In this paper, we attempt to explore the effects of various uncertainty measures–namely,
implied volatility (VIX), tail risk (SKEW), economic policy uncertainty (EPU) and partisan …

We examine the dynamics and transmission of conditional volatilities with multiple structural
changes in return volatility using Bai and Perron (2003)'s methodology, across five major …

In this paper, we investigate whether monetary policy has asymmetric effects on US equity
REIT returns by using Markov-switching models. We adopt a number of measures of …

We document the presence of Markov switching regimes in expected returns, variances and
the implied reward‐to‐risk ratio of real estate investment trust (REIT) returns and compare …

We examine whether the recent subprime/global financial crisis caused some significant
changes in the excess return distribution and volatility spillover, as well as the link between …

A recent literature has shown that REIT returns contain strong evidence of bull and bear
dynamic regimes that may be best captured using nonlinear econometric models of the …

Purpose–The purpose of this paper is to explore a regime switching asset allocation model
that includes six major real estate security markets (USA, UK, Japan, Australia, Hong Kong …

This paper studies the role of regime shifts and time-varying volatilities in market integration
in a Markov-switching volatility regime environment among the US, European and Asian …

We employ Markov regime-switching approach to explore the regime-dependent linkages
between securitized real estate market and stock, money, bond and foreign exchange …

The primary contribution of this study is to examine the changes in cross-market relationship
in international public property markets from a volatility regime switching perspective from …