Simon Stevenson

Tail Dependence: The Impact of Risk Spillovers on Real Estate Markets in Times of Economic and Geo‐Political Uncertainty

ABSTRACT 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 sensi...