Purpose: This paper examines the return and volatility spillovers among major cryptocurrency using daily data from 10/08/2015 to 15/04/2018. Design/methodology/approach: The authors employ the Dielbold and Yilmaz (2012) spillover approach and rolling sample analysis to capture the inherent...

The REITs market has attracted a lot of interest among the academic, policymakers, and market participants. The linkages between REITs and macroeconomic and financial variables have been adequately explored in the literature, with more emphasis on linear models. This study expands the frontier...