Caporin, Massimiliano; Gupta, Rangan; Ravazzolo, Francesco
(Elsevier, 2021-01)
We study contagion between Real Estate Investment Trusts (REITs) and the equity market in the U.S. over four sub-samples covering January, 2003 to December, 2017, by using Bayesian nonparametric quantile-on-quantile (QQ) ...