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

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

Quarterly Review of Economics and Finance

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Bibliographic Details
Main Authors: McKenzie, M.D., Brooks, R.D., Faff, R.W., Ho, Y.K.
Other Authors: FINANCE & ACCOUNTING
Format: Article
Published: 2013
Subjects:
Beta
Extreme information
G120
G210
G280
GARCH
JEL Classification
Online Access:http://scholarbank.nus.edu.sg/handle/10635/45195
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Institution: National University of Singapore
id sg-nus-scholar.10635-45195
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spelling sg-nus-scholar.10635-451952015-02-02T08:33:53Z Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks McKenzie, M.D. Brooks, R.D. Faff, R.W. Ho, Y.K. FINANCE & ACCOUNTING Beta Extreme information G120 G210 G280 GARCH JEL Classification Quarterly Review of Economics and Finance 40 1 85-106 2013-10-11T08:13:53Z 2013-10-11T08:13:53Z 2000 Article McKenzie, M.D.,Brooks, R.D.,Faff, R.W.,Ho, Y.K. (2000). Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks. Quarterly Review of Economics and Finance 40 (1) : 85-106. ScholarBank@NUS Repository. 10629769 http://scholarbank.nus.edu.sg/handle/10635/45195 NOT_IN_WOS Scopus
institution National University of Singapore
building NUS Library
country Singapore
collection ScholarBank@NUS
topic Beta
Extreme information
G120
G210
G280
GARCH
JEL Classification
spellingShingle Beta
Extreme information
G120
G210
G280
GARCH
JEL Classification
McKenzie, M.D.
Brooks, R.D.
Faff, R.W.
Ho, Y.K.
Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks
description Quarterly Review of Economics and Finance
author2 FINANCE & ACCOUNTING
author_facet FINANCE & ACCOUNTING
McKenzie, M.D.
Brooks, R.D.
Faff, R.W.
Ho, Y.K.
format Article
author McKenzie, M.D.
Brooks, R.D.
Faff, R.W.
Ho, Y.K.
author_sort McKenzie, M.D.
title Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks
title_short Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks
title_full Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks
title_fullStr Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks
title_full_unstemmed Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks
title_sort exploring the economic rationale of extremes in garch generated betas the case of u.s. banks
publishDate 2013
url http://scholarbank.nus.edu.sg/handle/10635/45195
_version_ 1681083031122608128

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