Asymmetric volatility, correlation and returns dynamics between the US and UK securitized real estate markets

Blackwell Publishing
Publication Type:
Journal Article
Real Estate Economics, 2006, 34 (1), pp. 109 - 131
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We construct synchronously priced indices of securitized property listed on the New York Stock Exchange and London Stock Exchange. The indices are then utilized to examine dynamic information flows between the two markets. By analyzing returns behavior,
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