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Economic benefits and determinants of extreme dependences between REIT and stock returns
16 references·0 citing·43 second hop
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References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 2001The Economic Value of Volatility Timing848 cited
  • 2005Liquidity of emerging markets838 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
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  • 2006Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach690 cited
  • 2003The economic value of volatility timing using “realized” volatility668 cited
  • 2005Stock Market Uncertainty and the Stock-Bond Return Relation655 cited
  • 2003Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications

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