The main contribution of this study is to examine the extreme dependence between the real estate securities and stock markets in Australia, China, Hong Kong, Japan, Malaysia, the Philippines, Singapore and Taiwan between January 1995 and March 2011. For each market, we derive time series tail...

Volatility plays an important role when managing risks, composing portfolios, and pricing financial instruments. However it is not directly observable, being usually estimated through parametric models such as those in the GARCH family. A more natural empirical measure of daily returns...