"Tail dependence" characterizes the cross market linkages during stressful times. Analylzing tail dependence is of primary interest to portfolio managers who systematically monitor the co-movements of assets markets. However, the relevant literature on real estate securities markets is very...

We study international correlation and volatility of dynamics of publicly traded real estate securities using monthly returns from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate dynamic conditional correlations between all...