-global financial crisis period to the crisis period. However real estate and stock volatility are more important than correlation in …

This paper examines the stock market linkages within the Asia-Pacific region and between Asian markets and the US … market from January 2000 to June 2010 employing dynamic conditional correlation GARCH model. Our results show that there … Asia-Pacific region. Using T-GARCH model, there is a strong evidence of an asymmetric effect on conditional variance except …

This research examines time-varying real estate-stock conditional correlation dynamics at the local, regional, and … significance of some common factors influencing the real estate-stock correlation structures along the three integration paths. Our … analysis is also extended to the current global financial crisis to assess the relative contribution of the correlation and …

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by …