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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- 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.
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- Dietsch, Michel & Düllmann, Klaus & Fraisse, Henri & Koziol, Philipp & Ott, Christine, 2016. "Support for the SME supporting factor: Multi-country empirical evidence on systematic risk factor for SME loans," Discussion Papers 45/2016, Deutsche Bundesbank.
More about this item
KeywordsGovernment policy and regulations; Asset pricing; Applications to credit risk; Applied finance; Credit models; Credit risk;
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