Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets
| Year of publication: |
2011
|
|---|---|
| Authors: | Liow, Kim ; Chen, Zhiwei ; Liu, Jingran |
| Published in: |
The Journal of Real Estate Finance and Economics. - Springer. - Vol. 42.2011, 3, p. 295-328
|
| Publisher: |
Springer |
| Subject: | Multiple structural breaks | Conditional volatility | Multivariate regime-dependent asymmetric dynamic covariance model | Securitized real estate markets | Dynamic risk-minimizing hedge ratio |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008926159