Facts or fates of investors' losses during crises? : evidence from REIT-stock volatility and tail dependence structures
Year of publication: |
March 2016
|
---|---|
Authors: | Huang, MeiChi ; Wu, Chih-Chiang ; Liu, Shih-Min ; Wu, Chang-Che |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 42.2016, p. 54-71
|
Subject: | Tail dependence | REIT (real estate investment trust) | Copula | Range-based volatility | Asset bust | Immobilienfonds | Real estate fund | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Finanzkrise | Financial crisis | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model |
-
Naifar, Nader, (2012)
-
Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan, (2019)
-
Stability of cross-market bivariate return distributions during financial turbulence
Mudakkar, Syeda Rabab, (2018)
- More ...
-
The asymmetry in carry trade and the U.S. dollar
Wu, Chih-Chiang, (2017)
-
Economic benefits and determinants of extreme dependences between REIT and stock returns
Huang, Meichi, (2015)
-
Economic benefits and determinants of extreme dependences between REIT and stock returns
Huang, MeiChi, (2015)
- More ...