This paper presents empirical evidence of herding contagion between oil market and stock markets, during the oil shock and the US financial crisis period of 2008-2009, after controlling fundamentals-driven comovements. We estimate the forecasting errors of time-varying parameters using the...

This study examines the contagion of herding behavior in the Tunisian financial system during the period 2000:01-2012:12 by using several GARCH models. The BEKK-GARCH model results prove the volatility spillovers between the residues of time deposit and other financial variables for savings...

This paper aims to analyze the spillovers between the financial and economic spheres in Tunisia. The results based on GARCH model show that the major economic growth shocks are persistent. Further, BEKK- GARCH model results well illustrate that financial and economic spheres are more or less...