Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets

Kim Liow, Zhiwei Chen () and Jingran Liu ()

The Journal of Real Estate Finance and Economics, 2011, vol. 42, issue 3, 295-328

Keywords: Multiple structural breaks; Conditional volatility; Multivariate regime-dependent asymmetric dynamic covariance model; Securitized real estate markets; Dynamic risk-minimizing hedge ratio (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (18)

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DOI: 10.1007/s11146-009-9200-4

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