Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets
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Bibliographic InfoArticle provided by Springer in its journal The Journal of Real Estate Finance and Economics.
Volume (Year): 42 (2011)
Issue (Month): 3 (April)
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Web page: http://www.springerlink.com/link.asp?id=102945
Multiple structural breaks; Conditional volatility; Multivariate regime-dependent asymmetric dynamic covariance model; Securitized real estate markets; Dynamic risk-minimizing hedge ratio;
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