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Montassar Zayati

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Open access Aug 2026

Dependence of Extreme Values, VaR, and Contagion During the COVID-19 Period: Analysis Using the Copula-GARCH Approach

The present study investigates extreme co-movements and financial contagion across a broad set of global financial markets, including ten developed and emerging stock market indices, commodities (gold and oil), and cryptocurrencies (Bitcoin), over the period from January 2007 to May 2023. In the context of the increasi...

S. Hamrouni, Montassar Zayati, Kamel Naoui · 0 citations

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