U.S. banking sector risk in an era of regulatory change: A bivariate GARCH approach

Review of Quantitative Finance and Accounting

Volumn 14, Issue 1, 2000, Pages 17-43

  Brooks, Robert D ^a   Faff, Robert W ^a   McKenzie, Michael D ^a   Ho, Yew Kee ^b  

^a RMIT UNIVERSITY   (Australia)

^b CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

Beta; GARCH; Stochastic dominance; U.s. Bank regulation

Indexed keywords

EID: 0042247993     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/A:1008324023419     Document Type: Article

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