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

  • Elyasiani, Elyas
  • Mansur, Iqbal
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3T3SMJY-3/2/980a4212a08e1b9377d318aaf147a8fb
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    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 22 (1998)
    Issue (Month): 5 (May)
    Pages: 535-563

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    Handle: RePEc:eee:jbfina:v:22:y:1998:i:5:p:535-563
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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