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Search: subject:"Bayesian DCC M-GARCH model"
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interest rate risk
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maturity transformation
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Bayesian DCC M-GARCH model
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Foos, Daniel
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Lütkebohmert, Eva
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Markovych, Mariia
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Pliszka, Kamil
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Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Foos, Daniel
;
Lütkebohmert, Eva
;
Markovych, Mariia
; …
- In:
European Financial Management
28
(
2022
)
4
,
pp. 883-925
the
Bayesian
DCC
M‐GARCH
model
. Our findings reveal that stock price sensitivities change over time and that, on average …
Persistent link: https://www.econbiz.de/10013380592
Saved in:
2
Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Foos, Daniel
;
Lütkebohmert, Eva
;
Markovych, Mariia
; …
- In:
European financial management : the journal of the …
28
(
2022
)
4
,
pp. 883-925
Persistent link: https://www.econbiz.de/10013415731
Saved in:
3
Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Foos, Daniel
;
Lütkebohmert, Eva
;
Markovych, Mariia
; …
-
2017
pursued a more risky maturity transformation strategy. First, we use the
Bayesian
DCC
M-GARCH
model
to assess banks' stock …
Persistent link: https://www.econbiz.de/10011714655
Saved in:
4
Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Foos, Daniel
;
Lütkebohmert, Eva
;
Markovych, Mariia
; …
-
2017
pursued a more risky maturity transformation strategy. First, we use the
Bayesian
DCC
M-GARCH
model
to assess banks' stock …
Persistent link: https://www.econbiz.de/10011712563
Saved in:
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