Asymmetric Volatility, Correlation and Returns Dynamics between the U.S. and U.K. Securitized Real Estate Markets

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Correlation and Volatility Dynamics in International Real Estate Securities Markets (2009, methodology): “Finally, using an asymmetric covariance GARCH model, Michayluk et al. (2006) examine the daily volatility spillover effects and time-varying correlation dynamics between the USA and UK securitized real estate markets.”
Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, background): “Michayluk et al. (2006) look at the asymmetric volatility transmission, the correlations and the return dynamics between the U.S. and U.K. securitized real estate markets.”
Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets (2010, methodology): “…correlation dynamics in the real estate literature (e.g., Liow et al., 2009; Yavas and Yildirim, 2009; Case, Yang, and Yildirim, 2009), little research has been done to explore the asymmetric conditional correlation dynamics, with the notable exception of Michayluk, Wilson, and Zurbruegg (2006).”