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...
