【5月21日】广州：Asymmetric Correlation and Volati

讲座题目：Asymmetric Correlation and Volatility Dynamics　among Stock, Bond, and Securitized Real Estate Markets
 
摘要：
We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bond, and their real estate counterparts (REITs and CMBS) from 1999 to 2008.  We document, for the first time, evidence for asymmetric volatilities and correlations in CMBS and REITs. Due to their high levels of leverage, REIT returns exhibit stronger asymmetric volatilities. Also, both REIT and stock returns show strong evidence of asymmetries in their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the sample period. There is also the evidence that corporate bonds and CMBS may provide diversification benefits for stocks and REITs. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these conditional correlations and that there is a significant structural break in the correlations caused by the recent financial crisis.  
 
时间：2010年5月21日（周五）上午：10:00-11:30
 
地点：汪道涵会议室
 
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中山大学经济研究所、岭南实证与计量研究中心、经济系