Zhiwei Chen

affiliation not provided to SSRN

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Scholarly Papers (1)

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Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets

Journal of Real Estate Finance and Economics, Vol. 42, No. 3, 2011
Posted: 27 Oct 2010
Kim Hiang Liow and Zhiwei Chen
National University of Singapore (NUS) - Department of Real Estate and affiliation not provided to SSRN

Abstract:

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Multiple structural breaks; Conditional volatility; Multivariate regime-dependent asymmetric dynamic covariance model; Securitized real estate markets; Dynamic risk-minimizing hedge ratio