Please use this identifier to cite or link to this item: https://doi.org/10.1007/s11146-008-9131-5
Title: Volatility decomposition and correlation in international securitized real estate markets
Authors: Liow, K.H. 
Ibrahim, M.F. 
Keywords: Component-GARCH model
Correlation
Permanent volatility
Securitized real estate markets
Transitory volatility
Issue Date: 2010
Source: Liow, K.H., Ibrahim, M.F. (2010). Volatility decomposition and correlation in international securitized real estate markets. Journal of Real Estate Finance and Economics 40 (2) : 221-243. ScholarBank@NUS Repository. https://doi.org/10.1007/s11146-008-9131-5
Abstract: This study contributes to the literature in international securitized real estate market volatility in three ways. Each market's conditional volatility is decomposed into a "permanent" or long-run component and a "transitory" or short-run component via a component-GARCH model. Even though with the same number of common factors derived from the "permanent" and "transitory" volatility series, their loadings are not similar and consequently the long-run and short-run volatility linkages for some markets are different. Finally there are significant volatility co-movements between real estate and stock markets' "permanent" and "transitory" components suggesting that real estate markets are at least not segmented from stock markets in international investing. © Springer Science+Business Media, LLC 2008.
Source Title: Journal of Real Estate Finance and Economics
URI: http://scholarbank.nus.edu.sg/handle/10635/46283
ISSN: 08955638
DOI: 10.1007/s11146-008-9131-5
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