Annals of Financial Economics (AFE)

2005 - 2024

Current editor(s): Michael McAleer

From World Scientific Publishing Co. Pte. Ltd.
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Volume 16, issue 04, 2021

INVESTOR SENTIMENT CONNECTEDNESS: EVIDENCE FROM LINEAR AND NONLINEAR CAUSALITY APPROACHES pp. 1-29

Aviral Tiwari, Deven Bathia, Elie Bouri and Rangan Gupta

APPROXIMATE SERIES SOLUTIONS OF A ONE-FACTOR TERM STRUCTURE MODEL FOR BOND PRICING pp. 1-22

Sunday Onos Edeki, Deborah Chikwado Okoli, Hijaz Ahmad and Wing-Keung Wong

MACROECONOMIC DETERMINANTS OF HOUSEHOLD CONSUMPTIONS IN GEORGIA pp. 1-16

Azer Dilanchiev and Tengiz Taktakishvili

SYMMETRIC IMPACT OF EXCHANGE RATE VOLATILITY ON FOREIGN DIRECT INVESTMENT IN PAKISTAN: DO THE GLOBAL FINANCIAL CRISES AND POLITICAL REGIMES MATTER? pp. 1-21

Muhammad Ramzan

THE EFFECTS OF U.S. MONETARY POLICY UNCERTAINTY SHOCK ON INTERNATIONAL EQUITY MARKETS pp. 1-14

Raymond Aor, Afees Salisu and Isah J. Okpe

NON-CENTRAL MOMENTS OF THE TRUNCATED NORMAL VARIABLE IN FINANCE pp. 1-23

Fausto Corradin and Domenico Sartore

Volume 16, issue 03, 2021

GEOPOLITICAL RISKS AND THE HIGH-FREQUENCY MOVEMENTS OF THE US TERM STRUCTURE OF INTEREST RATES pp. 1-16

Rangan Gupta, Anandamayee Majumdar, Jacobus Nel and Sowmya Subramaniam

UNIVERSAL RISK BUDGETING pp. 1-18

Alex Garivaltis

ARBITRAGEUR BEHAVIOR IN SENTIMENT-DRIVEN ASSET-PRICING pp. 1-37

Erdem Kilic and Oguzhan Gã–ksel

STRATEGIC INTERACTIONS AND NEGATIVE OIL PRICES pp. 1-33

Chenghu Ma and Xianzhen Wang

EDITORIAL STATEMENT IN HONOR OF PROFESSOR MICHAEL MCALEER pp. 1-21

Moawia Alghalith, Norman Swanson, Andrey Vasnev and Wing-Keung Wong

CORPORATE VALUATION SPURRED BY INFORMATION TRANSPARENCY IN AN EMERGING ECONOMY pp. 1-21

Tran Thai Ha Nguyen, Wing-Keung Wong, Gia Quyen Phan, Dang Thanh Minh Tran and Massoud Moslehpour

Volume 16, issue 02, 2021

THE IMPACT OF CAPITAL STRUCTURE AND OWNERSHIP ON THE PERFORMANCE OF STATE ENTERPRISES AFTER EQUITIZATION: EVIDENCE FROM VIETNAM pp. 1-22

Nguyen Duy Suu, Ho Thuy Tien and Wing-Keung Wong

ZERO-INFLATED POISSON REGRESSION MODELS: APPLICATIONS IN THE SCIENCES AND SOCIAL SCIENCES pp. 1-19

Buu-Chau Truong, Kim-Hung Pho, Cong-Chanh Dinh and Michael McAleer

UNCERTAINTY RELATED TO INFECTIOUS DISEASES AND FORECASTABILITY OF THE REALIZED VOLATILITY OF US TREASURY SECURITIES pp. 1-12

Sisa Shiba and Rangan Gupta

EVALUATING THE EFFICIENCY OF VIETNAM BANKS USING DATA ENVELOPMENT ANALYSIS pp. 1-17

Do Thi Thanh Nhan, Kim-Hung Pho, Dang Thi van Anh and Michael McAleer

CASES, DEATHS, STRINGENCY INDEXES AND INDIAN FINANCIAL MARKET — EMPIRICAL EVIDENCE DURING COVID-19 PANDEMIC pp. 1-13

Shailaja Kheni and Santosh Kumar

Volume 16, issue 01, 2021

SUBMISSIONS AND ACCEPTANCES FOR THE ANNALS OF FINANCIAL ECONOMICS (AFE) pp. 1-2

Michael McAleer

THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND CORPORATE TAX RATES pp. 1-13

Matthew Clance, Giray Gözgör, Rangan Gupta and Chi Keung Lau

REGULARIZATION METHODS FOR ESTIMATING A MULTI-FACTOR CORPORATE BOND PRICING MODEL: AN APPLICATION FOR BRAZIL pp. 1-20

Paulo Roberto Guimarães, Osvaldo Candido and André Ronzani

ASSET INVESTMENT DIVERSIFICATION, BANKRUPTCY RISK AND THE MEDIATING ROLE OF BUSINESS DIVERSIFICATION pp. 1-26

Thanh Vu, Minh Nguyen and Michael McAleer

PRICING OPTIONS UNDER STOCHASTIC INTEREST RATE AND THE FRASCA–FARINA PROCESS: A SIMPLE, EXPLICIT FORMULA pp. 1-4

Moawia Alghalith

LIMIT-TO-ARBITRAGE FACTORS AND IVOL RETURNS PUZZLE: EMPIRICAL EVIDENCE FROM TAIWAN BEFORE AND DURING COVID-19 pp. 1-18

Khoa Dang Duong, Qui Nhat Nguyen, Truong Vinh Le and Diep Nguyen

Volume 15, issue 04, 2020

SIMPLE BAYESIAN FORECAST COMBINATION pp. 1-7

Philip Hans Franses

REVENUE DIVERSIFICATION AND BANKING RISK: DOES THE STATE OWNERSHIP MATTER? EVIDENCE FROM AN EMERGING MARKET pp. 1-18

Giang Thi Huong Vuong and Manh Huu Nguyen

FLATTENING THE CURVE IN RISK MANAGEMENT OF COVID-19: DO LOCKDOWNS WORK? pp. 1-26

David Allen and Michael McAleer

HISTORICAL FORECASTING OF INTEREST RATE MEAN AND VOLATILITY OF THE UNITED STATES: IS THERE A ROLE OF UNCERTAINTY? pp. 1-17

Hossein Hassani, Mohammad Reza Yeganegi and Rangan Gupta

PRICING MULTI-ASSET AMERICAN OPTION WITH STOCHASTIC CORRELATION COEFFICIENT UNDER VARIANCE GAMMA ASSET PRICE DYNAMIC pp. 1-25

Farshid Mehrdoust and Oldouz Samimi

PREDICTING CASES AND DEATHS IN EUROPE FROM COVID-19 TESTS AND COUNTRY POPULATIONS pp. 1-15

David Allen and Michael McAleer

Volume 15, issue 03, 2020

EFFECTS OF VOLATILITY AMONG COMMODITIES IN THE LONG TERM: ANALYSIS OF A COMPLEX NETWORK pp. 1-16

Marcelo de Oliveira Passos, Mathias Tessmann, Regis Ely, Daniel Uhr and Márcio Taceli Taveira

TESTING TRADE-OFF THEORY BETWEEN NETWORKING CAPITAL AND FIRM VALUE: EMPIRICAL EVIDENCE FROM VIETNAM pp. 1-21

Duong Dang Khoa, Pham Thi Tram Anh and Le Thi My Duyen

FINANCIAL INTEGRATION, ENERGY CONSUMPTION AND ECONOMIC GROWTH IN VIETNAM pp. 1-19

Minh Nguyen, Bui Ngoc and Michael McAleer

PRIOR TRADING OUTCOMES AND SUBSEQUENT PORTFOLIO RISKS: USING SECURITIES DEALER IN TAIWAN AS AN EXAMPLE pp. 1-30

Yong-Chin Liu, Hsiang-Ju Chen and Wei-Ting Hsu

Volume 15, issue 02, 2020

HEDGING UNDER PRICE, OUTPUT AND BASIS RISKS: EMPIRICAL ANALYSIS pp. 1-7

Moawia Alghalith and Ricardo Lalloo

WELFARE GAINS FROM MACRO-HEDGING pp. 1-7

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

Ryle S. Perera and Kimitoshi Sato

VALUATION, HEDGING, AND BOUNDS OF SWAPS UNDER MULTI-FACTOR BNS-TYPE STOCHASTIC VOLATILITY MODELS pp. 1-28

Aziz Issaka

BANK EARNINGS MANAGEMENT AND DIVIDEND POLICY UNDER AGENCY PROBLEM CONTEXTS pp. 1-15

Dung Tran

Volume 15, issue 01, 2020

AUSTRALIAN GOVERNMENT BONDS’ NOMINAL YIELDS: A KEYNESIAN PERSPECTIVE pp. 1-20

Tanweer Akram and Anupam Das

AN EFFICIENT VARIANCE REDUCTION-BASED SIMULATION ALGORITHM FOR PRICING ARITHMETIC ASIAN OPTIONS pp. 1-17

Farshid Mehrdoust and Idin Noorani

IMMEDIATE AND LONGER-TERM STOCK PRICE DYNAMICS FOLLOWING LARGE STOCK PRICE CHANGES pp. 1-17

Andrey Kudryavtsev

MULTI-ASSET PORTFOLIO OPTIMIZATION WITH STOCHASTIC SHARPE RATIO UNDER DRAWDOWN CONSTRAINT pp. 1-33

Subhojit Biswas, Saif Jawaid and Diganta Mukherjee

THE CASH USE OF THE MALAYSIAN RINGGIT: CAN IT BE MORE EFFICIENT? pp. 1-5

Philip Hans Franses and Max Welz

Volume 14, issue 04, 2019

A PROPOSAL FOR MULTI-ASSET GENERALIZED VARIANCE SWAPS pp. 1-29

Subhojit Biswas and Diganta Mukherjee

DOES THE BUSINESS CLIMATE AFFECT PRIVATE DOMESTIC AND FOREIGN INVESTMENT? EMPIRICAL EVIDENCE FROM THE MENA REGION pp. 1-29

Ousama Ben-Salha and Mourad Zmami

AN OPTION THEORETIC APPROACH TO MARKET EFFICIENCY pp. 1-21

Rajeev R. Bhattacharya

FORECASTING REALIZED VOLATILITY DYNAMICALLY BASED ON ADJUSTED DYNAMIC MODEL AVERAGING (AMDA) APPROACH: EVIDENCE FROM CHINA’S STOCK MARKET pp. 1-21

Ping Yuan

A NOVEL METHOD FOR ARBITRAGE-FREE OPTION SURFACE CONSTRUCTION pp. 1-14

Greg Orosi

DOES CHANGE IN ECONOMIC POLICY UNCERTAINTY AFFECT REAL ESTATE INVESTMENT TRUSTS (REITs)? pp. 1-24

Ranjeeta Sadhwani, Suresh Kumar Oad Rajput, Asad Ali-Rind and Muhammad Tahir Suleman

A PERFORMANCE ANALYSIS OF DOLLAR-COST AVERAGING AND SELF-ANNUITIZATION pp. 1-15

Richard Lu and Meng-Sung Hsieh

Volume 14, issue 03, 2019

ESTIMATING SECTORAL SYSTEMATIC RISK FOR CHINA, MALAYSIA, SINGAPORE, AND THAILAND pp. 1-18

Thach Pham and Duc Hong Vo

VOLATILITY SPILLOVER EFFECT OF FEDERAL RESERVE’S BALANCE SHEET ON THE FINANCIAL AND GOODS MARKETS OF INDO-PAK REGION pp. 1-18

Qasim Raza Syed, Waseem Shahid Malik and Bisharat Chang

DO EXCHANGE RATE CHANGES HAVE SYMMETRIC OR ASYMMETRIC EFFECTS ON INTERNATIONAL TRADE INTEGRATION? pp. 1-21

Suresh Kumar Oad Rajput, Niaz Hussain Ghumro and Nadia Anjum

FINANCIAL DEVELOPMENT, TECHNOLOGY AND ECONOMIC DEVELOPMENT: THE ROLE OF INSTITUTIONS IN DEVELOPING COUNTRIES pp. 1-25

Samina Sabir, Rashid Latif, Unbreen Qayyum and Kamran Abass

THE NEXUS BETWEEN ECONOMIC INTEGRATION AND GROWTH: APPLICATION TO VIETNAM pp. 1-16

Minh Nguyen, Bui Ngoc and Duc Hong Vo

Volume 14, issue 02, 2019

FINANCIAL INCLUSION AND MACROECONOMIC STABILITY IN EMERGING AND FRONTIER MARKETS pp. 1-15

Anh Vo, Loan Thi-Hong van, Duc Hong 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

Zhifeng Wang, Fangying Wei and Yuzhou Fang

MULTIFRACTAL BEHAVIOR IN PRECIOUS METALS: WAVELET COHERENCY AND FORECASTING BY VARIMA AND V-FARIMA MODELS pp. 1-12

Itir Doğangün and Gazanfer Ünal

FINANCIAL INTEGRATION AND MACROECONOMIC VOLATILITY: NEW EVIDENCE FROM DSGE MODELING pp. 1-19

Tarek Ghazouani, Ramzi Drissi and Jamel Boukhatem

THE DETERMINANTS OF FINANCIAL INSTABILITY IN EMERGING COUNTRIES pp. 1-19

Duc Hong Vo, Vuong Minh Nguyen, Phat Quang-Ton Le and Thach Pham

Volume 14, issue 01, 2019

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

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