Using a framework similar to Bekeart, Harvey and Ng (2005), we investigate contagion between real estate investment trusts (REITs) within and across three geographical regions: North America, Europe and Asia-Pacific. We also examine for contagion between twelve national REIT markets on the one...

The article discuss the relationship between US REITs and Japan REITs. In empirical study, we apply five static ARMAX-GJR-GARCH copula models and two time-varying dynamic copula models. The results show that the kendall tau is lower before the submortgage crisis. The contagion effect test...