Time-varying correlation between stock market returns and real estate returns
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DOI: 10.1016/j.jempfin.2012.03.006
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More about this item
Keywords
Real estate; Share market returns; DCC IGARCH(1; 1) model; Time-varying conditional correlations;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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