Correlation and Volatility Dynamics in International Real Estate Securities Markets

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Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets (2010, unknown): “While a few recent studies use the DCC model of Engle (2002) to explore correlation dynamics in the real estate literature (e.g., Liow et al. 2009; Yavas and Yildirim 2009; Case et al. 2009), little research has been done to explore the asymmetric conditional correlation dynamics, with the notable…”
Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, methodology): “Using a multivariate dynamic conditional correlation model (Engle 2002), Liow et al. (2009) study the international linkages between listed real estate markets (across countries and across regions).”
Correlation structure and dynamics of international real estate securities markets: A network perspective (2015, methodology): “[16] employ the dynamic conditional correlation (DCC)-GJR-GARCH model to study the correlation structure and dynamics of international real estate securitiesmarkets including five developedmarkets (US, UK, Japan, Hong Kong, and Singapore).”