Beraich, Mohamed; El Main, Salah Eddin - In: Risks : open access journal 10 (2022) 6, pp. 1-20
The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 pandemic crisis using the DY model. Specifically, this study assesses the impact of the recent COVID-19 outbreak on the transmission of volatility among...