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European Real Estate Risk and Spillovers: Regime Switching Approach

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Integrated Uncertainty in Knowledge Modelling and Decision Making (IUKM 2018)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 10758))

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Abstract

In this study, we employ an international version of the Capital Asset Pricing Model (ICAPM) to measure and examine the relationship between each of the 13 European national real estate returns and the European stock market returns over the period from January 1999 to December 2016. Our measure of this relationship is the time-varying European real estate beta, which is an index of European real estate’s systematic risk. This time varying beta of the ICAPM for a country’s real estate market is computed by the ratio of the covariance between the expected returns of each country and the European stock market portfolio to the variance of the expected returns on the European stock market portfolio. For this purpose, we first find the location of the crisis and period in time using a Markov Switching approach, Then the AR(1)-GJR(1)- Dynamic Conditional Correlation model is estimated to obtain both covariance and variance of each pair return.

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Authors and Affiliations

  1. Faculty of Economics, Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, Thailand

    Nisara Wongutai, Woraphon Yamaka & Roengchai Tansuchat

Authors
  1. Nisara Wongutai
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  2. Woraphon Yamaka
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  3. Roengchai Tansuchat
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Corresponding author

Correspondence to Roengchai Tansuchat .

Editor information

Editors and Affiliations

  1. Japan Advanced Institute of Science and Technology, Nomi, Japan

    Van-Nam Huynh

  2. Osaka University, Osaka, Japan

    Masahiro Inuiguchi

  3. Hanoi National University of Education, Hanoi, Vietnam

    Dang Hung Tran

  4. Université de Technologie de Compiègne, Compiègne, France

    Thierry Denoeux

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Wongutai, N., Yamaka, W., Tansuchat, R. (2018). European Real Estate Risk and Spillovers: Regime Switching Approach. In: Huynh, VN., Inuiguchi, M., Tran, D., Denoeux, T. (eds) Integrated Uncertainty in Knowledge Modelling and Decision Making. IUKM 2018. Lecture Notes in Computer Science(), vol 10758. Springer, Cham. https://doi.org/10.1007/978-3-319-75429-1_36

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  • DOI: https://doi.org/10.1007/978-3-319-75429-1_36

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-75428-4

  • Online ISBN: 978-3-319-75429-1

  • eBook Packages: Computer ScienceComputer Science (R0)

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