Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach

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• 作者：Huaying Gu ; ^{hygu@hust.edu.cn} ; Zhixue Liu ; Yingliang Weng
• 关键词：Time-varying correlation ; MGARCH ; Spatial effects ; Contagion effects ; Real estate markets
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：471
• 期：Complete
• 页码：460-472
• 全文大小：1682 K
• 卷排序：471

文摘

We present a novel multivariate GARCH with spatial effects model. We examine spatial effects on time-varying correlations in real estate markets. We analyze both the geographic relations and economic linkages on correlations. We demonstrate the efficiency of our proposed model in portfolio allocation.