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

Asian Economic and Financial Review

关键词: Submortgage crisis;    Copula model;    Contagion effect;    ARMAX-GJR-GARCH;   

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

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.

【 授权许可】

CC BY