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Keywords: Diversification
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Journal Articles
Journal Articles
International Journal of Housing Markets and Analysis (2023) 16 (1): 167–189.
Published: 04 February 2022
... 2020. Design/methodology/approach The authors use wavelet coherence to encapsulate the overall dependence and correlation of asset classes. Further, the authors also study the potential of diversification at the tail of returns distribution by applying the wavelet value-at-risk (VaR) framework...
Journal Articles
International Journal of Housing Markets and Analysis (2008) 1 (4): 352–361.
Published: 21 November 2008
...Chyi Lin Lee Purpose The purpose of this paper is to examine the effectiveness of housing as a property investment vehicle. In this analysis, the performance and diversification benefits of housing over 1996‐2007 are investigated. Design/methodology/approach Sharpe and Sortino ratios were...

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