Dynamic Correlations Among Asset Classes: REIT and Stock Returns

By B. Case, Ya-Wei Yang, Yildiray Yildirim. Journal of real estate finance and economics, 2010

139 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5db998b637cb8ef1e347c8053de991872532625c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Gangjin Wang
2. Chi Xie
3. Jian Yang
4. Yinggang Zhou
5. L. Pham
6. W. Leung
7. Xiaoguang Zhou
8. Yadi Cui

In Finance

1. Chi Xie
2. Gangjin Wang
3. Jian Yang
4. Yinggang Zhou
5. L. Pham
6. W. Leung

Citations in the corpus

• Correlation structure and dynamics of international real estate securities markets: A network perspective (2015, methodology): “[17] analyze the correlation dynamics between US publicly traded real estate investment trusts (REITs) stocks and non-REITs stocks based on the DCC-GARCH model.”
• Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets (2010, methodology): “Also using a DCC-GARCH model, Case et al. (2009) examined monthly conditional correlations between US stock and REIT markets from 1972 to 2008 and explored the implications for portfolio allocation.”
• Is it risky to go green? A volatility analysis of the green bond market (2016, methodology): “Sampling period: Daily 4/30/2010–4/29/2015. investment-grade bonds have been used in previous studies as a benchmark for the overall bond market (e.g. Daskalaki and Skiadopoulos 2011; Case, Yang, and Yildirim 2012).”