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Jian Zhou

Personal Details

First Name:Jian
Middle Name:
Last Name:Zhou
Suffix:
RePEc Short-ID:pzh646
https://www.uoguelph.ca/mcs/users/jian-zhou

Affiliation

Department of Marketing and Consumer Studies
College of Business and Economics
University of Guelph

Guelph, Canada
https://www.uoguelph.ca/mcs/

: 519-824-4120
519-823-1966
Guelph, Ontario, N1G 2W1
RePEc:edi:dmgueca (more details at EDIRC)

Research output

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Jump to: Articles

Articles

  1. Zhou, Jian, 2016. "A high-frequency analysis of the interactions between REIT return and volatility," Economic Modelling, Elsevier, vol. 56(C), pages 102-108.
  2. Zhou, Jian, 2016. "Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methods," Economic Modelling, Elsevier, vol. 52(PB), pages 690-698.
  3. Zhou, Jian & Nicholson, Joseph R., 2015. "Economic value of modeling covariance asymmetry for mixed-asset portfolio diversifications," Economic Modelling, Elsevier, vol. 45(C), pages 14-21.
  4. Zhou, Jian, 2014. "Modeling conditional covariance for mixed-asset portfolios," Economic Modelling, Elsevier, vol. 40(C), pages 242-249.
  5. Jian Zhou & Randy Anderson, 2013. "An Empirical Investigation of Herding Behavior in the U.S. REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 83-108, July.
  6. Zhou, Jian, 2013. "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, vol. 30(C), pages 196-204.
  7. Jian Zhou & Jin Man Lee, 2013. "Adaptive market hypothesis: evidence from the REIT market," Applied Financial Economics, Taylor & Francis Journals, vol. 23(21), pages 1649-1662, November.
  8. Jian Zhou, 2013. "Extreme risk spillover among international REIT markets," Applied Financial Economics, Taylor & Francis Journals, vol. 23(2), pages 91-103, January.
  9. Jian Zhou & Yanmin Gao, 2012. "Tail Dependence in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 128-151, June.
  10. Jian Zhou, 2012. "Extreme risk measures for REITs: a comparison among alternative methods," Applied Financial Economics, Taylor & Francis Journals, vol. 22(2), pages 113-126, January.
  11. Jian Zhou & Randy Anderson, 2012. "Extreme Risk Measures for International REIT Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 152-170, June.
  12. Jian Zhou, 2012. "Multiscale Analysis of International Linkages of REIT Returns and Volatilities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1062-1087, November.
  13. Jian Zhou, 2011. "Long memory in REIT volatility revisited: genuine or spurious, and self-similar?," Journal of Property Research, Taylor & Francis Journals, vol. 28(3), pages 213-232, January.
  14. Jian Zhou & Zhixin Kang, 2011. "A Comparison of Alternative Forecast Models of REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 42(3), pages 275-294, April.
  15. Jian Zhou, 2010. "Testing for Cointegration between House Prices and Economic Fundamentals," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(4), pages 599-632, Winter.
  16. Jian Zhou, 2010. "Comovement of international real estate securities returns: a wavelet analysis," Journal of Property Research, Taylor & Francis Journals, vol. 27(4), pages 357-373, August.
  17. Jian Zhou & Daniel P. McMillen & John F. McDonald, 2008. "Land Values and the 1957 Comprehensive Amendment to the Chicago Zoning Ordinance," Urban Studies, Urban Studies Journal Limited, vol. 45(8), pages 1647-1661, July.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Zhou, Jian & Nicholson, Joseph R., 2015. "Economic value of modeling covariance asymmetry for mixed-asset portfolio diversifications," Economic Modelling, Elsevier, vol. 45(C), pages 14-21.

    Cited by:

    1. Zhou, Jian, 2016. "A high-frequency analysis of the interactions between REIT return and volatility," Economic Modelling, Elsevier, vol. 56(C), pages 102-108.
    2. Mihaly Ormos & Dusan Timotity, 2015. "Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling," Papers 1512.01806, arXiv.org.
    3. Miralles-Quirós, José Luis & Miralles-Quirós, María del Mar, 2017. "The Copula ADCC-GARCH model can help PIIGS to fly," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 1-12.
    4. Dahiru A. Balaa & Taro Takimotob, 2017. "Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(1), pages 25-48, March.
    5. Lord Mensah, 2016. "Asset Allocation Brewed Accross African Stock Markets," Proceedings of Economics and Finance Conferences 3205757, International Institute of Social and Economic Sciences.

  2. Jian Zhou & Randy Anderson, 2013. "An Empirical Investigation of Herding Behavior in the U.S. REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 83-108, July.

    Cited by:

    1. Benjamin M. Blau & Ryan J. Whitby, 2014. "Speculative Trading In Reits," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 37(1), pages 55-74, February.
    2. Vassilios Babalos & Mehmet Balcilar & Rangan Gupta & Nikolaos Philippas, 2014. "Revisiting Herding Behavior in REITs: A RegimeSwitching Approach," Working Papers 15-15, Eastern Mediterranean University, Department of Economics.
    3. Litimi, Houda & BenSaïda, Ahmed & Bouraoui, Omar, 2016. "Herding and excessive risk in the American stock market: A sectoral analysis," Research in International Business and Finance, Elsevier, vol. 38(C), pages 6-21.
    4. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
    5. Omokolade Akinsomi & Goodness C. Aye & Vassilios Babalos & Fotini Economou & Rangan Gupta, 2016. "Real estate returns predictability revisited: novel evidence from the US REITs market," Empirical Economics, Springer, vol. 51(3), pages 1165-1190, November.
    6. Martin Hoesli & Kustrim Reka, 2015. "Contagion Channels between Real Estate and Financial Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 101-138, March.
    7. Economou, Fotini & Katsikas, Epameinondas & Vickers, Gregory, 2016. "Testing for herding in the Athens Stock Exchange during the crisis period," Finance Research Letters, Elsevier, vol. 18(C), pages 334-341.
    8. Geoffrey M. Ngene & Daniel P. Sohn & M. Kabir Hassan, 2017. "Time-Varying and Spatial Herding Behavior in the US Housing Market: Evidence from Direct Housing Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 482-514, May.
    9. Bekiros, Stelios & Jlassi, Mouna & Lucey, Brian & Naoui, Kamel & Uddin, Gazi Salah, 2017. "Herding behavior, market sentiment and volatility: Will the bubble resume?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 107-131.
    10. Viktoriya Lantushenko & Edward Nelling, 2017. "Institutional Property-Type Herding in Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 459-481, May.
    11. Alain Chaney & Martin Hoesli, 2015. "Transaction-Based and Appraisal-Based Capitalization Rate Determinants," International Real Estate Review, Asian Real Estate Society, vol. 18(1), pages 1-43.
    12. Yi-Chang Chen & Hung-Che Wu & Jen-Jsung Huang, 2017. "Herd Behavior and Rational Expectations: A Test of China’s Market Using Quantile Regression," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 649-663.
    13. Omokolade Akinsomi & Yener Coskun & Rangan Gupta, 2016. "Analysis of Herding in REITs of an Emerging Market: The Case of Turkey," Working Papers 201666, University of Pretoria, Department of Economics.
    14. Vo Xuan Vinh & Phan Dang Bao Anh, 2016. "Herd Behavior in Emerging Equity Markets: Evidence from Vietnam," Asian Journal of Law and Economics, De Gruyter, vol. 7(3), pages 369-383, December.
    15. Omokolade Akinsomi & Yener Coskun & Rangan Gupta & Chi Keung Marco Lau, 2016. "Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs," Working Papers 201688, University of Pretoria, Department of Economics.

  3. Zhou, Jian, 2013. "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, vol. 30(C), pages 196-204.

    Cited by:

    1. Mokhtar, Maznita & Masih, Mansur, 2014. "Are diversification benefits obtainable within the same asset class? New evidence from Malaysian Islamic REITS," MPRA Paper 56990, University Library of Munich, Germany.
    2. Meichi Huang & Chih-Chiang Wu, 2015. "Economic benefits and determinants of extreme dependences between REIT and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 299-327, February.
    3. Mi, Lin & Benson, Karen & Faff, Robert, 2018. "A specialised volatility index for the new GICS sector - Real estate," Economic Modelling, Elsevier, vol. 70(C), pages 438-446.

  4. Jian Zhou & Jin Man Lee, 2013. "Adaptive market hypothesis: evidence from the REIT market," Applied Financial Economics, Taylor & Francis Journals, vol. 23(21), pages 1649-1662, November.

    Cited by:

    1. Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
    2. Urquhart, Andrew & Gebka, Bartosz & Hudson, Robert, 2015. "How exactly do markets adapt? Evidence from the moving average rule in three developed markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 127-147.
    3. Verheyden, Tim & De Moor, Lieven & Van den Bossche, Filip, 2015. "Towards a new framework on efficient markets," Research in International Business and Finance, Elsevier, vol. 34(C), pages 294-308.
    4. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2017. "A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 182-192.
    5. Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
    6. Urquhart, Andrew & McGroarty, Frank, 2016. "Are stock markets really efficient? Evidence of the adaptive market hypothesis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 39-49.

  5. Jian Zhou, 2013. "Extreme risk spillover among international REIT markets," Applied Financial Economics, Taylor & Francis Journals, vol. 23(2), pages 91-103, January.

    Cited by:

    1. Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Stanley, H. Eugene, 2016. "Extreme risk spillover effects in world gold markets and the global financial crisis," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 55-77.

  6. Jian Zhou & Yanmin Gao, 2012. "Tail Dependence in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 128-151, June.

    Cited by:

    1. Sun, Changyou, 2013. "On the market risk of securitized timberlands," Journal of Forest Economics, Elsevier, vol. 19(2), pages 110-127.
    2. Wang, Chou-Wen & Yang, Sharon S. & Huang, Hong-Chih, 2015. "Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 30-39.
    3. Meichi Huang & Chih-Chiang Wu, 2015. "Economic benefits and determinants of extreme dependences between REIT and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 299-327, February.
    4. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.
    5. MeiChi Huang & LinYing Yeh, 2015. "Should the Fed take extra action for the recent housing bubble? Evidence from asymmetric transitory shocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 762-781, October.
    6. Martin Hoesli & Kustrim Reka, 2013. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.
    7. Ming-Chu Chiang & I-Chun Tsai, 2016. "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 55-82, January.
    8. Wang, Gang-Jin & Xie, Chi, 2015. "Correlation structure and dynamics of international real estate securities markets: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 176-193.
    9. Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng, 2016. "Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 20-36.
    10. Anderson, Randy I. & Chen, Yi-Chi & Wang, Li-Min, 2015. "A range-based volatility approach to measuring volatility contagion in securitized real estate markets," Economic Modelling, Elsevier, vol. 45(C), pages 223-235.
    11. Huang, MeiChi & Chiang, Hsiu-Hsuan, 2017. "An early alarm system for housing bubbles," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 34-49.
    12. Huang, MeiChi & Wu, Chih-Chiang & Liu, Shih-Min & Wu, Chang-Che, 2016. "Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 54-71.

  7. Jian Zhou, 2012. "Extreme risk measures for REITs: a comparison among alternative methods," Applied Financial Economics, Taylor & Francis Journals, vol. 22(2), pages 113-126, January.

    Cited by:

    1. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2015. "A comparison of Expected Shortfall estimation models," Journal of Economics and Business, Elsevier, vol. 78(C), pages 14-47.

  8. Jian Zhou & Randy Anderson, 2012. "Extreme Risk Measures for International REIT Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 152-170, June.

    Cited by:

    1. Jian Zhou, 2013. "Extreme risk spillover among international REIT markets," Applied Financial Economics, Taylor & Francis Journals, vol. 23(2), pages 91-103, January.
    2. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2015. "Ex-ante real estate Value at Risk calculation method," ERES eres2015_56, European Real Estate Society (ERES).
    3. Meichi Huang & Chih-Chiang Wu, 2015. "Economic benefits and determinants of extreme dependences between REIT and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 299-327, February.
    4. Leh-Chyan So & Jun-Yang Yu, 2015. "IMPROVED DETECTION OF RARE-EVENT RISK OF A PORTFOLIO WITH U.S. REITs," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-25, December.
    5. Li, Jie & Li, Guangzhong & Zhou, Yinggang, 2015. "Do securitized real estate markets jump? International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 13-35.
    6. Fabrice Barthélémy, 2014. "Cornish-Fisher Expansion for Commercial Real Estate Value at Risk," THEMA Working Papers 2014-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    7. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
    8. Jian Zhou & Randy Anderson, 2013. "An Empirical Investigation of Herding Behavior in the U.S. REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 83-108, July.
    9. Charles-Olivier Amedee-Manesme & Fabrice Barthélémy, 2012. "Cornish-Fisher expansion for real estate value at risk," ERES eres2012_044, European Real Estate Society (ERES).
    10. Yen-Hsien Lee, 2014. "An international analysis of REITs and stock portfolio management based on dynamic conditional correlation models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 165-180, May.
    11. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Jean-Luc Prigent & Donald Keenan & Mahdi Mokrane, 2017. "Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion," THEMA Working Papers 2017-20, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    12. Viktoriya Lantushenko & Edward Nelling, 2017. "Institutional Property-Type Herding in Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 459-481, May.
    13. Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.
    14. Anderson, Randy I. & Chen, Yi-Chi & Wang, Li-Min, 2015. "A range-based volatility approach to measuring volatility contagion in securitized real estate markets," Economic Modelling, Elsevier, vol. 45(C), pages 223-235.
    15. Huang, MeiChi & Wu, Chih-Chiang & Liu, Shih-Min & Wu, Chang-Che, 2016. "Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 54-71.
    16. Robert I. Webb & Jian Yang & Jin Zhang, 2016. "Price Jump Risk in the US Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 53(1), pages 29-49, July.
    17. John Cotter & Richard Roll, 2015. "A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 209-240, March.

  9. Jian Zhou, 2012. "Multiscale Analysis of International Linkages of REIT Returns and Volatilities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1062-1087, November.

    Cited by:

    1. Liu, Xueyong & An, Haizhong & Huang, Shupei & Wen, Shaobo, 2017. "The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based GARCH–BEKK model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 374-383.
    2. Wen-Yi CHEN & Yu-Hui LIN, 2016. "Co-Movement of Healthcare Financing in OECD Countries: Evidence from Discrete Wavelet Analyses," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 40-56, September.
    3. Silvo Dajčman, 2013. "Interdependence Between Some Major European Stock Markets - A Wavelet Lead/Lag Analysis," Prague Economic Papers, University of Economics, Prague, vol. 2013(1), pages 28-49.
    4. Kim Hiang Liow, 2012. "Volatility interdependence in European securitised real estate markets: who is the most influential?," ERES eres2012_020, European Real Estate Society (ERES).
    5. Jian Zhou & Randy Anderson, 2013. "An Empirical Investigation of Herding Behavior in the U.S. REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 83-108, July.
    6. Wang, Gang-Jin & Xie, Chi, 2015. "Correlation structure and dynamics of international real estate securities markets: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 176-193.
    7. Cao, Guangxi & Xu, Wei, 2016. "Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 505-523.
    8. Silvo Dajcman, 2012. "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 368-390, August.

  10. Jian Zhou, 2011. "Long memory in REIT volatility revisited: genuine or spurious, and self-similar?," Journal of Property Research, Taylor & Francis Journals, vol. 28(3), pages 213-232, January.

    Cited by:

    1. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.

  11. Jian Zhou & Zhixin Kang, 2011. "A Comparison of Alternative Forecast Models of REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 42(3), pages 275-294, April.

    Cited by:

    1. Li, Jie & Li, Guangzhong & Zhou, Yinggang, 2015. "Do securitized real estate markets jump? International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 13-35.
    2. Tumellano Sebehela, 2016. "Portfolio Formation Memory," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-16, June.
    3. James Chong & Alexandra Krystalogianni & Simon Stevenson, "undated". "Dynamic Correlations across REIT Sub-Sectors," Real Estate & Planning Working Papers rep-wp2011-07, Henley Business School, Reading University.
    4. Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2013. "Does long memory matter in forecasting oil price volatility?," MPRA Paper 46356, University Library of Munich, Germany.
    5. Delavari, Majid & Gandali Alikhani, Nadiya, 2012. "The Effect of Crude Oil Price on the Methanol price," MPRA Paper 49727, University Library of Munich, Germany.
    6. James Chong & Alexandra Krystalogianni & Simon Stevenson, 2012. "Dynamic correlations between REIT sub-sectors and the implications for diversification," Applied Financial Economics, Taylor & Francis Journals, vol. 22(13), pages 1089-1109, July.
    7. Brad Case & Massimo Guidolin & Yildiray Yildirim, 2014. "Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(2), pages 279-342, June.
    8. Zhou, Jian & Nicholson, Joseph R., 2015. "Economic value of modeling covariance asymmetry for mixed-asset portfolio diversifications," Economic Modelling, Elsevier, vol. 45(C), pages 14-21.
    9. Assaf, Ata, 2015. "Long memory and level shifts in REITs returns and volatility," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 172-182.

  12. Jian Zhou, 2010. "Testing for Cointegration between House Prices and Economic Fundamentals," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(4), pages 599-632, Winter.

    Cited by:

    1. Anundsen, André Kallåk, 2013. "Economic Regime Shifts and the US Subprime Bubble," Memorandum 05/2013, Oslo University, Department of Economics.
    2. Jayaraman, Praveena & Gebremedhin, Tesfa G., 2013. "A Non-Spatial Analysis of the Role of Residential Real Estate Investment in the Economic Development of the Northeast Region of the United States," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida 143107, Southern Agricultural Economics Association.
    3. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.
    4. Katrakilidis, Constantinos & Trachanas, Emmanouil, 2012. "What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration," Economic Modelling, Elsevier, vol. 29(4), pages 1064-1069.
    5. Huseyin Karamelikli, 2016. "Linear and nonlinear dynamics of housing price in Turkey," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 46.
    6. MeiChi Huang & LinYing Yeh, 2015. "Should the Fed take extra action for the recent housing bubble? Evidence from asymmetric transitory shocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 762-781, October.
    7. Signe Rosenberg, 2015. "The Impact of a Change in Real Estate Value on Private Consumption in Estonia," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 7(2).
    8. Nazif Durmaz, 2011. "Housing Prices and Fundamentals: The Role of a Supply Shifter," Economics Bulletin, AccessEcon, vol. 31(3), pages 2468-2479.
    9. Jayaraman, Praveena & Lacombe, Donald J. & Gebremedhin, Tesfa, 2013. "A Spatial Analysis of the Role of Residential Real Estate Investment in the Economic Development of the Northeast Region of the United States," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150953, Agricultural and Applied Economics Association.
    10. Li, Yuming, 2015. "The asymmetric house price dynamics: Evidence from the California market," Regional Science and Urban Economics, Elsevier, vol. 52(C), pages 1-12.
    11. André K. Anundsen, 2012. "Econometric regime shifts and the US subprime bubble," NBP Working Papers 126, Narodowy Bank Polski, Economic Research Department.
    12. Lee, Chien-Chiang & Zeng, Jhih-Hong, 2011. "Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regression," Energy Economics, Elsevier, vol. 33(5), pages 924-935, September.
    13. Yang Hu & Les Oxley, 2016. "Bubbles in US Regional House Prices: Evidence from House Price/Income Ratios at the State Level," Working Papers in Economics 16/06, University of Waikato.
    14. Huang, MeiChi & Chiang, Hsiu-Hsuan, 2017. "An early alarm system for housing bubbles," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 34-49.
    15. Qingyu, Zhu, 2010. "Regional unemployment and house price determination," MPRA Paper 41785, University Library of Munich, Germany.
    16. Robert I. Webb & Jian Yang & Jin Zhang, 2016. "Price Jump Risk in the US Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 53(1), pages 29-49, July.

  13. Jian Zhou, 2010. "Comovement of international real estate securities returns: a wavelet analysis," Journal of Property Research, Taylor & Francis Journals, vol. 27(4), pages 357-373, August.

    Cited by:

    1. Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working Papers 201365, University of Pretoria, Department of Economics.
    2. Wen-Yi CHEN & Yu-Hui LIN, 2016. "Co-Movement of Healthcare Financing in OECD Countries: Evidence from Discrete Wavelet Analyses," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 40-56, September.
    3. Martin Hoesli & Kustrim Reka, 2013. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.
    4. Chen, Mei-Ping & Chen, Wen-Yi & Tseng, Tseng-Chan, 2017. "Co-movements of returns in the health care sectors from the US, UK, and Germany stock markets: Evidence from the continuous wavelet analyses," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 484-498.
    5. Deng-Kui SI & Xiao-Lin LI & Tsangyao CHANG & Lu BAI, 2018. "Co-movement and Causality between Nominal Exchange Rates and Interest Rate Differentials in BRICS Countries: A Wavelet Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 5-19, December.
    6. Chi-Wei SU & Zong-Liang YAO & Hsu-Ling CHANG, 2016. "The relationship between output and asset prices: A time – and frequency – varying approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(606), S), pages 57-76, Spring.
    7. Eddie C.M. Hui & Ka Kwan Kevin Chan, 2013. "The European sovereign debt crisis: contagion across European real estate markets," Journal of Property Research, Taylor & Francis Journals, vol. 30(2), pages 87-102, June.
    8. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2011. "Are the global real estate markets contagious?," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 16(3), pages 219-235, November.
    9. Li, Xiao-Lin & Chang, Tsangyao & Miller, Stephen M. & Balcilar, Mehmet & Gupta, Rangan, 2015. "The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 220-233.
    10. Eddie C. M. Hui & Sheung-Chi Phillip Yam, 2014. "Can we beat the "buy-and-hold" strategy? Analysis on European and American securitized real estate indices," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 18(1), pages 28-37, March.
    11. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2013. "Contagion across real estate and equity markets during European sovereign debt crisis," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 17(3), pages 305-316, September.

  14. Jian Zhou & Daniel P. McMillen & John F. McDonald, 2008. "Land Values and the 1957 Comprehensive Amendment to the Chicago Zoning Ordinance," Urban Studies, Urban Studies Journal Limited, vol. 45(8), pages 1647-1661, July.

    Cited by:

    1. Fernando Carriazo & Julian Peñaranda, 2015. "The Effect of Commuting Costs to Employment Centers on Urban Property Values: A Spatial Analysis in Bogotá, Colombia," DOCUMENTOS CEDE 013133, UNIVERSIDAD DE LOS ANDES-CEDE.
    2. Bigelow, Daniel P. & Plantinga, Andrew J., 2017. "Town mouse and country mouse: Effects of urban growth controls on equilibrium sorting and land prices," Regional Science and Urban Economics, Elsevier, vol. 65(C), pages 104-115.
    3. Boskovic, Branko & Nøstbakken, Linda, 2016. "How do land markets anticipate regulatory change? Evidence from Canadian Conservation policy," Discussion Paper Series in Economics 9/2016, Norwegian School of Economics, Department of Economics, revised 17 Aug 2016.
    4. Dantas, Raissa N.D. & Duarte, Gisleia & da Mota Silveira Neto, Raul & Sampaio, Breno, 2018. "Height restrictions and housing prices: A difference-in-discontinuity approach," Economics Letters, Elsevier, vol. 164(C), pages 58-61.
    5. Gyourko, Joseph & Molloy, Raven, 2015. "Regulation and Housing Supply," Handbook of Regional and Urban Economics, Elsevier.
    6. Daniel P. McMillen, 2010. "Issues In Spatial Data Analysis," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 119-141.
    7. Allison Shertzer & Tate Twinam & Randall Walsh, 2016. "Zoning and the Economic Geography of Cities," Working Papers id:11331, eSocialSciences.
    8. Richard J. Vyn, 2015. "The Effect of Agricultural Zoning on Rural Residential Property Values: An Application to Ontario's Greenbelt," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 63(3), pages 281-307, September.
    9. Liang, Wenquan & Lu, Ming & Zhang, Hang, 2016. "Housing prices raise wages: Estimating the unexpected effects of land supply regulation in China," Journal of Housing Economics, Elsevier, vol. 33(C), pages 70-81.
    10. Maurice Dalton & Jeffrey Zabel, 2009. "The Impact of Minimum Lot Size Regulations on House Prices in Eastern Massachusetts," Discussion Papers Series, Department of Economics, Tufts University 0732, Department of Economics, Tufts University.
    11. Edward Feser, 2013. "Isserman’s Impact," International Regional Science Review, , vol. 36(1), pages 44-68, January.

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