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Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks

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  • McKenzie, Michael D.
  • Brooks, Robert D.
  • Faff, Robert W.
  • Ho, Yew Kee

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  • McKenzie, Michael D. & Brooks, Robert D. & Faff, Robert W. & Ho, Yew Kee, 2000. "Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 85-106.
    • Handle: RePEc:eee:quaeco:v:40:y:2000:i:1:p:85-106
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    Cited by:

    1. Susan Ryan & Andrew C. Worthington, 2002. "Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach," School of Economics and Finance Discussion Papers and Working Papers Series 112, School of Economics and Finance, Queensland University of Technology.
    2. Onour , Ibrahim A., 2021. "Modeling and assessing systematic risk in stock markets in major oil exporting countries," Economic Consultant, Roman I. Ostapenko, vol. 35(3), pages 18-29.
    3. Shyh-Wei Chen & Nai-Chuan Huang, 2007. "Estimates of the ICAPM with regime-switching betas: evidence from four pacific rim economies," Applied Financial Economics, Taylor & Francis Journals, vol. 17(4), pages 313-327.
    4. Coleman, Jane A. & Shaik, Saleem, 2009. "Time-Varying Estimation of Crop Insurance Program in Altering North Dakota Farm Economic Structure," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49516, Agricultural and Applied Economics Association.
    5. Dr. Ibrahim Onour, "undated". "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," API-Working Paper Series 1009, Arab Planning Institute - Kuwait, Information Center.
    6. Refai, Hisham Al & Eissa, Mohamed Abdelaziz, 2017. "The impact of FIFA’s official announcements on the stock market of Qatar: The case of the 2022 World Cup," Research in International Business and Finance, Elsevier, vol. 41(C), pages 347-353.
    7. Ibrahim Onour, "undated". "Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis," API-Working Paper Series 1002, Arab Planning Institute - Kuwait, Information Center.
    8. Onour, Ibrahim, 2008. "Forward-Looking Beta Estimates:Evidence from an Emerging Market," MPRA Paper 14992, University Library of Munich, Germany.
    9. Henrik Amilon, 2002. "A Score Test for Discreteness in GARCH Models," Research Paper Series 76, Quantitative Finance Research Centre, University of Technology, Sydney.
    10. Amilon, Henrik, 2003. "GARCH estimation and discrete stock prices: an application to low-priced Australian stocks," Economics Letters, Elsevier, vol. 81(2), pages 215-222, November.

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