A range-based volatility approach to measuring volatility contagion in securitized real estate markets

Randy I. Anderson, Yi-Chi Chen and Li-Min Wang

Economic Modelling, 2015, vol. 45, issue C, 223-235

Abstract: We use a newly-developed time-varying range-based volatility model to capture the dynamics of securitized real estate volatility. The novelty of the model is the use of a smooth transition copula function to capture the nonlinear comovements between major REIT markets in the presence of structural changes. We then investigate the impact of extreme events on the volatility dependence in a broad set of 13 developed countries over the period from 1990 to 2012. We find that information transmission through the volatility channel can exhibit either bi- or uni-directional causality. In addition, financial contagion following the subprime crisis is found between the U.S. and Australia.

Keywords: Price range; CARR; Financial crisis; Smooth transition copula; Volatility contagion; REIT (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:45:y:2015:i:c:p:223-235

DOI: 10.1016/j.econmod.2014.10.058

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