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Correlation Dynamics and Determinants in International Securitized Real Estate Markets
16 references·2 citing·44 second hop
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References

  • 1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations33,089 cited
  • 2003Testing for unit roots in heterogeneous panels15,333 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1999Inference for unit roots in dynamic panels where the time dimension is fixed1,446 cited
  • 1997The Regionalization of the World Economy1,312 cited
  • 1986Diversification Categories in Investment Real Estate266 cited
  • 1999Economic determinants of evolution in international stock market integration223 cited
  • 1997Economic Risk Factors and Commercial Real Estate Returns220 cited
  • 2002Economic determinants of emerging stock market interdependence213 cited

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  • 2004International Evidence on Real Estate as a Portfolio Diversifier204 cited
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    • 2016The impact of macroeconomic factors on the real estate investment trust index return on Japan, Singapore and China29 cited
    • 2016Fundamental Drivers of Dependence in REIT Returns25 cited