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Keywords: Volatility spillover index
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Journal Articles
Journal of European Real Estate Research (2013) 6 (2): 117–138.
Published: 02 August 2013
... 2011. Design/methodology/approach This paper employs the multivariate GARCH and the generalized VAR volatility spillover index methodologies. Findings The author finds that each of the seven European developed real estate securities markets is relatively endogenous and interacts well...
