Time-Varying Risk Premia for Size Effects on Equity REITS
Year of publication: |
2013
|
---|---|
Authors: | Chang, Guangdi ; Chang, Yi-Tsuo |
Published in: |
The International Journal of Business and Finance Research. - Vol. 7.2013, 4, p. 13-28
|
Subject: | Equity REITs | Size Effect | GARCH | VAR | Volatility | Leverage Effect |
-
The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj, (2014)
-
Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone, (2023)
-
High frequency vs. daily resolution : the economic value of forecasting volatility models 2nd ed
Lilla, Francesca, (2017)
- More ...
-
Time-Varying Risk Premia for Size Effects on Equity REITs
Chang, Guangdi, (2013)
-
Time-varying risk premia for size effects on equity reits
Chang, Guangdi, (2013)
-
Time-varying risk premia for size effects on equity reits
Chang, Guangdi, (2013)
- More ...