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Tail Dependence in International Real Estate Securities Markets · Study

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ArticleTail Dependence in International Real Estate Securities Markets

Yanmin Gao2010

OA

Articlegreen2010

Tail Dependence in International Real Estate Securities Markets

50 citations·0/0 files stored·The Journal of Real Estate Finance and Economics

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Risk and Portfolio Optimization

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1999An Introduction to Copulas 2002Dynamic Conditional Correlation 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2001Extreme Correlation of International Equity Markets 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*1995Is the correlation in international equity returns constant: 1960–1990?

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2015Correlation structure and dynamics of international real estate securities markets: A network perspective 2015Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach 2016Fundamental Drivers of Dependence in REIT Returns 2010Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets 2020Centrality-based measures of financial institutions’ systemic importance: A tail dependence network view

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Year2010

Typearticle

Published2010-04-06

VenueThe Journal of Real Estate Finance and Economics

ISSN-L0895-5638

Languageen

Citations50

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s11146-010-9249-0

openalex_workW2009690485

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