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Dynamic Correlations Among Asset Classes: REIT and Stock Returns

  • Bradford Case


  • Yawei Yang
  • Yildiray Yildirim


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    Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

    Volume (Year): 44 (2012)
    Issue (Month): 3 (April)
    Pages: 298-318

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    Handle: RePEc:kap:jrefec:v:44:y:2012:i:3:p:298-318
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    1. John Cotter & Simon Stevenson, 2011. "Multivariate Modeling of Daily REIT Volatility," Papers 1103.5660,
    2. Kevin C.H. Chiang & Kirill Kozhevnikov & Ming-Long Lee & Craig H. Wisen, 2006. "REIT Mimicking Portfolio Analysis," International Real Estate Review, Asian Real Estate Society, vol. 9(1), pages 95-111.
    3. Brent W. Ambrose & Dong Wook Lee & Joe Peek, 2007. "Comovement After Joining an Index: Spillovers of Nonfundamental Effects," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(1), pages 57-90, 03.
    4. Andrew Ang & Geert Bekaert, 1999. "International Asset Allocation with Time-Varying Correlations," NBER Working Papers 7056, National Bureau of Economic Research, Inc.
    5. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    6. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-50, July.
    7. Shaun Bond & Mardi Dungey & Renée Fry, 2006. "A Web Of Shocks: Crises Across Asian Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 253-274, May.
    8. Elton, Edwin J & Gruber, Martin J, 1973. "Estimating the Dependence Structure of Share Prices-Implications for Portfolio Selection," Journal of Finance, American Finance Association, vol. 28(5), pages 1203-32, December.
    9. Westerheide, Peter, 2006. "Cointegration of real estate stocks and REITs with common stocks, bonds and consumer price inflation: an international comparison," ZEW Discussion Papers 06-57, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    10. Pat Wilson & Ralf Zurbruegg, 2003. "International Diversification of Real Estate Assets - Is it Worth It? Evidence from the Literature," Working Paper Series 126, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    11. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    12. Michael S. Young, 2000. "REIT Property-Type Sector Integration," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 3-21.
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