Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/122600
Title: VOLATILITY REGIME SWITCHING AND DYNAMIC RELATIONSHIP AMONG PUBLIC REAL ESTATE MARKETS
Authors: YE QING
Keywords: Volatility, regime switching, public real estate, correlation, causality, contagion
Issue Date: 18-Aug-2015
Citation: YE QING (2015-08-18). VOLATILITY REGIME SWITCHING AND DYNAMIC RELATIONSHIP AMONG PUBLIC REAL ESTATE MARKETS. ScholarBank@NUS Repository.
Abstract: The real estate market has experienced a number of ups and downs due to financial crises and economic globalization. This thesis consists of four empirical chapters to assess the consequences of these boom-bust cycles on the volatility and interdependence among global real estate markets from a regime-switching perspective. This thesis focuses on the major developed public real estate markets, including Australia, Hong Kong, Japan, Singapore, France, Germany, United Kingdom, Canada and United States. The sample data consists of weekly returns from July 2nd, 1992 to June 26th, 2014.
URI: http://scholarbank.nus.edu.sg/handle/10635/122600
Appears in Collections:Ph.D Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
YeQ.pdf2.55 MBAdobe PDF

OPEN

NoneView/Download
readme.docx11.95 kBMicrosoft Word XML

OPEN

NoneView/Download
Y2015_Ye_Qing_Project_Data.zip503.21 kBZIP

RESTRICTED

NoneLog In

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.