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This study expands the wavelet literature by using the continuous wavelet transform based measure to examine the interdependence and systematic risk of nine Asian securitized real estate markets: Australia, China, Hong Kong, Japan, Malaysia, Philippines, Singapore, Thailand, Taiwan) and the US...
Persistent link: https://www.econbiz.de/10012955980
Persistent link: https://www.econbiz.de/10009376404
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...
Persistent link: https://www.econbiz.de/10009788557
We investigate whether the favorable performance of a fairly simple multistate multivariate Markov regime switching model relative to even very complex multivariate GARCH specifications, recently reported in the literature using measures of in-sample prediction accuracy, extends to pseudo...
Persistent link: https://www.econbiz.de/10010206925
bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long … doubt on its validity for securitized real estate markets. -- Cointegration ; Correlation Analysis ; Diversification …
Persistent link: https://www.econbiz.de/10003846077
Persistent link: https://www.econbiz.de/10010520425
use an Asymmetric DCC - GJR - GARCH model to estimate the dynamic conditional correlation at daily, weekly, and monthly … frequencies. Our contribution is threefold. First, we find a that downward trend in the daily conditional correlation in the … Turkish market, which is contrary to the literature, while the upward trend in the correlation of the two U.S. markets is …
Persistent link: https://www.econbiz.de/10011845163
We use the Dynamic Conditional Correlation model with Generalized Autoregressive Conditional Heteroskedasticity (DCC …-GARCH) developed by Engle (Journal of Business & Economic Statistics 20(3):339–350, 2002) to examine dynamics in the correlation of …
Persistent link: https://www.econbiz.de/10013130479
We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S … their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the …
Persistent link: https://www.econbiz.de/10013139729
Analysis of REIT credit line availability and use under normal conditions and during the recent financial crisis are provided. Descriptive statistics indicate REIT credit lines represent an important component of capital structure, credit line availability and utilization have increased...
Persistent link: https://www.econbiz.de/10013150872