The Correlation and Contagion Effect between Us Reits and Japan Reits - Based On the Armax-Gjr-Garch-Copula Model
Year of publication: |
2013
|
---|---|
Authors: | Peng, Miin-Yu ; Lee, Wo-Chiang |
Published in: |
Asian Economic and Financial Review. - Asian Economic and Social Society. - Vol. 3.2013, 12, p. 1609-1619
|
Publisher: |
Asian Economic and Social Society |
Subject: | Submortgage crisis | Copula model | Contagion effect | ARMAX-GJR-GARCH |
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