Akhtaruzzaman, Md; Shamsuddin, Abul; Easton, Steve - In: Journal of International Financial Markets, … 31 (2014) C, pp. 378-396
This paper examines the spill-over effects of interest rate risk and return on Australian and US financial firms using a dynamic conditional correlation GARCH model. Australian banks exhibit negative exposure to changes in both domestic and US interest rates, and US interest rate volatility is...