International evidence on real estate as a portfolio diversifier

By Martin Hoesli, Jon Lekander, W. Witkiewicz. 2003

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The case for REITs in the mixed-asset portfolio in the short and long Run (2005, background): “2 The issue of estimation error in a real estate context has recently been examined in depth by Stevenson (2001a) and Hoesli et al. (2004).”
Are REITs Real Estate? Evidence from International Sector Level Data (2012, unknown): “Direct real estate investments have been shown to provide significant diversification benefits in a portfolio containing stocks (Hoesli, Lekander and Witkiewicz, 2004; MacKinnon and Al Zaman, 2009; Brounen, Porras Prado and Verbeek, 2010).”
Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, unknown): “For instance, Jondeau and Rockinger (2006) use copulas to model international stock markets. Patton (2006) pioneered the inclusion of time-variation in copulas by developing conditional asymmetric tail dependences. He applies this extension of the theory of copulas to the Forex market and finds evid”