Dynamic gap transformations: Are banks asset – transformers or brokers? or both?

Author:

Bharati Rakesh,Nanisetty Prasad,So Jacky

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference26 articles.

1. Innovations in interest rates, duration transformation, and bank stock returns;Akella;Journal of Money Credit and Banking,1992

2. Duration analysis: Managing interest rate risk;Bierwag,1987

3. Coping with interest rate risk fluctuations: A note;Bierwag;Journal of Business,1977

4. Generalized autoregressive conditional heteroscedasticity;Bollerslev;Journal of Econometrics,1986

5. Time-varying risk and return in the bond market: A test of a new equilibrium pricing model;Campbell;Review of Financial Studies,1999

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