Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model

Journal of Banking and Finance

Volumn 22, Issue 5, 1998, Pages 535-563

  Elyasiani, Elyas ^a   Mansur, Iqbal ^b  

^a TEMPLE UNIVERSITY   (United States)

^b WIDENER UNIVERSITY   (United States)

Author keywords

Bank stocks; C52; G12; G21; GARCH; Interest rate risk

Indexed keywords

EID: 0000403740     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(98)00003-X     Document Type: Article

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