Impact of interest rate risk on the Spanish banking sector 11- Fraser, D.R., Madura, J., Weigand, R.A.: Sources of bank interest rate risk. Finan. Rev.
37, 351–368 (2002) - French, K.R., Schwert, G.W., Stambaugh, R.F.: Expected stock returns and volatility. J.
Finan. Econ. 19, 3–29 (1987) - Glosten, L.R., Jagannathan, R., Runkle, D.: On the relationship between the expected
value and the volatility on the nominal excess returns on stocks. J. Finan. 48,1779–1801
(1993) - Kane, E.J., Unal, H.: Change in market assessment of deposit institution riskiness. J.
Finan. Serv. Res. 2, 201–229 (1988) - Kwan, S.H.: Reexamination of interest rate sensitivity of commercial bank stock returns
using a random coefficient model. J. Finan. Serv. Res. 5, 61–76 (1991) - Ryan, S.K., Worthington, A.C.: Market, interest rate and foreign exchange rate risk in
Australian banking: A GARCH-M approach. Int. J. Appl. Bus. Econ. Res. 2, 81–103
(2004) - Song, F.: A two factor ARCH model for deposit-institution stock returns. J. Money Credit
Banking 26, 323–340 (1994) - Stone, B.K.: Systematic interest rate risk in a two-index model of returns. J. Finan. Quant.
Anal. 9, 709–721 (1974)