The objective of this paper is to employ the generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) methodology to investigate the effect of interest rate and its volatility on the bank stock return generation process. This framework discards the restrictive assumptions...

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...

This study attempts to determine whether the level and volatility of interest rates affect the equity returns of commercial banks. Short-term, intermediate-term, and long-term interest rates are used. Volatility is defined as the conditional variance of respective interest rates and is generated...