A Range-based Volatility Approach to Measuring Volatility Contagion in Securitized Real Estate Markets

Randy I. Anderson, Yi Chi Chen, Li Min Wang

Research output: Contribution to journalArticle

10 Citations (Scopus)

Abstract

We use a newly-developed time-varying range-based volatility model to capture the dynamics of securitized real estate volatility. The novelty of the model is the use of a smooth transition copula function to capture the nonlinear comovements between major REIT markets in the presence of structural changes. We then investigate the impact of extreme events on the volatility dependence in a broad set of 13 developed countries over the period from 1990 to 2012. We find that information transmission through the volatility channel can exhibit either bi- or uni-directional causality. In addition, financial contagion following the subprime crisis is found between the U.S. and Australia.

Original languageEnglish
Pages (from-to)223-235
Number of pages13
JournalEconomic Modelling
Volume45
DOIs
Publication statusPublished - 2015 Feb 1

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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