Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets

By Jian Yang, Yinggang Zhou, W. Leung. Journal of real estate finance and economics, 2010

111 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a2ca3367b1eb99061f3cc938261823cd8926a2ec

Citations in the corpus

• Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, unknown): “A more recent paper by Yang et al. (2010) documents the strong asymmetric correlations between REITs and the S&P500 during the period 1998–2008 by means of a multivariate asymmetric generalized dynamic conditional correlation GARCH model.”