Su, EnDer - Volkswirtschaftliche Fakultät, … - 2013
markets, the tail dependence is studied for smaller Taiwanese and South Korean stock markets, i.e. Taiex and Kospi against …In this paper, three copula GARCH models i.e. Gaussian, Student-t, and Clayton are used to estimate and test the tail … dependence measured by Kendall’s tau between six stock indices. Since the contagion risk spreads from large markets to small …