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Testing constancy of correlation with an application to international equity returns

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Correlation dynamics and determinants in international securitized real estate markets

Liow, Kim Hiang; Zhou, Xiaoxia; Ye, Qing - In: Real estate economics : journal of the American Real … 43 (2015) 3, pp. 537-585

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The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages

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Time-scale relationship between securitized real estate and local stock markets : some wavelet evidence

Liow, Kim Hiang; Zhou, Xiaoxia; Li, Qiang; Huang, Yuting - In: Journal of risk and financial management : JRFM 12 (2019) 1/16, pp. 1-23

This study revisits the relationship between securitized real estate and local stock markets by focusing on their time-scale co-movement and contagion dynamics across five developed countries. Since securitized real estate market is an important capital component of the domestic stock market in...

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