Peng, Miin-Yu; Lee, Wo-Chiang - In: Asian Economic and Financial Review 3 (2013) 12, pp. 1609-1619
The article discuss the relationship between US REITs and Japan REITs. In empirical study, we apply five static ARMAX-GJR-GARCH copula models and two time-varying dynamic copula models. The results show that the kendall tau is lower before the submortgage crisis. The contagion effect test...