Kim, Bong-Han; Kim, Seewon - In: Journal of Policy Modeling 35 (2013) 2, pp. 339-353
We argue that Korea's recent financial distresses reflect contagion of the crisis, beyond normal interdependence between the Korean financial market and other regional financial markets. The tests based on the correlation coefficients estimated from the DCC-GARCH and STC-GARCH models lend...