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Conditional risk and return in bank holding company stocks: a factor- GARCH approach

Author

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  • Jonathan A. Neuberger

Abstract

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Suggested Citation

  • Jonathan A. Neuberger, 1994. "Conditional risk and return in bank holding company stocks: a factor- GARCH approach," Working Papers in Applied Economic Theory 94-02, Federal Reserve Bank of San Francisco.
    • Handle: RePEc:fip:fedfap:94-02
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    Cited by:

    1. Brailsford, T.J. & Lin, Shu Ling & Penm, Jack H.W., 2006. "Conditional risk, return and contagion in the banking sector in asia," Research in International Business and Finance, Elsevier, vol. 20(3), pages 322-339, September.
    2. Wided Ben Moussa, 2014. "Bank Stock Volatility And Contagion: An Empirical Investigation With Application Of Multivariate Garch Models," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 39(2), pages 1-24, June.
    3. Shu Ling Lin, 2008. "Conditional risk and return in Asian emerging markets: evidence from the banking sector," Applied Economics, Taylor & Francis Journals, vol. 40(24), pages 3173-3183.

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