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Keywords: Conditional correlations
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Journal Articles
Journal of Property Investment & Finance (2012) 30 (5): 473–492.
Published: 03 August 2012
... the multivariate GARCH framework to estimate conditional correlations [2] . These papers document important time‐varying behavior in the correlations between various REIT series. There is also some evidence that correlations have increased through time, which has important implications for asset allocation...
