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Browsing Workspace (UPSpace) by Author "Caporin, Massimiliano"

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Contagion between real estate and financial markets : a Bayesian quantile-on-quantile approach

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) ...

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