Price and volatility dynamics between securitized real estate spot and futures markets
Year of publication: |
2013
|
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Authors: | Shi, Jing ; Xu, Pisun |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 35.2013, p. 582-592
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Subject: | Real estate futures | Asymmetric effect | Basis | Multivariate GARCH | Recursive cointegration analysis | Volatilität | Volatility | Kointegration | Cointegration | ARCH-Modell | ARCH model | Schätzung | Estimation | Immobilienmarkt | Real estate market | Immobilienfonds | Real estate fund | Verbriefung | Securitization | Immobilienpreis | Real estate price | Rohstoffderivat | Commodity derivative | Hedging |
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