Annals of Financial Economics (AFE)

2005 - 2025

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 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

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

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

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

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

Volume 11, issue 02, 2016

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

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

Gerasimos G. Rigatos

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

Swarnankur Chatterjee and Amy Hubble

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

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

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

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

Anindya Biswas and Biswajit Mandal

Volume 10, issue 02, 2015

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

Hong Ben Yee and Nikolai Dokuchaev

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

Kaihua Deng

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

Akira Yamazaki

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

Jow-Ran Chang and Hsu-Hsien Chu

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

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

Leh-Chyan So and Jun-Yang Yu

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

Kaihua Deng and Chang-Jin Kim

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

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

Yaacov Kopeliovich

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

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

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

Kangwei Ye

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

Volume 09, issue 03, 2014

ANALYSIS OF MARKET VOLATILITY VIA A DYNAMICALLY PURIFIED OPTION PRICE PROCESS pp. 1-19

Chuong Luong and Nikolai Dokuchaev

THE "DELTA" OF THE MARGRABE FORMULA pp. 1-19

Tumellano Sebehela

BAYESIAN ESTIMATION OF ASYMMETRIC JUMP-DIFFUSION PROCESSES pp. 1-29

Samuel J. Frame and Cyrus A. Ramezani

Volume 09, issue 02, 2014

RECENT DEVELOPMENTS IN QUANTITATIVE FINANCE: AN OVERVIEW pp. 1-7

Chia-Lin Chang, Shing-Yang Hu and Shih-Ti Yu

SEARCHING FOR LANDMINES IN EQUITY MARKETS pp. 1-24

Bi-Juan Chang, Jow-Ran Chang and Mao-Wei Hung

ACTUARIAL IMPLICATIONS OF STRUCTURAL CHANGES IN EL NIÑO-SOUTHERN OSCILLATION INDEX DYNAMICS pp. 1-20

Shu-Ling Chen and Yu-Lieh Huang

USING TWO-PART QUANTILE REGRESSION TO ANALYZE HOW EARNINGS SHOCKS AFFECT STOCK REPURCHASES pp. 1-13

Chih-Yi Chi, Shih-Ti Yu, Yi Tzu Li and Yu-Lung Lu

THE EFFECTS OF FIRM CHARACTERISTICS AND RECOGNITION POLICY ON EMPLOYEE STOCK OPTIONS PRICES AFTER CONTROLLING FOR SELF-SELECTION pp. 1-30

Chii-Shyan Kuo and Shih-Ti Yu

THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE pp. 1-23

Renfei Gao, Cindy S. H. Wang and Christian Hafner

QMLE OF A STANDARD EXPONENTIAL ACD MODEL: ASYMPTOTIC DISTRIBUTION AND RESIDUAL CORRELATION pp. 1-10

Chor-yiu (CY) Sin

TESTING PRICE PRESSURE, INFORMATION, FEEDBACK TRADING, AND SMOOTHING EFFECTS FOR ENERGY EXCHANGE TRADED FUNDS pp. 1-26

Chia-Lin Chang and Yu-Pei Ke

EDITORIAL NOTE: INTRODUCTION TO THE INAUGURAL SPECIAL ISSUE pp. 1-1

Michael McAleer

CREDIT SPREADS AND BANKRUPTCY INFORMATION FROM OPTIONS DATA pp. 1-22

Chi-Feng Tzeng

DOES CEO INCENTIVE PAY IMPROVE BANK PERFORMANCE? A QUANTILE REGRESSION ANALYSIS OF U.S. COMMERCIAL BANKS pp. 1-28

Min-Lee Chan, Cho-Min Lin, Hsin-Yu Liang and Ming-Hua Chen

FAST METHODS FOR LARGE-SCALE NON-ELLIPTICAL PORTFOLIO OPTIMIZATION pp. 1-32

Marc S. Paolella

Volume 09, issue 01, 2014

JUST HOW GOOD ARE THE TOP THREE JOURNALS IN FINANCE? AN ASSESSMENT BASED ON QUANTITY AND QUALITY CITATIONS pp. 1-31

Chia-Lin Chang and Michael McAleer

YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL pp. 1-20

Nagaratnam Jeyasreedharan, David Allen and Joey Wenling Yang

AN ANALYSIS OF STOCK REPURCHASE TRANSACTION USING A PANEL DATA SAMPLE SELECTION MODEL pp. 1-24

Chii-Shyan Kuo, Shih-Ti Yu and Che-Ching Liao

ARE REAL OPTIONS "REAL"? ISOLATING UNCERTAINTY FROM RISK IN REAL OPTIONS ANALYSIS pp. 1-18

Leh-Chyan So

SHORT-RUN ARBITRAGE IN CRISIS MARKETS — EXPERIMENTAL EVIDENCE pp. 1-60

Doron Sonsino and Tal Shavit