-M) model to consider the time-series sensitivity of Australian bank stock returns to market, interest rate and foreign exchange … rate risks. Daily Australian bank portfolio returns, a market wide accumulation index, short, medium and long-term interest … suggest that market risk is an important determinant of bank stock returns, along with short and medium term interest rate …

factors—to account for interest rate volatility dynamics has been much debated. We examine this issue with a comprehensive set … of new arbitrage-free term structure specifications that allow for spanned stochastic volatility to be linked to one or … more of the yield curve factors. Using U.S. Treasury yields, we find that much realized stochastic volatility cannot be …

The study aims to extend the GARCH type volatility models to their nonlinear TAR (Tong, 1990) and STAR … terms of various error criteria. The results suggest that volatility clustering, asymmetry and nonlinearity characteristics …

In this paper we study the volatility behaviour, the aggregation effects and we investigate the nature of shocks coming …

sector indices from April 2008 to August 2013. The relationship between volatility and information arrival was modelled using … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …

body of research, mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates …. However, the analysis of the sources of bank interest rate risk has received much less attention in the literature. The aim of … using panel data methodology. The results indicate that interest rate exposure is systematically related to some bank …

sector based on data provided by the Czech National Bank. All banks providing services in the Czech Republic in the period of …

real banks, we construct for each bank a portfolio with a similar composition of its assets and liabilities, called … 'tracking bank'. We evaluate the effect of 260 historical interest rate shocks on the tracking banks of German savings banks and …