This paper investigates the dynamic conditional correlations (DCCs) between housing returns and retail property returns, and the existence of volatility spillover between the two property markets of Hong Kong. Two multivariate stochastic volatility models (MSV), namely Granger causality MSV and...

This paper aims to investigate the contagion across European securitised real estate markets during the European sovereign debt crisis by the Forbes--Rigobon test, the coskewness test and the cokurtosis test. The new cokurtosis test is constructed by extending the method of constructing the...