Lee, Yen-Hsien - In: Financial Markets and Portfolio Management 28 (2014) 2, pp. 165-180
This paper analyzes the volatility spillovers and asymmetry between REITs and stock prices for nine countries (Australia, Belgium, Germany, Italy, Japan, The Netherlands, Singapore, the United Kingdom, and the United States) using eight different multivariate GARCH models. We also analyze the...