Annals of Financial Economics (AFE)

2005 - 2026

Current editor(s): Michael McAleer

From World Scientific Publishing Co. Pte. Ltd.
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Volume 13, issue 04, 2018

ASYMMETRIC IMPACT OF EXCHANGE RATE CHANGES ON THE TRADE BALANCE: DOES GLOBAL FINANCIAL CRISIS MATTER? pp. 1-18

Bisharat Chang, Suresh Kumar Oad Rajput and Niaz Hussain Ghumro

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

Jianqiu Wang and Ke Wu

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

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

Volume 13, issue 03, 2018

WHAT IMPACT DOES INFLATION TARGETING HAVE ON THE REAL ECONOMY OF DEVELOPING AND EMERGING COUNTRIES? pp. 1-18

Jose Angelo Divino

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

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

CONCERNING THE SEIZURE OF COLLATERAL IN COLLATERALIZED LOAN MARKETS pp. 1-9

Adriano Campos Menezes and Jaime Orrillo

PRICING CARBON EMISSIONS IN CHINA pp. 1-37

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

Lu Yang and Shigeyuki Hamori

Volume 13, issue 02, 2018

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 Powell and Abhay K. Singh

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

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

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

Michael McAleer

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

Volume 12, issue 04, 2017

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

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

CORPORATE FINANCING UNDER HETEROGENEOUS BELIEFS pp. 1-12

Weining Niu

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

Charles I. Nkeki

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

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

Mustafa Gülerce and Gazanfer Ünal

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

Hao-Chang Sung and Chunsheng Yuan

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

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

Tanweer Akram and Anupam Das

Volume 12, issue 02, 2017

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

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

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

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

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

Ahmet Göncü and Erdinc Akyildirim

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

Moustafa Abuelfadl

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

Joerg Osterrieder and Julian Lorenz

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

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

K. Fergusson

Volume 11, issue 04, 2016

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

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

Volume 11, issue 03, 2016

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

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

Sharif Mozumder and Arafatur Rahman

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

Jukka Ilomäki

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

Semere Habtemicael and Indranil Sengupta

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

R. Ahalya and R. Ramanathan

Volume 11, issue 02, 2016

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

Chuong Luong and Nikolai Dokuchaev

PORTFOLIO FORMATION MEMORY pp. 1-16

Tumellano Sebehela

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

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

Swarnankur Chatterjee and Amy Hubble

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

Gerasimos G. Rigatos

Volume 11, issue 01, 2016

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

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

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

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

Anindya Biswas and Biswajit Mandal

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