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Real-Estate Risk Effects on Financial Institutions' Stock Return Distribution : A Bivariate GARCH Analysis
Elyasiani, Elyas - 2014
This paper examines two relationships using the bivariate GARCH methodology. First, the relationship between equity returns of commercial banks, Savings and Loans (S&Ls) and life insurance companies (LICs), and those of the real-estate investment trusts (REITs), a proxy for the real-estate...
Persistent link: https://www.econbiz.de/10013070731
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Market risk, interest rate risk, and interdependencies in insurer stock returns : a system-GARCH model
Carson, James M.; Elyasiani, Elyas; Mansur, Iqbal - In: The journal of risk and insurance : the journal of the … 75 (2008) 4, pp. 873-891
Persistent link: https://www.econbiz.de/10003790355
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Interest rate risk and equity values of life insurance companies : a GARCH-M model
Brewer, Elijah; Carson, James M.; Elyasiani, Elyas; … - In: The journal of risk and insurance : the journal of the … 74 (2007) 2, pp. 401-423
Persistent link: https://www.econbiz.de/10003483877
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Convergence and risk-return linkages across financial service firms
Elyasiani, Elyas; Mansur, Iqbal; Pagano, Michael S. - In: Journal of banking & finance 31 (2007) 4, pp. 1167-1190
Persistent link: https://www.econbiz.de/10003459177
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Real-estate risk effects on financial institutions' stock return distribution : a bivariate GARCH analysis
Elyasiani, Elyas; Mansur, Iqbal; Wetmore, Jill L. - In: The journal of real estate finance and economics 40 (2010) 1, pp. 89-107
Persistent link: https://www.econbiz.de/10003947939
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Information transmission and spillover in currency markets : a generalized variance decomposition analysis
Elyasiani, Elyas; Kocagil, Ahmet Enis; Mansur, Iqbal - In: The quarterly review of economics and finance : journal … 47 (2007) 2, pp. 312-330
Persistent link: https://www.econbiz.de/10003492912
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Oil price shocks and industry stock returns
Elyasiani, Elyas; Mansur, Iqbal; Odusami, Babatunde Olatunji - In: Energy economics 33 (2011) 5, pp. 966-974
Persistent link: https://www.econbiz.de/10009382970
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The association between market and exchange rate risks and accounting variables: a GARCH model of the Japanese banking institutions
Elyasiani, Elyas; Mansur, Iqbal - In: Review of quantitative finance and accounting 25 (2005) 2, pp. 183-206
Persistent link: https://www.econbiz.de/10003124839
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Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate : a GARCH-M model
Elyasiani, Elyas - In: Journal of banking & finance 22 (1998) 5, pp. 535-563
Persistent link: https://www.econbiz.de/10001243309
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An examination of the impact of the 1989 FIRREA on the market value of commercial banks and savings and loans
Mansur, Iqbal - In: Applied financial economics 4 (1994) 1, pp. 11-22
Persistent link: https://www.econbiz.de/10001156151