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Tail Dependence: The Impact of Risk Spillovers on Real Estate Markets in Times of Economic and Geo-Political Uncertainty
The first half of the 2020's has seen a degree of economic and geo-political uncertainty not observed since the 1970s. This paper looks at how listed real estate is exposed to capital market shocks by estimating Conditional Value-at-Risk (CoVaR), which captures the sensitivity of real estate returns
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