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Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis
16 references·3 citing·47 second hop
Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis (2012)Returns transmission, value at risk, and …Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets (2009)Multiple Regimes and Volatili…CoVaR (2008)CoVaRCorrelation and Volatility Dynamics in International Real Estate Securities Markets (2008)Correlation and Volatility Dy…The Risk and Return Profile of Asian Real Estate Stocks (2006)The Risk and Return Profile o…Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets (2006)Structural breaks and diversi…Multivariate Modeling of Daily REIT Volatility (2006)Multivariate Modeling of Dail…Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets (2006)Asymmetric Volatility, Correl…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…A Web Of Shocks: Crises Across Asian Real Estate Markets (2006)A Web Of Shocks: Crises Acros…Analysis of Financial Time Series (2005)Analysis of Financial Time Se…Regime Shifts in Asian Equity and Real Estate Markets (2002)Regime Shifts in Asian Equity…An Examination of Volatility Spillovers in REIT Returns (2002)An Examination of Volatility …The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)The Time-Varying Nature of th…The Role of International Real Estate in Global Mixed-Asset Investment Portfolios (1999)The Role of International Rea…Closed-end Country Funds and U.S. Market Sentiment (1995)Closed-end Country Funds and …Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting (2021)An R-vine copula analysis of …Dynamic robust portfolio selection with copulas (2016)Dynamic robust portfolio sele…Correlation structure and dynamics of international real estate securities markets: A network perspective (2015)Correlation structure and dyn…The Econometric Analysis of Time Series. 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References

  • 2006Analysis of Financial Time Series2,348 cited
  • 2005Analysis of Financial Time Series1,350 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1995Closed-end Country Funds and U.S. Market Sentiment358 cited
  • 2001The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns229 cited
  • 2006Multivariate Modeling of Daily REIT Volatility185 cited
  • 2008CoVaR129 cited
  • 2008Correlation and Volatility Dynamics in International Real Estate Securities Markets116 cited
  • 2002An Examination of Volatility Spillovers in REIT Returns107 cited
  • 2006Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets97 cited
  • 2002Regime Shifts in Asian Equity and Real Estate Markets97 cited
  • 2006Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets89 cited
  • 2006A Web Of Shocks: Crises Across Asian Real Estate Markets66 cited
  • 2006The Risk and Return Profile of Asian Real Estate Stocks51 cited
  • 1999The Role of International Real Estate in Global Mixed-Asset Investment Portfolios

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51 cited
  • 2009Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets50 cited
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    • 2015Correlation structure and dynamics of international real estate securities markets: A network perspective70 cited
    • 2016Dynamic robust portfolio selection with copulas29 cited
    • 2021An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting24 cited