Contagion effects between real estate and macroeconomic factors across Great China Area based on Copula-ARMAX-EGARCH model

• Main Authors: Shih-Chia Chen, 陳詩佳
• Other Authors: Wo-Chiang Lee
• Format: Others
• Language: en_US
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/11673680362010626203

碩士 === 淡江大學 === 財務金融學系碩士班 === 99 === The purpose of this paper fits dynamics distribution housing indices returns estimates the severity of contagion effect across Great China Area real estate markets based on Copula-ARMAX-EGARCH. Although the model is rare in literatures, it provides a better fit due to exogenous variables. Even though Copula could comprehensively capture the correlation of any two real estate volatilities of these areas, it fails once an extreme event outbreaks, but tail dependence could exactly estimate the bilateral degree of correlation in that case. In view of the great influence of U.S. subprime mortgage to global economy, understanding the contagion effects between any two of these areas property markets is urgent.