This study expands the wavelet literature by using the continuous wavelet transform based measure to examine the interdependence and systematic risk of nine Asian securitized real estate markets: Australia, China, Hong Kong, Japan, Malaysia, Philippines, Singapore, Thailand, Taiwan) and the US...

This study contributes to the literature in international securitized real estate market volatility in three ways. Each market's conditional volatility is decomposed into a "permanent" or long-run component and a "transitory" or short-run component via a Component-GARCH model. Even though with...