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 …. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these …

We examine the dynamics in correlations and volatility of REITs, stock and direct real estate returns using the monthly … data from Jan 1987 to May 2008. To explore asymmetries in conditional correlation, the multivariate asymmetric dynamic … diagonal conditional correlation (AD‐DCC) GARCH specification is utilized in this paper. We document that the time …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long … that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low …

allow these to differ from the correlation processes (namely, DCC-type models) are more beneficial than the models that …

autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … across markets, with the highest correlation of 93.5% between the two Chinese markets, medium correlation of 30% between … correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …