Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns

Journal of Multinational Financial Management

Volumn 10, Issue 3-4, 2000, Pages 397-420

  Tai, Chu Sheng ^a  

^a TEXAS A AND M UNIVERSITY KINGSVILLE   (United States)

Author keywords

Bank stock returns; Multivariate GARCH M; Time varying risk premium

Indexed keywords

EID: 0034416407     PISSN: 1042444X     EISSN: None     Source Type: Journal    
DOI: 10.1016/s1042-444x(00)00031-1     Document Type: Article

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