343
Views
2
CrossRef citations to date
0
Altmetric
Research Article

Time-Varying Correlations of REITs and Implications for Portfolio Management

, , , &
Pages 317-334 | Received 02 Oct 2019, Accepted 07 Apr 2021, Published online: 21 Oct 2021

References

  • Alcock, J., & Steiner, E. (2018). Fundamental drivers of dependence in REIT returns. Journal of Real Estate Finance and Economics, 57(1), 4–42.
  • Ammann, M., & Verhofen, M. (2006). The effect of market regimes on style allocation. Financial Markets and Portfolio Management, 20(3), 309–337.
  • Anderson, R., Boney, V., & Guirguis, H. (2012). The impact of switching regimes and monetary shocks: An empirical analysis of REITs. Journal of Real Estate Research, 34(2), 157–182.
  • Ang, A., & Bekaert, G. (2002). Regime switches in interest rates. Journal of Business & Economic Statistics, 20(2), 163–182.
  • Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1) 47–78.
  • Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1–22.
  • Beracha, E. I., Freybote, J., & Lin, Z. (2019). The determinants of the ex ante risk premium in commercial real estate. Journal of Real Estate Research, 41(3), 411–442.
  • Boney-Dutra, V., Guirguis, H., & Mueller, G. (2013). Did intraday trading by leveraged and inverse leveraged ETFs create excess price volatility? A look at REITs and the broad market. Journal of Real Estate Portfolio Management, 19(1), 1–16.
  • Cameron, A. C., & Trivedi, P. K. (2005). Microeconometrics: Methods and applications. Cambridge University Press.
  • Case, B., Yang, Y., & Yildirim, Y. (2012). Dynamic correlations among asset classes: REIT and stock returns. Journal of Real Estate Finance and Economics, 44(3), 298–318.
  • Chong, J., Krystalogianni, A., & Stevenson, S. (2012). Dynamic correlations between REIT sub-sectors and the implications for diversification. Applied Financial Economics, 22(13), 1089–1109.
  • Chong, J., Miffre, J., & Stevenson, S. (2009). Conditional correlations and real estate investment trusts. Journal of Real Estate Portfolio Management, 15(2), 173–184.
  • Dempster, A. P., Laird, N. M., & Rubin, D. B. (1977). Maximum likelihood from incomplete data via the EM algorithm. Journal of the Royal statistical Society, 39(1), 1–38.
  • Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339–350.
  • Evans, R. D., & Mueller, A. G. (2016). Industrial real estate cycles: Markov chain applications. Journal of Real Estate Portfolio Management, 22(1), 75–90.
  • Freybote, J., & Seagraves, P. (2018). The impact of investor sentiment on commercial real estate market liquidity. Journal of Real Estate Research, 40(4), 597–628.
  • Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57(2), 357–384.
  • Hardin III, W. G., Hurwitz, C., & Parhizgari, A. (2020). Do traditional real estate ETFs increase the volatility of REITs? Journal of Real Estate Research, 42(4), 1–37.
  • Kawaguchi, Y., Sa‐Aadu, J., & Shilling, J. D. (2017). REIT stock price volatility and the effects of leverage. Real Estate Economics, 45(2), 452–477.
  • Ling, S., & McAleer, M. (2003). Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory, 19(2), 280–310.
  • Liow, K. H., & Ye, Q. (2017). Switching regime beta analysis of global financial crisis: Evidence from international public real estate markets. Journal of Real Estate Research, 39(1), 127–164.
  • Liu, J., Wu, S., & Zidek, J. V. (1997). On segmented multivariate regression. Statistica Sinica, 7, 497–525.
  • Newey, W. K., & West, K. D. (1994). Automatic lag selection in covariance matrix estimation. Review of Economic Studies, 61(4), 631–653.
  • Pavlov, A., Steiner, E., & Wachter, S. (2018). The consequences of REIT index membership for return patterns. Real Estate Economics, 46(1), 210–250.
  • Sadorsky, P. (2012). Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies. Energy Economics, 34(1), 248–255.
  • Tsolacos, S., Brooks, C., & Nneji, O. (2014). On the predictive content of leading indicators: The case of US real estate markets. Journal of Real Estate Research, 36(4), 541–573.
  • Yang, J., Zhou, Y., & Leung, W. K. (2012). Asymmetric correlation and volatility dynamics among stock, bond, and securitized real estate markets. Journal of Real Estate Finance and Economics, 45(2), 491–521.
  • Yao, Y. C. (1988). Estimating the number of change-points via Schwarz’ criterion. Statistics & Probability Letters, 6(3), 181–189.
  • White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817–838.
  • Wurgler, J. (2010). On the economic consequences of index-linked investing (No. w16376). National Bureau of Economic Research.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.