caa a22 4500 445316594 CHVBK 20180317142649.0 cr unu---uuuuu 170323e20110401xx s 000 0 eng 10.1007/s11146-009-9200-4 doi (NATIONALLICENCE)springer-10.1007/s11146-009-9200-4 Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets [Elektronische Daten] [Kim Liow, Zhiwei Chen, Jingran Liu] 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 securitized real estate markets as well as employing a multivariate regime-dependent asymmetric dynamic covariance methodology (MRDADC) that allows the conditional matrix to be both time- and state-varying. Our results imply that a multiple-regime time varying asymmetric variance and covariance approach is important in modeling real estate securities valuation and selection and portfolio optimization, and is consistent with popular beliefs that market volatility changes over time. Our MRDADC models detect the presence of significant mean-volatility linkages across the five major securitized real estate markets under different volatility regimes and would have implications for global investor in terms of estimating a dynamic risk-minimizing hedge ratio in international portfolio management. Springer Science+Business Media, LLC, 2009 Multiple structural breaks nationallicence Conditional volatility nationallicence Multivariate regime-dependent asymmetric dynamic covariance model nationallicence Securitized real estate markets nationallicence Dynamic risk-minimizing hedge ratio nationallicence Liow Kim Department of Real Estate, National University of Singapore, 4 Architecture Drive, 117566, Singapore, Singapore aut Chen Zhiwei Department of Real Estate, National University of Singapore, 4 Architecture Drive, 117566, Singapore, Singapore aut Liu Jingran Department of Real Estate, National University of Singapore, 4 Architecture Drive, 117566, Singapore, Singapore aut The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 42/3(2011-04-01), 295-328 0895-5638 42:3<295 2011 42 11146 https://doi.org/10.1007/s11146-009-9200-4 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11146-009-9200-4 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Liow Kim Department of Real Estate, National University of Singapore, 4 Architecture Drive, 117566, Singapore, Singapore aut NATIONALLICENCE 700 1- Chen Zhiwei Department of Real Estate, National University of Singapore, 4 Architecture Drive, 117566, Singapore, Singapore aut NATIONALLICENCE 700 1- Liu Jingran Department of Real Estate, National University of Singapore, 4 Architecture Drive, 117566, Singapore, Singapore aut NATIONALLICENCE 773 0- The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 42/3(2011-04-01), 295-328 0895-5638 42:3<295 2011 42 11146 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer