Regime Changes and Dynamic Linkages in Major Securitized Real Estate Markets

38 Pages Posted: 26 Jul 2007

See all articles by Kim Hiang Liow

Kim Hiang Liow

National University of Singapore (NUS) - Department of Real Estate

Ziwei Chen

National University of Singapore (NUS)

Date Written: July 25, 2007

Abstract

This paper is a contribution to the literature in international real estate market volatility dynamics and linkages from an alternative perspective. We analyzes the dynamics and transmission of conditional volatilities with multiple structural changes in mean returns and volatility using the Bai and Perron (2003) methodology, across five major securitized real estate markets, employing a multivariate regime-dependent asymmetric dynamic covariance model (MRDADC) that allows the conditional matrix to be both time- and state-varying. Important contributions of this study are the findings of statistically significant variables that represent the multiple regime changes. When taken into consideration, they influence the return-volatility transmission across markets as well as time-varying asymmetric variances and covariance dynamics in our MRDADC representation.

Keywords: securitized real estate markets, multiple structural breaks, volatility regimes, multivariate regime-dependent asymmetric dynamic covariance model

Suggested Citation

Liow, Kim Hiang and Chen, Ziwei, Regime Changes and Dynamic Linkages in Major Securitized Real Estate Markets (July 25, 2007). Available at SSRN: https://ssrn.com/abstract=1002823 or http://dx.doi.org/10.2139/ssrn.1002823

Kim Hiang Liow (Contact Author)

National University of Singapore (NUS) - Department of Real Estate ( email )

4 Architecture Drive
Singapore 117566
Singapore
65-8743420 (Phone)
65-7748684 (Fax)

Ziwei Chen

National University of Singapore (NUS) ( email )

Bukit Timah Road 469 G
Singapore, 117591
Singapore

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