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Annals of Financial Economics (AFE)

2005 - 2017

Current editor(s): Michael McAleer

From World Scientific Publishing Co. Pte. Ltd.
Series data maintained by Tai Tone Lim ().

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Volume 12, issue 03, 2017

GAME OPTIONS pp. 1-17 Downloads
Tumellano Sebehela
FORECASTING OF OIL AND AGRICULTURAL COMMODITY PRICES: VARMA VERSUS ARMA pp. 1-30 Downloads
Mustafa Gülerce and Gazanfer Ünal
THE DYNAMICS OF GOVERNMENT BOND YIELDS IN THE EURO ZONE pp. 1-18 Downloads
Tanweer Akram and Anupam Das
BIASED VOLUNTARY DISCLOSURE, EARNINGS TARGET, AND PRODUCT MARKET COMPETITION pp. 1-20 Downloads
Hao-Chang Sung and Chunsheng Yuan
DERIVATION OF A STOCHASTIC LOAN REPAYMENT MODEL FOR VALUING A REVENUE-BASED LOAN CONTRACT pp. 1-29 Downloads
Hassan Mazengera

Volume 12, issue 02, 2017

FINANCIAL CONSTRAINTS AND CORPORATE CASH HOLDINGS: AN EMPIRICAL ANALYSIS USING FIRM LEVEL DATA pp. 1-26 Downloads
Abdul Rashid and Maryam Ashfaq
EXPLICIT FORMULAE FOR PARAMETERS OF STOCHASTIC MODELS OF A DISCOUNTED EQUITY INDEX USING MAXIMUM LIKELIHOOD ESTIMATION WITH APPLICATIONS pp. 1-31 Downloads
K. Fergusson
RETURN AND VOLATILITY SPILLOVER BETWEEN SECTORAL STOCK AND OIL PRICE: EVIDENCE FROM PAKISTAN STOCK EXCHANGE pp. 1-22 Downloads
Muhammad Irfan Malik and Abdul Rashid
GOODNESS-OF-FIT TEST FOR NONLINEAR TIME SERIES MODELS pp. 1-21 Downloads
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 Downloads
Sumera Anis and Abdul Rashid

Volume 12, issue 01, 2017

STATISTICAL ARBITRAGE IN THE MULTI-ASSET BLACK–SCHOLES ECONOMY pp. 1-18 Downloads
Ahmet Göncü and Erdinc Akyildirim
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 Downloads
Jukka Ilomäki
A STATISTICAL RISK ASSESSMENT OF BITCOIN AND ITS EXTREME TAIL BEHAVIOR pp. 1-19 Downloads
Joerg Osterrieder and Julian Lorenz
INDIVIDUAL FOREIGN EXCHANGE INVESTORS, RETURN PREDICTABILITY AND MARKET TIMING pp. 1-28 Downloads
Moustafa Abuelfadl
ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE pp. 1-33 Downloads
K. Fergusson

Volume 11, issue 04, 2016

A MULTISCALE STOCHASTIC CONDITIONAL DURATION MODEL pp. 1-28 Downloads
Zhongxian Men, Tony S. Wirjanto and Adam W. Kolkiewicz
RISK ATTITUDES IN THE BOARD ROOM AND COMPANY PERFORMANCE: EVIDENCE FOR AN EMERGING ECONOMY pp. 1-14 Downloads
Denice Bodeutsch and Philip Hans Franses
A NOTE ON FERGUSSON AND PLATEN: “APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS” pp. 1-7 Downloads
Luca Vincenzo Ballestra, Graziella Pacelli and Davide Radi
CAPITAL ACCOUNT, INSTITUTIONAL QUALITY, AND ECONOMIC GROWTH IN MENA COUNTRIES: A GMM APPROACH pp. 1-23 Downloads
Mohamed Ilyes Gritli and Fatma Charfi
INCOMPLETE EXCHANGE RATE PASS-THROUGH TRANSMISSION TO PRICES: AN SVAR MODEL FOR TUNISIA pp. 1-23 Downloads
Fatma Charfi and Mohamed Kadria

Volume 11, issue 03, 2016

SPATIAL PATTERNS OF ECONOMIC RENTS: DEVELOPING SUVARNABHUMI INTERNATIONAL AIRPORT, THAILAND pp. 1-13 Downloads
Chakarin Bejrananda, Yuk Lee and Thanchanok Bejrananda
MARKET RISK OF INVESTMENT IN US SUBPRIME CRISIS: COMPARISON OF A PURE DIFFUSION AND A PURE JUMP MODEL pp. 1-17 Downloads
Sharif Mozumder and Arafatur Rahman
ENDOGENIZING CONSUMPTION DECISION IN THE FRENKEL–JOVANOVIC STOCHASTIC MODEL OF MONEY HOLDING pp. 1-10 Downloads
R. Ahalya and R. Ramanathan
RISK-FREE RATES AND ANIMAL SPIRITS IN FINANCIAL MARKETS pp. 1-18 Downloads
Jukka Ilomäki
PRICING COVARIANCE SWAPS FOR BARNDORFF–NIELSEN AND SHEPHARD PROCESS DRIVEN FINANCIAL MARKETS pp. 1-32 Downloads
Semere Habtemicael and Indranil Sengupta

Volume 11, issue 02, 2016

BOUNDARY CONTROL OF THE BLACK–SCHOLES PDE FOR OPTION DYNAMICS STABILIZATION pp. 1-29 Downloads
Gerasimos G. Rigatos
PORTFOLIO FORMATION MEMORY pp. 1-16 Downloads
Tumellano Sebehela
INFERRING THE ECONOMIC PREFERENCE OF A RENTAL VEHICLE COMPANY BY MODELING ITS DE-FLEETING PROCESS pp. 1-12 Downloads
Chuan-Hsiang Han, Jingren Shi and Suzhou Huang
MODELING DEPENDENCY OF VOLATILITY ON SAMPLING FREQUENCY VIA DELAY EQUATIONS pp. 1-21 Downloads
Chuong Luong and Nikolai Dokuchaev
DAY-OF-THE-WEEK EFFECT IN US BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES MATTER? pp. 1-17 Downloads
Swarnankur Chatterjee and Amy Hubble

Volume 11, issue 01, 2016

SHORT RATE FORECASTING BASED ON THE INFERENCE FROM THE CIR MODEL FOR MULTIPLE YIELD CURVE DYNAMICS pp. 1-33 Downloads
Lin-Yee Hin and Nikolai Dokuchaev
ESTIMATING PREFERENCE PARAMETERS FROM STOCK RETURNS USING SIMULATED METHOD OF MOMENTS pp. 1-13 Downloads
Anindya Biswas and Biswajit Mandal
MARKET COMPETITION, ARBITRAGE RISK, AND CAPITAL STRUCTURE: EVIDENCE FROM TAIWAN pp. 1-11 Downloads
Yu-En Lin, Hsiang-Hsuan Chih, Chia-Hsin Cheng and Yan-Qing Ku
RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES pp. 1-26 Downloads
Michele Costola and Massimiliano Caporin
A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK pp. 1-8 Downloads
Moawia Alghalith, Xu Guo, Wing-Keung Wong and Lixing Zhu

Volume 10, issue 02, 2015

CONSTRUCTION OF MODELS FOR BOUNDED PRICE PROCESSES: THE CASE OF THE HKD EXCHANGE RATE pp. 1-23 Downloads
Hong Ben Yee and Nikolai Dokuchaev
ELUCIDATING EQUITY PREMIUM USING CORPORATE DIVIDENDS AND HABIT FORMATION pp. 1-20 Downloads
Jow-Ran Chang and Hsu-Hsien Chu
PREDICTING BY LEARNING: AN ADAPTIVE RATIONALE pp. 1-14 Downloads
Kaihua Deng
OPTIMAL PORTFOLIOS OF CORPORATE BONDS AND HOLD TO MATURITY STRATEGIES pp. 1-34 Downloads
Yaacov Kopeliovich
VOLATILITY IN COPPER PRICES IN INDIA pp. 1-26 Downloads
Nidhi Choudhary, Girish Nair and Harsh Purohit
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS pp. 1-26 Downloads
K. Fergusson and E. Platen
IMPROVED DETECTION OF RARE-EVENT RISK OF A PORTFOLIO WITH U.S. REITs pp. 1-25 Downloads
Leh-Chyan So and Jun-Yang Yu
THE IMPACT OF INTERNAL CONTROL ON FIRM’S RISK AND PERFORMANCE pp. 1-18 Downloads
Yu-En Lin, Hsiang-Hsuan Chih, Chia-Hsien Tang and Tai-Hsun Huang
ASSET PRICING WITH NON-GEOMETRIC TYPE OF DIVIDENDS pp. 1-38 Downloads
Akira Yamazaki
PREDICTING STOCK RETURNS — THE INFORMATION CONTENT OF PREDICTORS ACROSS HORIZONS pp. 1-27 Downloads
Kaihua Deng and Chang-Jin Kim

Volume 10, issue 01, 2015

ON THE IMPACT OF THE BOUNDARY ON DYNAMICS: ANTI-PERSISTENCE IN THE CASE OF THE HKD EXCHANGE RATE CORRIDOR pp. 1-25 Downloads
Hong Ben Yee
IS BITCOIN BUSINESS INCOME OR SPECULATIVE FOOLERY? NEW IDEAS THROUGH AN IMPROVED FREQUENCY DOMAIN ANALYSIS pp. 1-23 Downloads
Jamal Bouoiyour, Refk Selmi and Aviral Tiwari
THE DISPOSITION EFFECT, ESCALATION OF COMMITMENT AND HERDING BEHAVIOR OF MUTUAL FUND MANAGERS pp. 1-23 Downloads
Yu-En Lin, Hsiang-Hsuan Chih, Tai-Hsun Huang and Chia-Hsien Tang
OFF-BALANCE SHEET ACTIVITIES AND BANK RISKS: AN INVESTIGATION OF THE LISTED COMMERCIAL BANKS IN CHINA (1999–2013) pp. 1-21 Downloads
Kangwei Ye
DON'T PUT ALL YOUR EGGS ON ONE BASKET: THE LESSON FROM DETROIT'S BANKRUPTCY pp. 1-20 Downloads
Yu Peng Lin
CONSOLIDATION WITHIN THE BANKING SECTOR AND SAVINGS DEPOSITS: EFFECTS ON LIQUIDITY, OUTPUT, AND PROFITABILITY WITHIN THE NIGERIAN ECONOMY pp. 1-29 Downloads
Oghenovo Adewale Obrimah and Chidinma Edith Ebere
FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK pp. 1-29 Downloads
Alexandros Gabrielsen, Axel Kirchner, Zhuoshi Liu and Paolo Zagaglia
Page updated 2017-11-21