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

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dc.contributor.author Michayluk, D
dc.contributor.author Wilson, PJ
dc.contributor.author Zurbruegg, R
dc.date.accessioned 2009-12-21T02:36:33Z
dc.date.issued 2006-01
dc.identifier.citation Real Estate Economics, 2006, 34 (1), pp. 109 - 131
dc.identifier.issn 1080-8620
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5074
dc.description.abstract 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,
dc.publisher Blackwell Publishing
dc.relation.isbasedon 10.1111/j.1540-6229.2006.00161.x
dc.title Asymmetric volatility, correlation and returns dynamics between the US and UK securitized real estate markets
dc.type Journal Article
dc.parent Real Estate Economics
dc.journal.volume 1
dc.journal.volume 34
dc.journal.number 1 en_US
dc.publocation Oxford, UK en_US
dc.identifier.startpage 109 en_US
dc.identifier.endpage 131 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1402 Applied Economics
dc.personcode 760135
dc.personcode 995682
dc.percentage 100 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.description.keywords International Stock Markets; Generalized Arch; Price Discovery; Equity Markets; Model; Comovements; Shifts; Risk en_US
dc.description.keywords International Stock Markets
dc.description.keywords Generalized Arch
dc.description.keywords Price Discovery
dc.description.keywords Equity Markets
dc.description.keywords Model
dc.description.keywords Comovements
dc.description.keywords Shifts
dc.description.keywords Risk
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Finance (ID: 371)
utslib.collection.history Closed (ID: 3)


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