It sounds like either you're not closing all of the workbooks you open (ie. 'BAZA') or, when they are closed, Excel is not releasing memory (ie. a memory leak).
I'd recommend stepping through your code line-by-line (F8) and watching what happens to EXCEL's memory usage when objects are create (eg. workbooks are opened) and when they're destroyed (eg. workbooks are closed).
btw, the Activate/Copy/Paste code is functional, but ugly. You could improve it by a combination of Workbook and using Range objects, eg:
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