Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/16380
Title: The long-run relationships and short-term linkages in international securitized real estate markets
Authors: CHEN ZHIWEI
Keywords: real estate, structural break, heteroskedasticity, diversification, regime switch, GARCH
Issue Date: 14-Jul-2009
Source: CHEN ZHIWEI (2009-07-14). The long-run relationships and short-term linkages in international securitized real estate markets. ScholarBank@NUS Repository.
Abstract: This study investigates the long-run relationships and short-term linkages in international securitized real estate markets with the consideration of structural breaks and heteroskedasticity. Significant structural breaks in both price and volatility indices are detected in the securitized real estate markets of the US, the UK, Japan, Hong Kong, and Singapore. The Regime-dependent Asymmetric Dynamic Covariance (RDADC) model is used to estimate the short-term linkages in the markets under different volatility regimes. Significant transmissions in both returns and volatilities across geographic borders are detected in the RDADC model. The research findings in this study provide valuable insights for academic researchers and professional investors to understand the long-run relationships and short-term co-movements in international securitized real estate markets. Some of its applications to the asset allocation, such as the risk-minimizing optimal portfolio weights and the optimal hedge ratios, are discussed in this research as well.
URI: http://scholarbank.nus.edu.sg/handle/10635/16380
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