We employ a little-used dataset to study the Japan's Real Estate Investment Trusts (REITs) market. We make use of copula theory and test for dependence between equity and REIT returns using several popular copula families. The copula families in our specification were: Gaussian, Student-t,...

We construct a representative index of largest Indian energy companies listed on the National Stock Exchange (NIFTY 50). We test for presence of regimes, non-linearities, and jumps in the price signal. We benchmark performance against alternative models, including single-regime models and models...