Sensitivity of the Bank Stock Returns Distribution to Changes in the Level and Volatility of Interest Rate : A GARCH-M Model
Year of publication: |
2016
|
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Authors: | Elyasiani, Elyas |
Other Persons: | Mansur, Iqbal (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Bank | Börsenkurs | Share price | Zinsrisiko | Interest rate risk | Volatilität | Volatility | Zins | Interest rate | Kapitaleinkommen | Capital income |
Extent: | 1 Online-Ressource (29 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Banking & Finance 22 (1998) 535-563 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 11, 1995 erstellt |
Classification: | G12 - Asset Pricing ; G21 - Banks; Other Depository Institutions; Mortgages ; C52 - Model Evaluation and Testing |
Source: | ECONIS - Online Catalogue of the ZBW |
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