Empirical analysis of the average asset correlation for real estate investment trusts
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- Jose A. Lopez, 2005. "Empirical analysis of the average asset correlation for real estate investment trusts," Working Paper Series 2005-22, Federal Reserve Bank of San Francisco.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ethan Cohen-Cole, 2007. "Asset liquidity, debt valuation and credit risk," Risk and Policy Analysis Unit Working Paper QAU07-5, Federal Reserve Bank of Boston.
- M. Dietsch & K. Düllmann & H. Fraisse & P. Koziol & C. Ott, 2016.
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- Lee, Shih-Cheng & Lin, Chien-Ting, 2012. "Book-to-market equity, operating risk, and asset correlations: Implications for Basel capital requirement," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 973-989.
- Lee, Shih-Cheng & Lin, Chien-Ting & Yang, Chih-Kai, 2011. "The asymmetric behavior and procyclical impact of asset correlations," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2559-2568, October.
More about this item
KeywordsGovernment policy and regulations; Asset pricing; Applications to credit risk; Applied finance; Credit models; Credit risk;
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