A range-based volatility approach to measuring volatility contagion in securitized real estate markets
Randy I. Anderson; Yi-Chi Chen; Li-Min Wang
| Year of publication: |
2015
|
|---|---|
| Authors: | Anderson, Randy I. ; Chen, Yi-Chi ; Wang, Li-Min |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 45.2015, p. 223-235
|
| Subject: | Price range | CARR | Financial crisis | Smooth transition copula | Volatility contagion | REIT | Volatilität | Volatility | Finanzkrise | Immobilienfonds | Real estate fund | Ansteckungseffekt | Contagion effect | Immobilienmarkt | Real estate market | Verbriefung | Securitization | Multivariate Verteilung | Multivariate distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011334089