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 …

bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long … doubt on its validity for securitized real estate markets. -- Cointegration ; Correlation Analysis ; Diversification …