The Correlation and Contagion Effect between Us Reits and Japan Reits - Based On the Armax-Gjr-Garch-Copula Model

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Title:	The Correlation and Contagion Effect between Us Reits and Japan Reits - Based On the Armax-Gjr-Garch-Copula Model
Authors:	李沃牆
Contributors:	淡江大學財務金融學系
Keywords:	Submortgage crisis;Copula model;Contagion effect;ARMAX-GJR-GARCH
Date:	2013-12
Issue Date:	2013-09-10 11:45:07 (UTC+8)
Publisher:	Karachi: Asian Economic and Social Society
Abstract:	The article discuss the relationship between US REITs and Japan REITs. In empirical study, we apply five static ARMAX-GJR-GARCH copula models and two time-varying dynamic copula models. The results show that the kendall tau is lower before the submortgage crisis. The contagion effect test exhibits the US submortgate crisis will affect Japan REITs. Last, no matter the large, middle or small scale positive and negative shock, the contagion probability during the crisis is larger than before the submortgage crisis.
Relation:	Asian Economic and Financial Review 3(12), pp.1609-1619
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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