Volatility spillovers, comovements and contagion in securitized real estate markets

Business & Economics

• Securitized Real Estate Markets 100%
• Volatility Spillover 69%
• Contagion 62%
• Comovement 61%
• Tail Dependence 47%
• Stock Market 16%
• Volatility Transmission 15%
• Subprime Crisis 14%
• United States of America 14%
• Real Estate 14%
• Covariance Matrix 13%
• Copula 12%
• Spillover Effects 11%
• Time-varying 10%
• Structural Change 10%
• Testing 10%

Social Sciences

• real estate market 87%
• market 33%
• common stock 21%
• stock market 16%
• real estate 13%
• structural change 12%
• evidence 5%

Earth & Environmental Sciences

• volatility 66%
• market 43%
• stock market 14%
• spillover effect 14%
• structural change 10%
• document 7%
• distribution 7%
• matrix 5%