Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model
| Year of publication: |
1998
|
|---|---|
| Authors: | Elyasiani, Elyas ; Mansur, Iqbal |
| Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 22.1998, 5, p. 535-563
|
| Publisher: |
Elsevier |