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Volatility transmission: Evidence from U.K. REIT & stock market implied volatility (2023)
Journal Article
Katyoka, M., & Stevenson, S. (in press). Volatility transmission: Evidence from U.K. REIT & stock market implied volatility. Journal of Real Estate Portfolio Management, https://doi.org/10.1080/10835547.2023.2232118

This paper investigates volatility transmission in the U.K. REIT market. It considers how REIT volatility is related to implied volatility in both the overall stock market as well as that derived from traded options on REIT stocks. The multivariate a... Read More about Volatility transmission: Evidence from U.K. REIT & stock market implied volatility.