Annals of Financial Economics (AFE)

2005 - 2017

Current editor(s): Michael McAleer

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

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 12, issue 04, 2017

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

Michael McAleer

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

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

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

Charles I. Nkeki

CORPORATE FINANCING UNDER HETEROGENEOUS BELIEFS pp. 1-12

Weining Niu

Volume 12, issue 03, 2017

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

Tanweer Akram and Anupam Das

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

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

Hao-Chang Sung and Chunsheng Yuan

GAME OPTIONS pp. 1-17

Tumellano Sebehela

Volume 12, issue 02, 2017

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 Irfan 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

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

Volume 12, issue 01, 2017

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

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

Ahmet Göncü and Erdinc Akyildirim

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

K. Fergusson

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

Volume 11, issue 04, 2016

A NOTE ON FERGUSSON AND PLATEN: “APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS” pp. 1-7

Luca Vincenzo Ballestra, Graziella Pacelli and Davide Radi

CAPITAL ACCOUNT, INSTITUTIONAL QUALITY, AND ECONOMIC GROWTH IN MENA COUNTRIES: A GMM APPROACH pp. 1-23

Mohamed Ilyes Gritli and Fatma Charfi

INCOMPLETE EXCHANGE RATE PASS-THROUGH TRANSMISSION TO PRICES: AN SVAR MODEL FOR TUNISIA pp. 1-23

Fatma Charfi and Mohamed Kadria

A MULTISCALE STOCHASTIC CONDITIONAL DURATION MODEL pp. 1-28

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

Denice Bodeutsch and Philip Hans Franses

Volume 11, issue 03, 2016

ENDOGENIZING CONSUMPTION DECISION IN THE FRENKEL–JOVANOVIC STOCHASTIC MODEL OF MONEY HOLDING pp. 1-10

R. Ahalya and R. Ramanathan

RISK-FREE RATES AND ANIMAL SPIRITS IN FINANCIAL MARKETS pp. 1-18

Jukka Ilomäki

SPATIAL PATTERNS OF ECONOMIC RENTS: DEVELOPING SUVARNABHUMI INTERNATIONAL AIRPORT, THAILAND pp. 1-13

Chakarin Bejrananda, Yuk Lee and Thanchanok Bejrananda

PRICING COVARIANCE SWAPS FOR BARNDORFF–NIELSEN AND SHEPHARD PROCESS DRIVEN FINANCIAL MARKETS pp. 1-32

Semere Habtemicael and Indranil Sengupta

MARKET RISK OF INVESTMENT IN US SUBPRIME CRISIS: COMPARISON OF A PURE DIFFUSION AND A PURE JUMP MODEL pp. 1-17

Sharif Mozumder and Arafatur Rahman

Volume 11, issue 02, 2016

BOUNDARY CONTROL OF THE BLACK–SCHOLES PDE FOR OPTION DYNAMICS STABILIZATION pp. 1-29

Gerasimos G. Rigatos

INFERRING THE ECONOMIC PREFERENCE OF A RENTAL VEHICLE COMPANY BY MODELING ITS DE-FLEETING PROCESS pp. 1-12

Chuan-Hsiang Han, Jingren Shi and Suzhou Huang

PORTFOLIO FORMATION MEMORY pp. 1-16

Tumellano Sebehela

MODELING DEPENDENCY OF VOLATILITY ON SAMPLING FREQUENCY VIA DELAY EQUATIONS pp. 1-21

Chuong Luong and Nikolai Dokuchaev

DAY-OF-THE-WEEK EFFECT IN US BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES MATTER? pp. 1-17

Swarnankur Chatterjee and Amy Hubble

Volume 11, issue 01, 2016

A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK pp. 1-8

Moawia Alghalith, Xu Guo, Wing-Keung Wong and Lixing Zhu

MARKET COMPETITION, ARBITRAGE RISK, AND CAPITAL STRUCTURE: EVIDENCE FROM TAIWAN pp. 1-11

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

Michele Costola and Massimiliano Caporin

SHORT RATE FORECASTING BASED ON THE INFERENCE FROM THE CIR MODEL FOR MULTIPLE YIELD CURVE DYNAMICS pp. 1-33

Lin-Yee Hin and Nikolai Dokuchaev

ESTIMATING PREFERENCE PARAMETERS FROM STOCK RETURNS USING SIMULATED METHOD OF MOMENTS pp. 1-13

Anindya Biswas and Biswajit Mandal

Volume 10, issue 02, 2015

VOLATILITY IN COPPER PRICES IN INDIA pp. 1-26

Nidhi Choudhary, Girish Nair and Harsh Purohit

APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS pp. 1-26

K. Fergusson and Eckhard Platen

ELUCIDATING EQUITY PREMIUM USING CORPORATE DIVIDENDS AND HABIT FORMATION pp. 1-20

Jow-Ran Chang and Hsu-Hsien Chu

OPTIMAL PORTFOLIOS OF CORPORATE BONDS AND HOLD TO MATURITY STRATEGIES pp. 1-34

Yaacov Kopeliovich

ASSET PRICING WITH NON-GEOMETRIC TYPE OF DIVIDENDS pp. 1-38

Akira Yamazaki

THE IMPACT OF INTERNAL CONTROL ON FIRM’S RISK AND PERFORMANCE pp. 1-18

Yu-En Lin, Hsiang-Hsuan Chih, Chia-Hsien Tang and Tai-Hsun Huang

PREDICTING BY LEARNING: AN ADAPTIVE RATIONALE pp. 1-14

Kaihua Deng

PREDICTING STOCK RETURNS — THE INFORMATION CONTENT OF PREDICTORS ACROSS HORIZONS pp. 1-27

Kaihua Deng and Chang-Jin Kim

CONSTRUCTION OF MODELS FOR BOUNDED PRICE PROCESSES: THE CASE OF THE HKD EXCHANGE RATE pp. 1-23

Hong Ben Yee and Nikolai Dokuchaev

IMPROVED DETECTION OF RARE-EVENT RISK OF A PORTFOLIO WITH U.S. REITs pp. 1-25

Leh-Chyan So and Jun-Yang Yu

Volume 10, issue 01, 2015

DON'T PUT ALL YOUR EGGS ON ONE BASKET: THE LESSON FROM DETROIT'S BANKRUPTCY pp. 1-20

Yu Peng Lin

ON THE IMPACT OF THE BOUNDARY ON DYNAMICS: ANTI-PERSISTENCE IN THE CASE OF THE HKD EXCHANGE RATE CORRIDOR pp. 1-25

Hong Ben Yee

OFF-BALANCE SHEET ACTIVITIES AND BANK RISKS: AN INVESTIGATION OF THE LISTED COMMERCIAL BANKS IN CHINA (1999–2013) pp. 1-21

Kangwei Ye

IS BITCOIN BUSINESS INCOME OR SPECULATIVE FOOLERY? NEW IDEAS THROUGH AN IMPROVED FREQUENCY DOMAIN ANALYSIS pp. 1-23

Jamal Bouoiyour, Refk Selmi and Aviral Tiwari

THE DISPOSITION EFFECT, ESCALATION OF COMMITMENT AND HERDING BEHAVIOR OF MUTUAL FUND MANAGERS pp. 1-23

Yu-En Lin, Hsiang-Hsuan Chih, Tai-Hsun Huang and Chia-Hsien Tang

CONSOLIDATION WITHIN THE BANKING SECTOR AND SAVINGS DEPOSITS: EFFECTS ON LIQUIDITY, OUTPUT, AND PROFITABILITY WITHIN THE NIGERIAN ECONOMY pp. 1-29

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

Alexandros Gabrielsen, Axel Kirchner, Zhuoshi Liu and Paolo Zagaglia