This study aims to achieve a two-fold research objective: first, to econometrically investigate hypothesized linkages between real estate and stock markets by fitting different classes of time-varying volatility model; second, to perform VaR-type stress testing by using the fitted asset price...

Housing prices, like the prices of other speculative assets, contain a mix of both small and large changes (i.e., jumps). We apply a jump-GARCH model to monthly Case-Shiller housing price indexes of twenty cities in the U.S. during the period January 1991 through December 2011. We document the...

Housing prices, like the prices of other speculative assets, contain a mix of both small and large changes (i.e., jumps). We apply a jump-GARCH model to monthly Case-Shiller housing price indexes of twenty cities in the U.S. during the period January 1991 through December 2011. We document the...

We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and...