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Market, interest rate and foreign exchange rate risk in Australian banking: A GARCH-M approach
16 references·0 citing·44 second hopsampled
Market, interest rate and foreign exchange rate risk in Australian banking: A GARCH-M approach (2004)Market, interest rate and foreign exchang…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques (1998)Time‐Varying Beta Risk of Aus…The impact of exchange rate volatility on Australian trade flows (1998)The impact of exchange rate v…Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)Sensitivity of the bank stock…The exchange rate exposure of U.S. and Japanese banking institutions (1997)The exchange rate exposure of…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns (1996)Heterogeneous Information Arr…The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)The sensitivity of bank stock…Re-examination of interest rate sensitivity of commercial bank stock returns using a random coefficient model (1991)Re-examination of interest ra…INTEREST RATE CHANGES AND COMMON STOCK RETURNS OF FINANCIAL INSTITUTIONS: REVISITED (1990)INTEREST RATE CHANGES AND COM…Change in Market Assessments of Deposit-Institution Riskiness (1988)Change in Market Assessments …The Pricing of Interest-Rate Risk: Evidence from the Stock Market (1986)The Pricing of Interest-Rate …Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note (1985)Interest Rate Sensitivity in …The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)The Effect of Interest Rate C…Market Evidence on the Effective Maturity of Bank Assets and Liabilities (1984)Market Evidence on the Effect…An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach (1980)An Empirical Study of the Int…A RE‐EXAMINATION OF INTEREST RATE SENSITIVITY IN THE COMMON STOCKS OF FINANCIAL INSTITUTIONS (1980)A RE‐EXAMINATION OF INTEREST …An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Time and frequency connectedness among oil shocks, electricity and clean energy markets (2020)Economic Forces and the Stock Market (1986)Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)The capital asset pricing model: Some empirical tests (1972)REIT Characteristics and the Sensitivity of REIT Returns (2000)The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey (2011)Fractional Brownian Motions, Fractional Noises and Applications (1968)ARCH modeling in finance (1992)Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (2005)Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position (2019)Volatility of clean energy and natural gas, uncertainty indices, and global economic conditions (2022)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Socially Responsible Investment and cleaner production in the Asia Pacific: does it pay to be good? 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References

  • 2002The Message in Daily Exchange Rates791 cited
  • 1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions771 cited
  • 1986The Pricing of Interest-Rate Risk: Evidence from the Stock Market283 cited
  • 1992The sensitivity of bank stock returns to market, interest and exchange rate risks251 cited
  • 1998Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model251 cited
  • 1996Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns215 cited
  • 1997The exchange rate exposure of U.S. and Japanese banking institutions199 cited
  • 1980An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach175 cited
  • 1998Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques173 cited
  • 1988Change in Market Assessments of Deposit-Institution Riskiness156 cited
  • 1984Market Evidence on the Effective Maturity of Bank Assets and Liabilities153 cited
  • 1998The impact of exchange rate volatility on Australian trade flows134 cited
  • 1990INTEREST RATE CHANGES AND COMMON STOCK RETURNS OF FINANCIAL INSTITUTIONS: REVISITED133 cited
  • 1980A RE‐EXAMINATION OF INTEREST RATE SENSITIVITY IN THE COMMON STOCKS OF FINANCIAL INSTITUTIONS

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128 cited
  • 1991Re-examination of interest rate sensitivity of commercial bank stock returns using a random coefficient model124 cited
  • 1985Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note124 cited
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