Huang, Meichi; Wu, Chih-Chiang - In: Review of Quantitative Finance and Accounting 44 (2015) 2, pp. 299-327
The study delivers new implications for risk management and asset allocation by investigating extreme dependences between real estate investment trust (REIT) and stock returns, where ‘extreme dependences’ refer to cross-asset linkages during extraordinary periods. It primarily differentiates...