U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach
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Cited by:
- 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.
- Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014. "Estimating time-varying currency betas with contagion: New evidence from developed and emerging financial markets," Japan and the World Economy, Elsevier, vol. 30(C), pages 10-24.
- Anders Johansson, 2009.
"An analysis of dynamic risk in the Greater China equity markets,"
Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 7(3), pages 299-320.
- Johansson, Anders C., 2009. "An Analysis Of Dynamic Risk In The Greater China Equity Markets," Working Paper Series 2009-5, Stockholm School of Economics, China Economic Research Center.
- 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.
- Prabhath Jayasinghe & Albert K. Tsui, 2009. "Time-Varying Currency Betas : Evidence from Developed and Emerging Markets," Finance Working Papers 22761, East Asian Bureau of Economic Research.
- Brooks, Robert D. & Faff, Robert W. & Fry, Tim R. L., 2001. "GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 215-222, June.
- Henryk Gurgul & Paweł Majdosz, 2006. "The impact of institutional investors on risk and stock return autocorrelations in the context of the Polish pension reform," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 16(2), pages 5-30.
- Jayasinghe, Prabhath & Tsui, Albert K. & Zhang, Zhaoyong, 2014. "New estimates of time-varying currency betas: A trivariate BEKK approach," Economic Modelling, Elsevier, vol. 42(C), pages 128-139.
- Stephanos Papadamou & Costas Siriopoulos, 2012. "Banks’ lending behavior and monetary policy: evidence from Sweden," Review of Quantitative Finance and Accounting, Springer, vol. 38(2), pages 131-148, February.
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