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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

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  • Elyasiani, Elyas
  • Mansur, Iqbal

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  • Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
  • Handle: RePEc:eee:jbfina:v:22:y:1998:i:5:p:535-563
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