We study international correlation and volatility of dynamics of publicly traded real estate securities using monthly … returns themselves. Some significant variations and structural changes in the correlation structure happened within the sample … volatilities. We also find the international correlation structure of real estate securities and the broader stock market are …

We find the correlation movements among eight developed securitized real estate markets and among their stock markets … are quite synchronized over the periods from 1995 through 2012. There is a high degree of correlation dependence with many … of the realized correlation series subject to regime switching. Moreover, international correlations of public property …

relationship between the two asset markets is time–frequency varying. The average long run real estate–stock correlation fails to … outweigh the average short run correlation, indicating the real estate markets examined may have become increasingly less …