This paper investigates the dynamics in the British Pound (BP), Deutsche Mark (DM), Swiss Franc (SF), and Japanese Yen (JY) futures using Generalized Variance Decomposition analysis over the 1985–2005 period. The results support the interdependence hypothesis against the segregation model with...

We investigate the association between the stock return distributions of 10 major U.S. sectors and oil returns within a double-threshold FIGARCH model. This model nests GARCH, IGARCH and Fama-French specifications as its special cases and allows a test of their validity. This model also has the...

Using the bivariate GARCH methodology, this study examines bank stock sensitivities to market, interest rate, and exchange rate, and investigates the spillover effects of interest rate volatility and unsystematic risk among the banking sectors of the United States and Japan, and the United...

This study employs a multivariate GARCH model to investigate the relative sensitivities of the first and the second moment of bank stock return distribution to the short-term and long-term interest rates and their respective volatilities. Three portfolios are formed representing the money center...