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On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity Reits Markets, and the Stock Market
16 references·5 citing·49 second hop
On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity Reits Markets, and the Stock Market (2017)On the Transmission of Spillover Risks be…Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis (2017)Risk transmission between Isl…Spillover Risks in REITs and other Asset Markets (2016)Spillover Risks in REITs and …Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Measuring Economic Policy Uncertainty (2015)Measuring Economic Policy Unc…Housing, Finance, and the Macroeconomy (2015)Housing, Finance, and the Mac…Foreclosure externalities: New evidence (2015)Foreclosure externalities: Ne…Mortgage Market Design* (2012)Mortgage Market Design*Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Understanding the Subprime Mortgage Crisis (2009)Understanding the Subprime Mo…The Rise in Mortgage Defaults (2009)The Rise in Mortgage DefaultsInvestor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Numerical distribution functions for unit root and cointegration tests (1996)Numerical distribution functi…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…House Price Dynamics: The Role of Tax Policy and Demography (1991)House Price Dynamics: The Rol…Connectedness at extremes between real estate tokens and real estate stocks (2024)Connectedness at extremes bet…On the dynamics of international real-estate-investment trust-propagation mechanisms: Evidence from time-varying return and volatility connectedness measuress (2021)On the dynamics of internatio…Which time-frequency domain dominates spillover in the Chinese energy stock market? (2020)Which time-frequency domain d…Spillovers between US real estate and financial assets in time and frequency domains (2020)Spillovers between US real es…Is the Korean housing market following Gangnam style? (2020)Is the Korean housing market …Estimation of Dynamic Models with Error Components (1981)Papers on Economic Activity (1983)The Efficiency of the Market for Single-Family Homes (1988)Is There a Bubble in the Housing Market? (2003)Portfolio Choice in the Presence of Housing (2004)Assessing High House Prices: Bubbles, Fundamentals and Misperceptions (2005)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Golden Eggs and Hyperbolic Discounting (1997)Household Finance (2006)The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis * (2009)Markets: The Credit Rating Agencies (2010)Racial Segregation and the American Foreclosure Crisis (2010)Information: Hard and Soft (2018)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Unit root tests for panel data (2001)Critical Values for Cointegration Tests (2010)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Residual-based tests for cointegration in models with regime shifts (1996)The Quarterly Journal of Economics (2024)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)The Impact of Uncertainty Shocks (2009)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Loss Aversion and Seller Behavior: Evidence from the Housing Market (2001)Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market (2012)Predictably Unequal? The Effects of Machine Learning on Credit Markets (2021)Further evidence on breaking trend functions in macroeconomic variables (1997)Oil price shocks and stock market activity (1999)
this work references cited by second hop

References

  • 2016Measuring Economic Policy Uncertainty*12,809 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,373 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers6,033 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,774 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,248 cited
  • 1996Numerical distribution functions for unit root and cointegration tests3,119 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
  • 2009Understanding the Subprime Mortgage Crisis1,012 cited
  • 2009The Rise in Mortgage Defaults720 cited
  • 1991House Price Dynamics: The Role of Tax Policy and Demography594 cited
  • 2015Measuring Economic Policy Uncertainty502 cited
  • 2012Mortgage Market Design*218 cited
  • 2017Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis205 cited
  • 2015Foreclosure externalities: New evidence205 cited
  • 2015Housing, Finance, and the Macroeconomy135 cited

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  • 2016Spillover Risks in REITs and other Asset Markets42 cited
  • Cited by

    • 2021On the dynamics of international real-estate-investment trust-propagation mechanisms: Evidence from time-varying return and volatility connectedness measuress36 cited
    • 2024Connectedness at extremes between real estate tokens and real estate stocks35 cited
    • 2020Is the Korean housing market following Gangnam style?35 cited
    • 2020Spillovers between US real estate and financial assets in time and frequency domains32 cited
    • 2020Which time-frequency domain dominates spillover in the Chinese energy stock market?29 cited