Cipollini, Andrea; Fiordelisi, Franco - In: Journal of Banking & Finance 36 (2012) 11, pp. 3101-3109
In this paper we examine the impact of a large number of factors at the bank level (liquidity and credit risks, asset … autocorrelation, we use the Bertschek and Lechner (1998) robust estimator of the covariance matrix of parameters. We show that credit …