Volatility Decomposition and Correlation in International Securitized Real Estate Markets

Volatility Decomposition and Correlation in International Securitized Real Estate Markets This study contributes to the literature in international securitized real estate market volatility in three ways. Each market’s conditional volatility is decomposed into a “permanent” or long-run component and a “transitory” or short-run component via a component-GARCH model. Even though with the same number of common factors derived from the “permanent” and “transitory” volatility series, their loadings are not similar and consequently the long-run and short-run volatility linkages for some markets are different. Finally there are significant volatility co-movements between real estate and stock markets’ “permanent” and “transitory” components suggesting that real estate markets are at least not segmented from stock markets in international investing. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Real Estate Finance and Economics Springer Journals

Volatility Decomposition and Correlation in International Securitized Real Estate Markets

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Publisher
Springer US
Copyright
Copyright © 2008 by Springer Science+Business Media, LLC
Subject
Economics; Regional/Spatial Science; Financial Services
ISSN
0895-5638
eISSN
1573-045X
D.O.I.
10.1007/s11146-008-9131-5
Publisher site
See Article on Publisher Site

Abstract

This study contributes to the literature in international securitized real estate market volatility in three ways. Each market’s conditional volatility is decomposed into a “permanent” or long-run component and a “transitory” or short-run component via a component-GARCH model. Even though with the same number of common factors derived from the “permanent” and “transitory” volatility series, their loadings are not similar and consequently the long-run and short-run volatility linkages for some markets are different. Finally there are significant volatility co-movements between real estate and stock markets’ “permanent” and “transitory” components suggesting that real estate markets are at least not segmented from stock markets in international investing.

Journal

The Journal of Real Estate Finance and EconomicsSpringer Journals

Published: Jun 28, 2008

References

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