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Asymmetric correlation and volatility dynamics among stock, bond, and securitized real estate markets
Yang, Jian; Zhou, Yinggang; Leung, Wai Kin - In: The journal of real estate finance and economics 45 (2012) 2, pp. 491-521
Persistent link: https://www.econbiz.de/10009581731
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Information flows between the U.S. and China commodity futures trading
Fung, Hung-gay; Leung, Wai K.; Xu, Xiaoqing Eleanor - In: Review of quantitative finance and accounting 21 (2003) 3, pp. 267-285
Persistent link: https://www.econbiz.de/10001839848
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Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets
Yang, Jian - 2010
We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and...
Persistent link: https://www.econbiz.de/10013139729
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Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets
Yang, Jian - 2012
We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and...
Persistent link: https://www.econbiz.de/10013101365