Journal ArticleDOI
Correlation and Volatility Dynamics in International Real Estate Securities Markets
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TLDR
In this paper, a multivariate dynamic conditional correlation model was proposed to capture the time-varying correlation within the full period of 1984 and 2006 and found that the international correlation structure of real estate securities and the broader stock market are linked to each other.Abstract:
We study international correlation and volatility dynamics of publicly traded real estate securities using monthly returns from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate dynamic conditional correlation model captures the time-varying correlation within the full period. We confirm lower correlations between all real estate securities market returns than those between the stock market returns themselves. Some significant variations and structural changes in the correlation structure happened within the sample period. We detect a strong and positive connection between real estate securities market correlations and their conditional volatilities. We also find the international correlation structure of real estate securities and the broader stock market are linked to each other. Our results have economic motivations regarding the potential integration of international real estate securities markets and the possibility of including information on changing correlations and volatilities to design more optimal portfolios for international real estate securities.read more
Citations
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Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets
TL;DR: In this article, the authors analyzed the relationship between local and global securitized real estate markets, but also between the S&P 500 and common stock markets using an asymmetric t-BEKK (Baba-Engle-Kraft-Kroner) specification of their covariance matrix.
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Co‐Movements and Correlations Across Asian Securitized Real Estate and Stock Markets
TL;DR: In this paper, the authors examined time-varying real estate-stock conditional correlation dynamics at the local, regional, and global levels as well as the general co-movements among the three types of correlations and their relative (real estate/stock) volatilities for a sample of eight Asian and two non-Asian securitized real estate markets during 1995-2008.
Journal ArticleDOI
Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets
TL;DR: In this paper, the authors analyzed the relationship between local and global securitized real estate markets and common stock markets, and found evidence of market contagion between the U.S. and U.K. markets following the subprime crisis.
Posted Content
Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets
TL;DR: In this paper, a multivariate asymmetric generalized dynamic conditional correlation GARCH model was applied to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008.
Journal ArticleDOI
Co-movements and correlations across asian securitized real estate and stock markets
TL;DR: In this article, conditional real estate-stock correlations at the local, regional and global levels are time varying and asymmetric in some cases for a sample of eight Asian securitized real estate markets over 1995-2009.
References
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Conditional heteroskedasticity in asset returns: a new approach
TL;DR: In this article, an exponential ARCH model is proposed to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987, which is an improvement over the widely-used GARCH model.
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
TL;DR: In this article, a modified GARCH-M model was used to find a negative relation between conditional expected monthly return and conditional variance of monthly return, using seasonal patterns in volatility and nominal interest rates to predict conditional variance.
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Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation models is proposed, which have the flexibility of univariate generalized autoregressive conditional heteroskedasticity (GARCH) models coupled with parsimonious parametric models for the correlations.
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ARCH modeling in finance: A review of the theory and empirical evidence
TL;DR: An overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data can be found in this paper, where several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and pricing of derivative assets, are also discussed.
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Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model.
TL;DR: In this article, a multivariate time series model with time varying conditional variances and covariances but with constant conditional correlations is proposed, which is readily interpreted as an extension of the seemingly unrelated regression (SUR) model allowing for heteroskedasticity.