Toyoshima, Yuki - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-10
This paper employs the two-step procedure to analyze the causality-in-mean and causality-in-variance between the housing and stock markets of the UK. The empirical findings make two key contributions. First, although previous studies have indicated a one-way causal relation from the housing...