The Correlation and Contagion Effect between Us Reits and Japan Reits - Based On the Armax-Gjr-Garch-Copula Model

Miin-Yu Peng and Wo-Chiang Lee

Asian Economic and Financial Review, 2013, vol. 3, issue 12, 1609-1619

Abstract: The article discuss the relationship between US REITs and Japan REITs. In empirical study, we apply five static ARMAX-GJR-GARCH copula models and two time-varying dynamic copula models. The results show that the kendall tau is lower before the submortgage crisis. The contagion effect test exhibits the US submortgate crisis will affect Japan REITs. Last, no matter the large, middle or small scale positive and negative shock, the contagion probability during the crisis is larger than before the submortgage crisis.

Keywords: Submortgage crisis; Copula model; Contagion effect; ARMAX-GJR-GARCH. (search for similar items in EconPapers)
Date: 2013
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