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Annals of Financial Economics (AFE)

2005 - 2018

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 13, issue 03, 2018

WHAT IMPACT DOES INFLATION TARGETING HAVE ON THE REAL ECONOMY OF DEVELOPING AND EMERGING COUNTRIES? pp. 1-18 Downloads
Jose Angelo Divino
CONCERNING THE SEIZURE OF COLLATERAL IN COLLATERALIZED LOAN MARKETS pp. 1-9 Downloads
Adriano Campos Menezes and Jaime Orrillo
PRICING CARBON EMISSIONS IN CHINA pp. 1-37 Downloads
Chia-Lin Chang, Te-Ke Mai and Michael McAleer
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
TIME DIVERSIFICATION: PERSPECTIVES FROM THE ECONOMIC INDEX OF RISKINESS pp. 1-15 Downloads
Richard Lu, Chen-Chen Yang and Wing-Keung Wong

Volume 13, issue 02, 2018

A NOTE ON THE LSE OF THREE-REGIME TAR MODEL WITH AN INFINITE VARIANCE pp. 1-13 Downloads
Yaxing Yang and Shiqing Ling
HERDING IN CRYPTO-CURRENCY MARKETS pp. 1-15 Downloads
Taufeeq Ajaz and Anoop S. Kumar
EVALUATING THE ACCURACY OF TAIL RISK FORECASTS FOR SYSTEMIC RISK MEASUREMENT pp. 1-25 Downloads
Christian Brownlees, Giuseppe Cavaliere and Alice Monti
NON-PARAMETRIC MULTIPLE CHANGE POINT ANALYSIS OF THE GLOBAL FINANCIAL CRISIS pp. 1-23 Downloads
David Allen, Michael McAleer, Robert J. 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

Volume 13, issue 01, 2018

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
THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH pp. 1-25 Downloads
Takashi Miyazaki and Shigeyuki Hamori
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

Volume 12, issue 04, 2017

TESTING THE CAUSALITIES BETWEEN ECONOMIC POLICY UNCERTAINTY AND THE US STOCK INDICES: APPLICATIONS OF LINEAR AND NONLINEAR APPROACHES pp. 1-20 Downloads
Serdar Ongan and Ismet Gocer
AN INCLUSIVE CRITERION FOR AN OPTIMAL CHOICE OF REINSURANCE pp. 1-22 Downloads
El Attar Abderrahim, El Hachloufi Mostafa and Guennoun Zine El Abidine
OPTIMAL INVESTMENT AND OPTIMAL ADDITIONAL VOLUNTARY CONTRIBUTION RATE OF A DC PENSION FUND IN A JUMP-DIFFUSION ENVIRONMENT pp. 1-26 Downloads
Charles I. Nkeki
EDITORIAL NOTE: SPECIAL ISSUES OF ANNALS OF FINANCIAL ECONOMICS (AFE) pp. 1-2 Downloads
Michael McAleer
CORPORATE FINANCING UNDER HETEROGENEOUS BELIEFS pp. 1-12 Downloads
Weining Niu

Volume 12, issue 03, 2017

BIASED VOLUNTARY DISCLOSURE, EARNINGS TARGET, AND PRODUCT MARKET COMPETITION pp. 1-20 Downloads
Hao-Chang Sung and Chunsheng Yuan
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
DERIVATION OF A STOCHASTIC LOAN REPAYMENT MODEL FOR VALUING A REVENUE-BASED LOAN CONTRACT pp. 1-29 Downloads
Hassan Mazengera
GAME OPTIONS pp. 1-17 Downloads
Tumellano Sebehela

Volume 12, issue 02, 2017

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
FINANCIAL CONSTRAINTS AND CORPORATE CASH HOLDINGS: AN EMPIRICAL ANALYSIS USING FIRM LEVEL DATA pp. 1-26 Downloads
Abdul Rashid and Maryam Ashfaq
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
EXPLICIT FORMULAE FOR PARAMETERS OF STOCHASTIC MODELS OF A DISCOUNTED EQUITY INDEX USING MAXIMUM LIKELIHOOD ESTIMATION WITH APPLICATIONS pp. 1-31 Downloads
K. Fergusson

Volume 12, issue 01, 2017

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
STATISTICAL ARBITRAGE IN THE MULTI-ASSET BLACK–SCHOLES ECONOMY pp. 1-18 Downloads
Ahmet Göncü and Erdinc Akyildirim
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 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
A MULTISCALE STOCHASTIC CONDITIONAL DURATION MODEL pp. 1-28 Downloads
Zhongxian Men, Tony S. Wirjanto and Adam W. Kolkiewicz
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
RISK ATTITUDES IN THE BOARD ROOM AND COMPANY PERFORMANCE: EVIDENCE FOR AN EMERGING ECONOMY pp. 1-14 Downloads
Denice Bodeutsch and Philip Hans Franses

Volume 11, issue 03, 2016

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

Volume 11, issue 02, 2016

BOUNDARY CONTROL OF THE BLACK–SCHOLES PDE FOR OPTION DYNAMICS STABILIZATION pp. 1-29 Downloads
Gerasimos G. Rigatos
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
PORTFOLIO FORMATION MEMORY pp. 1-16 Downloads
Tumellano Sebehela
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
MODELING DEPENDENCY OF VOLATILITY ON SAMPLING FREQUENCY VIA DELAY EQUATIONS pp. 1-21 Downloads
Chuong Luong and Nikolai Dokuchaev

Volume 11, issue 01, 2016

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
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
RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES pp. 1-26 Downloads
Michele Costola and Massimiliano Caporin
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
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