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Systematic Interest-Rate Risk in a Two-Index Model of Returns
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- James R. Booth & Dennis T. Officer, 1985. "Expectations, Interest Rates, And Commercial Bank Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 51-58, March.
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"The Interest Rate Exposure of Nonfinancial Corporations,"
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- Maxim Zagonov, 2011.
"Securitization and Bank Intermediation Function,"
Finance
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Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1401-1418, November.
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- Jiranyakul, Komain, 2016. "Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?," MPRA Paper 71602, University Library of Munich, Germany.
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- Johnson Worlanyo Ahiadorme & Emmanuel Sonyo & Godwin Ahiase, 2019.
"Time Series Analysis of Interest Rates Volatility and Stock Returns in Ghana,"
Emerging Economy Studies, International Management Institute, vol. 5(2), pages 89-102, November.
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- Osman Kilic & M. Hassan & David Tufte, 1998. "An empirical investigation of U.S. bank risk and the Mexican peso crisis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 139-147, June.
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"Risk factors in oil and gas industry returns: International evidence,"
Energy Economics, Elsevier, vol. 33(3), pages 525-542, May.
- Ramos, Sofia B. & Veiga, Helena, 2009. "Risk factors in oil and gas industry returns: international evidence," DES - Working Papers. Statistics and Econometrics. WS ws096920, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francisco Jareno, 2008. "Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model," Applied Economics, Taylor & Francis Journals, vol. 40(24), pages 3159-3171.
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- Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
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