create a website

High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests. (2021). GUPTA, RANGAN ; Aye, Goodness C ; Hassapis, Christis ; Christou, Christina.
In: Working Papers.
RePEc:pre:wpaper:202159.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 39

References cited by this document

Cocites: 26

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Apergis, N., Christou, C., and Kynigakis, I. (2019). Contagion across US and European financial markets: Evidence from the CDS markets. Journal of International Money and Finance 96, 1–12.

  2. Bollerslev, T., Patton, A.J., and Wang, W. (2016). Daily house price index: construction modelling and longer-run predictions. Journal of Applied Econometrics 31, 1005-1025.

  3. Bond, S.A., Dungey, M., and Fry, R. (2006). A web of shocks: crises across Asian real estate markets. The Journal of Real Estate Finance and Economics 32(3), 253–274.

  4. Bouri, E., Gupta, R., and Wang, S. (2020). Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach.

  5. Canarella, G., Miller, S.M., and Pollard, S. (2012). Unit roots and structural change: an application to US house price indices. Urban Studies 49(4), 757–776.

  6. Caporin, M. Gupta R., and Ravazzolo F. (2021). Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. North American Journal of Economics and Finance 55, 101347.

  7. Caporin, M., Pelizzon, L., Ravazzolo, F., and Rigobon, R. (2018). Measuring sovereign contagion in Europe. Journal of Financial Stability 34, 150–181.

  8. Chan, J., Fry-McKibbin, R., and Hsiao, C. (2019). A Regime Switching Skew-normal Model of Contagion. Studies in Nonlinear Dynamics and Econometrics 23(1), 20170001.

  9. Cotter, J., and Stevenson, S. (2006). Multivariate modeling of daily REIT volatility. The Journal of Real Estate Finance and Economics 32(3), 305–325.

  10. Dooley, M., and Hutchison, M. (2009). Transmission of the U.S. subprime crisis to emerging markets: evidence on the decoupling–recoupling hypothesis. Journal of International Money and Finance 28, 1331–1349.

  11. Dornbusch, R., Park, Y.C., and Claessens, S. (2000). Contagion: Understanding How It Spreads. The World Bank Research Observer 15(2), 177-197.

  12. Forbes, K., and Rigobon, R. (2002). No contagion, only interdependence: measuring stock market comovements. The journal of Finance 57, 2223–2673.
    Paper not yet in RePEc: Add citation now
  13. Fry-McKibbin, R., and Hsiao, C.Y. (2018). Extremal dependence tests for contagion. Econometric Reviews 37, 626–649.

  14. Fry, R., Martin, V.L., and Tang, C. (2010). A new class of tests of contagion with applications to real estate markets. Journal of Business and Economic Statistics 28(3), 423–437.

  15. Gerlach, R., Wilson, P., and Zurbruegg, R. (2006). Structural Breaks and Diversification: The Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets. Journal of International Money and Finance 25(6), 974–991.

  16. Ghysels, E., Plazzi, A., Torous, W.N., and Valkanov, R.I. (2013). Forecasting Real Estate Prices. Handbook of Economic Forecasting Vol. II, in G. Elliott and A. Timmermann, eds., Elsevier, 509-580.

  17. Guo, F., Chen, C.R., and Huang, Y-S. (2011). Markets contagion during financial crisis: A regime-switching approach? International Review of Economics & Finance 20(1), 95–109.

  18. Hiang L.K. (2012). Co-movements and correlations across Asian securitized real estate and stock markets. Real Estate Economics 40(1), 97–129.
    Paper not yet in RePEc: Add citation now
  19. Hoesli, M., and Reka, K. (2013). Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets. Journal of Real Estate Finance and Economics 47, 1– 35.

  20. Hoesli, M., and Reka, K. (2015). Contagion channels between real estate and financial markets. Real Estate Economics 43(1), 101–138.

  21. Hui, E.C.M., and Chan, K.K.K. (2012). Are the global real estate markets contagious?,International Journal of Strategic Property Management 16(3), 219–235.
    Paper not yet in RePEc: Add citation now
  22. Hui, E.C.M., and Chan, K.K.K. (2013). Contagion across real estate and equity markets during European sovereign debt crisis. International Journal of Strategic Property Management 17(3), 305–316.

  23. Hui, E.C.M., and Chan, K.K.K. (2018). Is there really any Contagion among Major Equity and Securitized Real Estate Markets? Analysis from a New Perspective. Journal of Real Estate Finance and Economics 56, 567–586.
    Paper not yet in RePEc: Add citation now
  24. Hui, E.C.M., and Zheng, X. (2012). Exploring the dynamic relationship between housing and retail property markets: an empirical study of Hong Kong. Journal of Property Research 29(2), 85–102.

  25. International Journal of Finance and Economics. DOI: https://doi.org/10.1002/ijfe.2261.
    Paper not yet in RePEc: Add citation now
  26. Jorion, P., and Zhang, G. (2007). Good and bad credit contagion: Evidence from credit default swaps. Journal of Financial Economics 84, 860–883.

  27. Jorion, P., and Zhang, G. (2009). Credit contagion from counterparty risk. The Journal of Finance 64, 2053–2087.

  28. Kim, Y.S., and Rous, J.J. (2012). House price convergence: Evidence from US state and metropolitan area panels. Journal of Housing Economics 21(2), 169-186.

  29. King, M.A., and Wadhwani, S. (1990). Transmission of volatility between stock markets. The Review of Financial Studies 3, 5–33.

  30. Liow, K. H. (2008) Financial crisis and asian real estate securities market interdependence: some additional evidence. Journal of Property Research, 25(2), 127– 155.

  31. Nyakabawo, W., Gupta, R., and Marfatia, H.A. (2018). High frequency impact of monetary policy and macroeconomic surprises on US MSAs, aggregate US housing returns and asymmetric volatility. Advances in Decision Sciences 22(1), 204-229.

  32. Ryan, L. (2011) Nowhere to hide: an analysis of investment opportunities in listed property markets during financial market crises. Journal of Property Research 28(2), 97–131.
    Paper not yet in RePEc: Add citation now
  33. Segnon, M., Gupta, R., Lesame, K., and Wohar, M.E. (2021). High-Frequency Volatility Forecasting of US Housing Markets. The Journal of Real Estate Finance and Economics 62, 283–317.

  34. Wang, W. (2014). Daily house price indexes: volatility dynamics and longer-run predictions. Ph.D. Thesis, Duke University, Available for download from: https://dukespace.lib.duke.edu/dspace/handle/10161/8694.
    Paper not yet in RePEc: Add citation now
  35. Wilson, P. J., Stevenson, S., and Zurbruegg, R. (2007). Measuring spillover effects across Asian property stocks. Journal of Property Research 24(2), 123–138.

  36. Wilson, P., and Zurbruegg, R. (2004). Contagion or interdependence? Evidence from comovements in Asia-Pacific securitised real estate markets during the 1997 crisis. Journal of Property Investment & Finance 22(5), 401–413.
    Paper not yet in RePEc: Add citation now
  37. Yunus, N. (2009). Increasing convergence between U.S. and international securitized property markets: evidence based on cointegration tests. Real Estate Economics 37(3), 383–411.

  38. Yunus, N., and Swanson, P. E. (2007). Modelling linkages between US and AsiaPacific securitized property markets. Journal of Property Research 24(2), 95–122.

  39. Zhou, J. (2010). Comovement of international real estate securities returns: a wavelet analysis. Journal of Property Research 27(4), 357–373.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Japanese stock market sectoral dynamics: A time and frequency analysis. (2025). el Khoury, Rim ; Polat, Onur ; Alshater, Muneer M.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1249-1274.

    Full description at Econpapers || Download paper

  2. The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets. (2025). Yfanti, Stavroula ; Wu, Jiaying ; Karanasos, Menelaos.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000066.

    Full description at Econpapers || Download paper

  3. Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness. (2024). Polat, Onur.
    In: Financial Innovation.
    RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00581-4.

    Full description at Econpapers || Download paper

  4. High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests. (2024). GUPTA, RANGAN ; Aye, Goodness C ; Hassapis, Christis ; Christou, Christina.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:69:y:2024:i:2:d:10.1007_s11146-022-09919-8.

    Full description at Econpapers || Download paper

  5. Dynamics of Contagion Risk Among World Markets in Times of Crises: A Financial Network Perspective. (2024). Saleh, Mamdouh Abdulaziz ; el Aoufi, Sara ; Belcaid, Karim.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:31:y:2024:i:4:d:10.1007_s10690-023-09439-2.

    Full description at Econpapers || Download paper

  6. Financial contagion dynamics from the US to the PIIGS amidst the global financial crisis. (2024). Tzomakas, Christos.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924001017.

    Full description at Econpapers || Download paper

  7. Confidence spillovers, financial contagion, and stagnation. (2024). Platonov, Konstantin.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001505.

    Full description at Econpapers || Download paper

  8. Dynamic credit risk transmissions among global major industries: Evidence from the TVP-VAR spillover approach. (2024). Choi, Sun-Yong ; Lim, Seo-Yeon.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001761.

    Full description at Econpapers || Download paper

  9. Stability and risk contagion in the global sovereign CDS market under Russia-Ukraine conflict. (2024). Shen, Yiran ; Sun, Xiaolei ; Feng, Qianqian.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001293.

    Full description at Econpapers || Download paper

  10. Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods. (2024). Haddou, Samira.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000111.

    Full description at Econpapers || Download paper

  11. Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets. (2023). Apergis, Nicholas ; Tsionas, Mike G.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1137-1155.

    Full description at Econpapers || Download paper

  12. Crisis transmission degree measurement under crisis propagation model. (2023). Hallara, Slaheddine ; Bedoui-Belghith, Imen ; Jilani, Faouzi.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9.

    Full description at Econpapers || Download paper

  13. Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Yfanti, Stavroula ; Karanasos, Menelaos ; Zopounidis, Constantin ; Christopoulos, Apostolos.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831.

    Full description at Econpapers || Download paper

  14. Transmission of the 2007–2008 financial crisis in advanced countries of the European Union. (2023). Tomczak, Kamila.
    In: Bulletin of Economic Research.
    RePEc:bla:buecrs:v:75:y:2023:i:1:p:40-64.

    Full description at Econpapers || Download paper

  15. Transmission of the Greek crisis on the sovereign debt markets in the euro area. (2022). Tahi, Sofiane ; Kchaou, Oussama ; Bellalah, Makram.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-03938-z.

    Full description at Econpapers || Download paper

  16. Does the Relative Importance of the Push and Pull Factors of Foreign Capital Flows Vary Across Quantiles?. (2022). Wang, Xichen ; Yan, Cheng.
    In: IMF Economic Review.
    RePEc:pal:imfecr:v:70:y:2022:i:2:d:10.1057_s41308-021-00151-7.

    Full description at Econpapers || Download paper

  17. Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches. (2022). Choi, Sun-Yong.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001093.

    Full description at Econpapers || Download paper

  18. Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?. (2022). Vo, Xuan Vinh ; Ur, Mobeen ; El-Nader, Ghaith ; Alkhataybeh, Ahmad ; al Rababa, Abdel Razzaq.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001992.

    Full description at Econpapers || Download paper

  19. Covid-19 pandemic and spillover effects in stock markets: A financial network approach. (2022). Polyzos, Stathis ; Kampouris, Elias ; Samitas, Aristeidis.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003197.

    Full description at Econpapers || Download paper

  20. The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Zhang, YI ; Chen, Yajiao ; Zhou, Long ; Liu, Fang.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432.

    Full description at Econpapers || Download paper

  21. Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis. (2021). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Babalos, Vassilios.
    In: Empirical Economics.
    RePEc:spr:empeco:v:60:y:2021:i:2:d:10.1007_s00181-019-01783-5.

    Full description at Econpapers || Download paper

  22. High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests. (2021). GUPTA, RANGAN ; Aye, Goodness C ; Hassapis, Christis ; Christou, Christina.
    In: Working Papers.
    RePEc:pre:wpaper:202159.

    Full description at Econpapers || Download paper

  23. How do sovereign risk, equity and foreign exchange derivatives markets interact?. (2021). Ibhagui, Oyakhilome.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:97:y:2021:i:c:p:58-78.

    Full description at Econpapers || Download paper

  24. Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. (2021). Li, Yiou ; Yuan, Ying ; Wang, Xunhong.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:94:y:2021:i:c:p:401-414.

    Full description at Econpapers || Download paper

  25. EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients. (2020). TILFANI, Oussama ; Ferreira, Paulo ; Dionisio, Andreia ; el Boukfaoui, My Youssef.
    In: JRFM.
    RePEc:gam:jjrfmx:v:13:y:2020:i:5:p:91-:d:354926.

    Full description at Econpapers || Download paper

  26. What determines the portfolio investment flows to Central and Eastern European Countries in the European Union 2001-2017?. (2020). Tang, Donny.
    In: Theoretical and Applied Economics.
    RePEc:agr:journl:v:4(625):y:2020:i:4(625):p:21-42.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-23 07:57:49 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.