Annals of Financial Economics (AFE)

2005 - 2019

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 29, issue 12, 2018

Traffic dynamics on a double layer coupled network considering physical queuing pp. 1-10

Xiao-Yu Luo, Jie Chen, Ming Li and Mao-Bin Hu

Rarefied transitional flow through diverging nano and microchannels: A TRT lattice Boltzmann study pp. 1-15

Soroush Fallah Kharmiani and Ehsan Roohi

A new lattice model of three-lane traffic flow pp. 1-14

Yanmei Hu, Tianshan Ma and Jianzhong Chen

Impact of traffic lights on car accidents at intersections pp. 1-14

R. Marzoug, N. Lakouari, O. Oubram, H. Ez-Zahraouy, A. Khallouk, M. Limón-Mendoza and J. G. Vera-Dimas

A fractional logistic approach for economic growth pp. 1-14

L. A. Quezada-Téllez and L. Franco-Pérez

Ripples and grains segregation on unpaved road pp. 1-13

Tiago Moy da Silva and Américo T. Bernardes

A bounded and monotone finite-difference solution of a hyperbolic Burgers–Fisher equation pp. 1-12

L. A. Flores-Oropeza, A. Román-Loera and Ahmed S. Hendy

Evolutionary vaccination dynamics in epidemic spreading process with public subsidy mechanism pp. 1-11

Guomei Tang and Weifang Ma

Evaluation method for node importance based on attraction between nodes pp. 1-11

Jin Zeng, Chenxi Shao, Xingfu Wang and Fuyou Miao

Community detection via closure extension pp. 1-17

Jingming Zhang, Jianjun Cheng, Xiaosu Feng and Xiaoyun Chen

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

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

Adam Karp and Gary van Vuuren

SHORT-TERM HERDING EFFECT ON MARKET INDEX RETURNS pp. 1-16

Andrey Kudryavtsev

SIMPLIFIED OPTION PRICING TECHNIQUES pp. 1-19

Moawia Alghalith, Christos Floros and Thomas Poufinas

Volume 13, issue 04, 2018

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

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

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

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

Jianqiu Wang and Ke Wu

Volume 13, issue 03, 2018

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

Lu Yang and Shigeyuki Hamori

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

PRICING CARBON EMISSIONS IN CHINA pp. 1-37

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

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

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

Volume 13, issue 02, 2018

EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT pp. 1-25

Christian Brownlees, Giuseppe Cavaliere and Alice Monti

HERDING IN CRYPTO-CURRENCY MARKETS pp. 1-15

Taufeeq Ajaz and Anoop S. Kumar

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

Philip Hans Franses and Eva Janssens

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

Yaxing Yang and Shiqing Ling

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

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

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

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

Charles. I. Nkeki

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

Michael McAleer

Volume 12, issue 04, 2017

OPTIMAL INVESTMENT AND OPTIMAL ADDITIONAL VOLUNTARY CONTRIBUTION RATE OF A DC PENSION FUND IN A JUMP-DIFFUSION ENVIRONMENT pp. 1-26

Charles I. Nkeki

CORPORATE FINANCING UNDER HETEROGENEOUS BELIEFS pp. 1-12

Weining Niu

AN INCLUSIVE CRITERION FOR AN OPTIMAL CHOICE OF REINSURANCE pp. 1-22

El Attar Abderrahim, El Hachloufi Mostafa and Guennoun Zine El Abidine

TESTING THE CAUSALITIES BETWEEN ECONOMIC POLICY UNCERTAINTY AND THE US STOCK INDICES: APPLICATIONS OF LINEAR AND NONLINEAR APPROACHES pp. 1-20

Serdar Ongan and Ismet Gocer

EDITORIAL NOTE: SPECIAL ISSUES OF ANNALS OF FINANCIAL ECONOMICS (AFE) pp. 1-2

Michael McAleer

Volume 12, issue 03, 2017

THE DYNAMICS OF GOVERNMENT BOND YIELDS IN THE EURO ZONE pp. 1-18

Tanweer Akram and Anupam Das

BIASED VOLUNTARY DISCLOSURE, EARNINGS TARGET, AND PRODUCT MARKET COMPETITION pp. 1-20

Hao-Chang Sung and Chunsheng Yuan

FORECASTING OF OIL AND AGRICULTURAL COMMODITY PRICES: VARMA VERSUS ARMA pp. 1-30

Mustafa Gülerce and Gazanfer Ünal

DERIVATION OF A STOCHASTIC LOAN REPAYMENT MODEL FOR VALUING A REVENUE-BASED LOAN CONTRACT pp. 1-29

Hassan Mazengera

GAME OPTIONS pp. 1-17

Tumellano Sebehela

Volume 12, issue 02, 2017

GOODNESS-OF-FIT TEST FOR NONLINEAR TIME SERIES MODELS pp. 1-21

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

Sumera Anis and Abdul Rashid

EXPLICIT FORMULAE FOR PARAMETERS OF STOCHASTIC MODELS OF A DISCOUNTED EQUITY INDEX USING MAXIMUM LIKELIHOOD ESTIMATION WITH APPLICATIONS pp. 1-31

K. Fergusson

RETURN AND VOLATILITY SPILLOVER BETWEEN SECTORAL STOCK AND OIL PRICE: EVIDENCE FROM PAKISTAN STOCK EXCHANGE pp. 1-22

Muhammad Malik and Abdul Rashid

FINANCIAL CONSTRAINTS AND CORPORATE CASH HOLDINGS: AN EMPIRICAL ANALYSIS USING FIRM LEVEL DATA pp. 1-26

Abdul Rashid and Maryam Ashfaq

Volume 12, issue 01, 2017

ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE pp. 1-33

K. Fergusson

A STATISTICAL RISK ASSESSMENT OF BITCOIN AND ITS EXTREME TAIL BEHAVIOR pp. 1-19

Joerg Osterrieder and Julian Lorenz

INDIVIDUAL FOREIGN EXCHANGE INVESTORS, RETURN PREDICTABILITY AND MARKET TIMING pp. 1-28

Moustafa Abuelfadl

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

Jukka Ilomäki

STATISTICAL ARBITRAGE IN THE MULTI-ASSET BLACK–SCHOLES ECONOMY pp. 1-18

Ahmet Göncü and Erdinc Akyildirim