...-lag patterns of the cyclical variations. Finally, to test the contagion effects, the authors estimate the exact percentage change in co-spectral density (cyclical covariance) due to high frequencies (short run) after the GFC. Findings The authors find that whilst none of the public real estate...

... observed increased co-movement measures the outcomes of contagion or integration. Design/methodology/approach – Co-spectral approach is the proper econometric tool to deliver economic insight for this research. Findings – Results indicate that Asian stock markets, and to a lesser degree, bond...

...Stephanie Rozelle Yates; Elaine M. Worzala; George Milunovich; Stefan Trück Purpose The purpose of this paper is to investigate contagion between real estate investment trusts (REITs) within and across three geographical regions: North America, Europe and Asia‐Pacific. The paper also examines...