THE CORRELATION AND CONTAGION EFFECT BETWEEN US REITS AND JAPAN REITS - BASED ON THE ARMAX-GJR-GARCH-COPULA MODEL
Journal Title: Asian Economic and Financial Review - Year 2013, Vol 3, Issue 12
Abstract
The article discuss the relationship between US REITs and Japan REITs. In empirical study, we apply five static ARMAX-GJR-GARCH copula models and two time-varying dynamic copula models. The results show that the kendall tau is lower before the submortgage crisis. The contagion effect test exhibits the US submortgate crisis will affect Japan REITs. Last, no matter the large, middle or small scale positive and negative shock, the contagion probability during the crisis is larger than before the submortgage crisis.
Authors and Affiliations
Miin-Yu Peng| Ph.D student ,School of Economics, Nankai University,China, Wo-Chiang Lee| Department of Banking and Finance, Tamkang University, Yin-Chuan Road, Tamsui, New Taipei City, Taiwan, ROC
Keywords
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- EP ID EP1982
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