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Volumn 15, Issue 3, 2009, Pages 211-219

The effect of the real estate downturn on the link between REITs and the stock market

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EID: 77249159932     PISSN: 10835547     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (27)

References (15)
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  • 4
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    • Multivariate density forecast evaluation and calibration in financial risk management: high-frequency returns on foreign exchange
    • Diebold, F.X., J. Hahn, and A.S. Tay. Multivariate Density Forecast Evaluation and Calibration in Financial Risk Management: High-Frequency Returns on Foreign Exchange. The Review of Economics and Statistics, 1999, 81, 661-673
    • (1999) The Review of Economics and Statistics , vol.81 , pp. 661-673
    • Diebold, F.X.1    Hahn, J.2    Tay, A.S.3
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    • 0348008906 scopus 로고    scopus 로고
    • Using copulae to bound the value-at-risk for functions of dependent risk
    • Embrechts, P., A. Hoing, and A. Juri. Using Copulae to Bound the Value-at-Risk for Functions of Dependent Risk. Finance and Stochastics, 2003, 7, 145-167
    • (2003) Finance and Stochastics , vol.7 , pp. 145-167
    • Embrechts, P.1    Hoing, A.2    Juri, A.3
  • 6
    • 23444460051 scopus 로고    scopus 로고
    • Estimating the tail-dependence coefficient: Properties and pitfalls
    • DOI 10.1016/j.insmatheco.2005.05.008, PII S016766870500065X
    • Frahm, G., M. Junker, and R. Schmidt. Estimating the Tail-dependence Coefficient: Properties and Pitfalls. Insurance: Mathematics and Economics, 2005, 37:1, 80-100. (Pubitemid 41110158)
    • (2005) Insurance: Mathematics and Economics , vol.37 , Issue.1 SPEC. ISS. , pp. 80-100
    • Frahm, G.1    Junker, M.2    Schmidt, R.3
  • 7
    • 33646533039 scopus 로고
    • Semiparametric estimation procedure of dependence parameters in multivariate families of distributions
    • Genest, C., K. Ghoudi, and L.-P. Rivest. Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions. Biometrika, 1995, 82, 543-552
    • (1995) Biometrika , vol.82 , pp. 543-552
    • Genest, C.1    Ghoudi, K.2    Rivest, L.-P.3
  • 8
    • 3543036784 scopus 로고    scopus 로고
    • REIT return behavior in advancing and declining markets
    • Goldstein, M. and F. Nelling. REIT Return Behavior in Advancing and Declining Markets. Real Estate Finance, 1999, 15, 68-77.
    • (1999) Real Estate Finance , vol.15 , pp. 68-77
    • Goldstein, M.1    Nelling, F.2
  • 10
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    • Diversification when it hurts? the joint distributions of real estate and equity markets
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    • (2005) Journal of Property Research , vol.22 , pp. 309-323
    • Knight, J.1    Lizieri, C.2    Satchell, S.3
  • 11
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    • The integration of commercial real estate markets and stocks markets
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    • (1999) Real Estate Economics , vol.32 , pp. 437-462
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    • Extreme value dependence in financial markets: Diagnostics, models, and financial implications
    • DOI 10.1093/rfs/hhg058
    • Poon, S., M. Rockinger, and J. Tawn. Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications. The Review of Financial Studies, 2004, 17, 581-610. (Pubitemid 39159593)
    • (2004) Review of Financial Studies , vol.17 , Issue.2 , pp. 581-610
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.