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

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dc.contributor.author Wilson, Patrick en_US
dc.contributor.author Zurbruegg, Ralf en_US
dc.contributor.author Michayluk, Dave en_US
dc.date.accessioned 2009-12-21T02:36:33Z
dc.date.available 2009-12-21T02:36:33Z
dc.date.issued 2006 en_US
dc.identifier 2006003914 en_US
dc.identifier.citation Michayluk David, Wilson Patrick, and Zurbruegg Ralf 2006, 'Asymmetric volatility, correlation and returns dynamics between the US and UK securitized real estate markets', Blackwell Publishing, vol. 34, no. 1, pp. 109-131. en_US
dc.identifier.issn 1080-8620 en_US
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, en_US
dc.publisher Blackwell Publishing en_US
dc.relation.isbasedon http://dx.doi.org/10.1111/j.1540-6229.2006.00161.x en_US
dc.title Asymmetric volatility, correlation and returns dynamics between the US and UK securitized real estate markets en_US
dc.parent Real Estate Economics en_US
dc.journal.volume 34 en_US
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 140200 en_US
dc.personcode 995682 en_US
dc.personcode 760135 en_US
dc.personcode 0000017322 en_US
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


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