Anderson, Randy I.; Chen, Yi-Chi; Wang, Li-Min - In: Economic Modelling 45 (2015) C, pp. 223-235
We use a newly-developed time-varying range-based volatility model to capture the dynamics of securitized real estate volatility. The novelty of the model is the use of a smooth transition copula function to capture the nonlinear comovements between major REIT markets in the presence of...