Economic benefits and determinants of extreme dependences between REIT and stock returns

The study delivers new implications for risk management and asset allocation by investigating extreme dependences between real estate investment trust (REIT) and stock returns, where ‘extreme dependences’ refer to cross-asset linkages during extraordinary periods. It primarily differentiates itself from prior studies in three respects. First, it examines the role of asymmetric extreme dependences in establishing an optimal investment portfolio...