Search Results - subject:"liquidity risk factors"

On the predictability of the distribution of excess returns in currency markets

Cho, Dooyeon - In: International journal of forecasting 37 (2021) 2, pp. 511-530

Persistent link: https://www.econbiz.de/10012792849

Volatility spillovers and dynamic correlation between liquidity risk factors in Tunisian banks

Zouari, Dorra; Ghorbel, Achraf; Ghorbel-Zouari, Sonia; … - In: International Journal of Managerial and Financial Accounting 6 (2014) 1, pp. 1-26

This paper analyses the volatility spillover and the dynamic correlation between liquidity risks factors in Tunisian banks over 1990:1 2011:12. Based on the BEKK-GARCH estimation results, we find a significant volatility spillover between deposit and loan to economy and between securities...

Persistent link: https://www.econbiz.de/10010760041

Volatility spillovers and dynamic correlation between liquidity risk factors in Tunisian banks

Zouari, Dorra; Ghorbel, Achraf; Zouari, Sonia Ghorbel; … - In: International journal of managerial and financial accounting 6 (2014) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10010399205