The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity
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- Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Dependence dynamics of US REITs," International Review of Financial Analysis, Elsevier, vol. 81(C).
- Sing, Tien Foo & Wang, Long, 2021. "Spillovers of Non-Fundamental Risks: The Tale of Two Securitized Real Estate Markets," International Real Estate Review, Global Social Science Institute, vol. 24(2), pages 185-220.
- Motegi, Kaiji & Iitsuka, Yoshitaka, 2023. "Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
- George D. Cashman & David M. Harrison & Michael J. Seiler & Hainan Sheng, 2019. "The Impact of Geographic and Cultural Dispersion on Information Opacity," The Journal of Real Estate Finance and Economics, Springer, vol. 59(2), pages 166-208, August.
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- Masud Alam, 2024. "Volatility in U.S. Housing Sector and the REIT Equity Return," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 505-544, October.
- Cherif Famara Badji & Cristiane Benetti & Renato Guimaraes, 2021. "Diversification Benefits of European REIT, Equities and Bonds," Post-Print hal-03592183, HAL.
- Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
- Geoffrey M. Ngene & Jinghua Wang, 2024. "Transitory and permanent shock transmissions between real estate investment trusts and other assets: Evidence from time‐frequency decomposition and machine learning," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 539-573, March.
- Mariya Letdin & C. Stace Sirmans & G. Stacy Sirmans, 2024. "Spread Too Thin: REIT Asset Dispersion and Divergence of Opinion," The Journal of Real Estate Finance and Economics, Springer, vol. 69(2), pages 201-227, August.
- Brent W. Ambrose & Brad Case & Seow Eng Ong, 2015.
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- Piet Eichholtz & David Geltner & Seow-Eng Ong, 2013. "Introduction to the Special Issue," The Journal of Real Estate Finance and Economics, Springer, vol. 46(2), pages 203-206, February.
- Yufei Cao, 2021. "Measuring systemic risk and dependence structure between real estates and banking sectors in China using a CoVaR‐copula method," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5930-5947, October.
- Christian Eckert, 2020. "Risk and risk management of spillover effects: Evidence from the literature," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 23(1), pages 75-104, March.
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- Jeongseop Song & Kim Hiang Liow, 2023. "Industrial tail exposure risk and asset price: Evidence from US REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(5), pages 1209-1245, September.
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