Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks
Year of publication: |
2000
|
---|---|
Authors: | McKenzie, Michael D. ; Brooks, Robert D. ; Faff, Robert W. ; Ho, Yew Kee |
Published in: |
The Quarterly Review of Economics and Finance. - Elsevier, ISSN 1062-9769. - Vol. 40.2000, 1, p. 85-106
|
Publisher: |
Elsevier |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach
Brooks, Robert D., (2000)
-
Brooks, Robert, (1997)
-
The use of domestic and world market indexes in the estimation of time-varying betas
McKenzie, Michael D., (2000)
- More ...