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Tail Dependence in International Real Estate Securities Markets
16 references·6 citing·28 second hop
Tail Dependence in International Real Estate Securities Markets (2010)Tail Dependence in International Real Est…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Asymmetric correlations of equity portfolios (2002)Asymmetric correlations of eq…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…An Introduction to Copulas (1999)An Introduction to CopulasIs the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Residual Life Time at Great Age (1974)Residual Life Time at Great A…Centrality-based measures of financial institutions’ systemic importance: A tail dependence network view (2020)Centrality-based measures of …Fundamental Drivers of Dependence in REIT Returns (2016)Fundamental Drivers of Depend…Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach (2015)Modeling multi-country mortal…Correlation structure and dynamics of international real estate securities markets: A network perspective (2015)Correlation structure and dyn…Should the Fed take extra action for the recent housing bubble? Evidence from asymmetric transitory shocks (2014)Should the Fed take extra act…Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2010)Volatility Spillovers, Comove…ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Downside Risk (2006)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2002Asymmetric correlations of equity portfolios1,530 cited
  • 1974Residual Life Time at Great Age1,484 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited

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  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • Cited by

    • 2015Correlation structure and dynamics of international real estate securities markets: A network perspective70 cited
    • 2015Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach27 cited
    • 2016Fundamental Drivers of Dependence in REIT Returns25 cited
    • 2010Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets24 cited
    • 2020Centrality-based measures of financial institutions’ systemic importance: A tail dependence network view23 cited
    • 2014Should the Fed take extra action for the recent housing bubble? Evidence from asymmetric transitory shocks14 cited