An Examination of Volatility Spillovers in REIT Returns

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The case for REITs in the mixed-asset portfolio in the short and long Run (2005, background): “More specifically in relation to volatility, Stevenson (2002) examines volatility spillovers in REITs.”
Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, unknown): “Indeed, due to the fact that real estate stocks behave to some extent as small capitalization stocks (Stevenson 2002), they should be more correlated to local, national, and regional economic activities (Bardhan et al. 2008).”
Multivariate Modeling of Daily REIT Volatility (2006, methodology): “More generally speaking the results are in marked comparison to Stevenson (2002) and his analysis using monthly REIT data. Stevenson (2002) found very few insignificant results, with the majority of relationships showing significant volatility spillovers.”
Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty (2018, background): “Although REITs may not be included in the financial stress indices, there are volatility spillover studies that consider REITS, such as: Payne and Mohammadi (2004); Stevenson (2002); Ambrose et al. 2007; Hoesli and Reka (2013); Lin (2013).”