Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets
Walid Mensi,
Zhuhua Jiang,
Xuan Vinh Vo
et al.
Abstract:How do price fluctuations in the real estate investment trust (REIT) market relate to price fluctuations in other financial markets, such as the stock and commodity markets? In order to grasper this topic, we examine the transmission of shocks and volatility spillover among the REIT, stock, and oil markets using a trivariate asymmetric GARCH model with BEKK specification. The empirical results indicate that there exists shock transmission from REIT to the oil markets and from the stock market to both the oil a… Show more
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