Studies on real estate economics neglected the relationship between hedonic prices and capitalization rate, thus considering the hedonic models and the income approach as two separate and alternative appraisal methods. In this short theoretical paper we show that integration is possible and...

This article assesses the ability of flexible dynamic correlation specifications to improve asset allocation decisions. To that end, we use the recently proposed Rotated Dynamic Conditional Correlation (RDCC) model that enables the estimation of models with high degree of parameterization and...

Gender differences in risk-taking and investment decisions have been widely documented in the financial markets. Utilizing trading information from individual investor brokerage accounts, this paper explores the effects of aging on gender differences in terms of portfolio turnover and returns....

The direction of any long-run relationship between stock prices and house prices provides useful information for policy makers and practitioners regarding the presence of wealth and credit effects. Using quarterly data from the UK and US this paper reports evidence of non-linear dynamics in the...

The study examines the weak form efficiency in stock returns for the economies of Brazil, Russia, India and China (BRIC), from January 2000 to December 2010. The study uses LM unit root test with one and two structural breaks as given by Lee and Strazicich (2003, 2004), along with the recently...

The Greek sovereign debt crisis of 2009/2010 fostered widespread fears of contagion. We analyzed the danger of contagion by studying to which extent news to speculative bubbles in the Greek equity market spread to the equity markets of Portugal, Ireland, Italy, and Spain. To this end, we...

We employ a bivariate VAR-GARCH model of Ling and McAleer (2003) to examine the volatility transmission between oil prices and stock market sectors in the United States. We also compute the optimal weights and hedge ratios for oil-stock portfolio holdings and show how they can be used to build...

By using the asymmetric dynamic conditional correlation model developed by Cappiello et al. (2006), we examine how the time-varying correlations between Greece and other six European countries (Germany, France, UK, Ireland, Italy, and Spain) evolved from January 2007 to March 2011. The main...

This paper proposes a novel measure of French investor sentiment based on the volume of internet search reported by Google Trends. We find that our sentiment indicator correlates well with alternative sentiment measures often used in the literature. Furthermore, we find that investor sentiment...

In this paper we estimated pair copula constructions (PCC) for three sets of markets: developed, Latin emerging and Asia-Pacific emerging. To that, we used daily prices from January 2003 to November 2011, totaling 1872 observations. After, we estimated the lower and upper tail dependence for...