Abstract
Executive Summary. This paper examines the spilloverof extreme downside risks among global real estate securitiesmarkets. The newly developed conditional autoregressivevalue at risk (CAViaR) model (Engle andManganelli, 2004) is used to estimate Value-at-Risk(VaR). The VaR estimates are used to study two forms ofspillover: simultaneous spillover and conditional spillover.The findings show that a majority of market pairsunder consideration display significant intensity for bothforms of spillover. This suggests strong comovement ofextreme downside risks among the markets, as well asstrong risk flow from one to another. Further analysesusing regression show that intensities of both simultaneousand conditional spillovers are significantly higherbetween markets from the same region than betweenmarkets from different regions. Moreover, sample correlationsof returns and the relative size of markets arefound to have no significant impacts on spilloverintensities.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
