. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these …

varies across scales. In addition, results on the volatility linkage, which manifests itself through volatility comovements … and spillover, show that volatility comovements generally strengthen as scale increases and volatility spillover varies …

. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these …

-in-mean model and examine the effects of idiosyncratic volatility and aggregate market volatility on asset returns. There are four … key findings. First, momentum returns display asymmetric volatility. Momentum returns in REITs are higher when volatility … aggregate market volatility, with the magnitude of the relationship is larger for losers than for winners …

We examine the dynamics in correlations and volatility of REITs, stock and direct real estate returns using the monthly …