar Oad Rajput, Niaz Hussain Ghumro and Nadia Anjum
THE NEXUS BETWEEN ECONOMIC INTEGRATION AND GROWTH: APPLICATION TO VIETNAM pp. 1-16 Downloads
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 Downloads
Itir Doğangün and Gazanfer Ünal
FINANCIAL INCLUSION AND MACROECONOMIC STABILITY IN EMERGING AND FRONTIER MARKETS pp. 1-15 Downloads
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 Downloads
Zhifeng Wang, Fangying Wei and Yuzhou Fang
FINANCIAL INTEGRATION AND MACROECONOMIC VOLATILITY: NEW EVIDENCE FROM DSGE MODELING pp. 1-19 Downloads
Tarek Ghazouani, Ramzi Drissi and Jamel Boukhatem
THE DETERMINANTS OF FINANCIAL INSTABILITY IN EMERGING COUNTRIES pp. 1-19 Downloads
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 Downloads
Andrey Kudryavtsev
INVESTMENT IMPLICATIONS OF THE FRACTAL MARKET HYPOTHESIS pp. 1-27 Downloads
Adam Karp and Gary van Vuuren
SIMPLIFIED OPTION PRICING TECHNIQUES pp. 1-19 Downloads
Moawia Alghalith, Christos Floros and Thomas Poufinas
EDGEWORTH EXPANSION FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATE IN THE VASICEK MODEL pp. 1-26 Downloads
Qinwen Zhu, Hui Liu and Chengfeng Sun
QUANTILE ANALYSIS OF INVESTMENT IN PRIVATE PARTICIPATION IN INFRASTRUCTURE PROJECTS pp. 1-26 Downloads
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 Downloads
Navaz Naghavi, Muhammad Shujaat Mubarik and Devinder Kaur
EMPIRICAL ANALYSIS OF BITCOIN PRICES USING THRESHOLD TIME SERIES MODELS pp. 1-24 Downloads
Rodolfo Angelo Magtanggol Iii de Guzman and Mike K. P. So
TESTING THE LONG-RUN RISK MODEL: A KALMAN FILTER APPROACH pp. 1-15 Downloads
Jianqiu Wang and Ke Wu
ASYMMETRIC IMPACT OF EXCHANGE RATE CHANGES ON THE TRADE BALANCE: DOES GLOBAL FINANCIAL CRISIS MATTER? pp. 1-18 Downloads
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 Downloads
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 Downloads
Richard Lu, Chen-Chen Yang and Wing-Keung Wong
CONCERNING THE SEIZURE OF COLLATERAL IN COLLATERALIZED LOAN MARKETS pp. 1-9 Downloads
Adriano Campos Menezes and Jaime Orrillo
WHAT IMPACT DOES INFLATION TARGETING HAVE ON THE REAL ECONOMY OF DEVELOPING AND EMERGING COUNTRIES? pp. 1-18 Downloads
Jose Angelo Divino
MODELING THE DYNAMICS OF INTERNATIONAL AGRICULTURAL COMMODITY PRICES: A COMPARISON OF GARCH AND STOCHASTIC VOLATILITY MODELS pp. 1-20 Downloads
Lu Yang and Shigeyuki Hamori
PRICING CARBON EMISSIONS IN CHINA pp. 1-37 Downloads
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 Downloads
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 Downloads
Philip Hans Franses and Eva Janssens
HERDING IN CRYPTO-CURRENCY MARKETS pp. 1-15 Downloads
Taufeeq Ajaz and Anoop S. Kumar
A NOTE ON THE LSE OF THREE-REGIME TAR MODEL WITH AN INFINITE VARIANCE pp. 1-13 Downloads
Yaxing Yang and Shiqing Ling
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT pp. 1-25 Downloads
Christian Brownlees, Giuseppe Cavaliere and Alice Monti

Volume 13, issue 01, 2018

AVERAGE HOLDING PRICE pp. 1-20 Downloads
Yehong Liu and Guosheng Yin
EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN OIL AND PRECIOUS METALS MARKETS pp. 1-20 Downloads
Khaled Mokni
THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH pp. 1-25 Downloads
Takashi Miyazaki and Shigeyuki Hamori
EDITORIAL NOTE: REVIEW PAPERS FOR ANNALS OF FINANCIAL ECONOMICS pp. 1-2 Downloads
Michael McAleer
OPTIMAL INVESTMENT STRATEGY WITH DIVIDEND PAYING AND PROPORTIONAL TRANSACTION COSTS pp. 1-17 Downloads
Charles. I. Nkeki
Page updated 2021-05-12