Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and 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): 45 (2012)
Issue (Month): 2 (August)
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Web page: http://www.springerlink.com/link.asp?id=102945
CMBS; REITs; Dynamic conditional correlation; Macroeconomic variables; G11; C32;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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