Browsing Scientific articles by Subject "Quantile-on-quantile model"
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Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach
(Peer reviewed; Journal article, 2021)We study contagion between Real Estate Investment Trusts (REITs) and the equity market in the U.S. over four sub-samples covering January, 2003 to December, 2017, by using Bayesian nonparametric quantile-on-quantile (QQ) ...