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

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

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

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

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

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

Jose Angelo Divino

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

Adriano Campos Menezes and Jaime Orrillo

Volume 13, issue 02, 2018

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

Philip Hans Franses and Eva Janssens

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

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

HERDING IN CRYPTO-CURRENCY MARKETS pp. 1-15

Taufeeq Ajaz and Anoop S Kumar

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

Yaxing Yang and Shiqing Ling

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

Christian Brownlees, Giuseppe Cavaliere and Alice Monti

Volume 13, issue 01, 2018

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

Charles. I. Nkeki

THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH pp. 1-25

Takashi Miyazaki and Shigeyuki Hamori

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

Michael McAleer

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

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

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

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

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

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

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

Mustafa Gülerce and Gazanfer Ünal

Volume 12, issue 02, 2017

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

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

K. Fergusson

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

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

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

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

RISK ATTITUDES IN THE BOARD ROOM AND COMPANY PERFORMANCE: EVIDENCE FOR AN EMERGING ECONOMY pp. 1-14

Denice Bodeutsch and Philip Hans Franses

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

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

Sharif Mozumder and Arafatur Rahman

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

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

Chakarin Bejrananda, Yuk Lee and Thanchanok Bejrananda

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

Jukka Ilomäki

Volume 11, issue 02, 2016

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

Swarnankur Chatterjee and Amy Hubble

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

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

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

Gerasimos G. Rigatos

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

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

RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES pp. 1-26

Michele Costola and Massimiliano Caporin

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