Returns Transmission, Value at Risk, and Diversification Benefits in International REITs: Evidence from the Financial Crisis

Chiuling Lu; Yiuman Tse; Michael Williams

doi:10.1007/s11156-012-0274-3

Returns Transmission, Value at Risk, and Diversification Benefits in International REITs: Evidence from the Financial Crisis

Chiuling Lu
, Yiuman Tse
, Michael Williams

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	Review of Quantitative Finance and Accounting
Volume	40
DOIs	https://doi.org/10.1007/s11156-012-0274-3
State	Published - Feb 1 2013

Disciplines

Economics
Finance

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title = "Returns Transmission, Value at Risk, and Diversification Benefits in International REITs: Evidence from the Financial Crisis",

author = "Chiuling Lu and Yiuman Tse and Michael Williams",

note = "We examine daily cross-market return interactions and downside risk between a US REIT returns index and the return indexes of twelve international REIT markets. These relationships are investigated...",

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AU - Lu, Chiuling

AU - Tse, Yiuman

AU - Williams, Michael

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PY - 2013/2/1

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JO - Review of Quantitative Finance and Accounting

JF - Review of Quantitative Finance and Accounting

ER -

Returns Transmission, Value at Risk, and Diversification Benefits in International REITs: Evidence from the Financial Crisis

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