The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns

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The case for REITs in the mixed-asset portfolio in the short and long Run (2005, background): “Clayton and MacKinnon (2001) find that the sensitivity of REIT returns to private real estate showed a significant increase in the 1990s, indicating that REITs are more integrated with private real estate than financial assets.”
Multivariate Modeling of Daily REIT Volatility (2006, background): “In addition, Clayton & MacKinnon (2001) find that the sensitivity of REIT returns to the Stock Market declined significantly in the 1990s.”
Are REITs Real Estate? Evidence from International Sector Level Data (2012, unknown): “Given the maturation of the REIT markets in the early 1990s (e.g. Clayton and MacKinnon, 2001), it would be sensible to use data from only the early 1990s onwards in any case.”
Dynamic Correlations Among Asset Classes: REIT and Stock Returns (2010, unknown): “…empirical findings of the previous literature on dynamic correlations between REITs and stocks, several studies including Chandrashekaran (1999), Clayton and MacKinnon (2001), Conover et al. (2002), Bley and Olson (2003), and Westerheide (2006) found that REIT-stock correlations generally…”
The Long-Run Dynamics between Direct and Securitized Real Estate (2011, background): “According to Clayton and MacKinnon (2001 and 2003) and Pagliari, Scherer and Monopoli (2005), the difference between indirect and direct real estate returns has diminished”