Does REIT index hedge inflation risk? : new evidence from the tail quantile dependences of the Markov-switching GRG copula
Year of publication: |
January 2017
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Authors: | Chang, Kuang-Liang |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 39.2017, p. 56-67
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Subject: | Inflation rate | REIT return | Tail dependence | Inflation hedge ability | Markov-switching copula | Immobilienfonds | Real estate fund | Inflation | Multivariate Verteilung | Multivariate distribution | Hedging | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Schätzung | Estimation | Statistische Verteilung | Statistical distribution | Inflationsrate | Portfolio-Management | Portfolio selection |
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