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|Title:||Volatility decomposition and correlation in international securitized real estate markets||Authors:||Liow, K.H.
Securitized real estate markets
|Issue Date:||2010||Citation:||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|
|Appears in Collections:||Staff Publications|
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