Jirasakuldech, Benjamas; Campbell, Robert; Emekter, Riza - In: The Journal of Real Estate Finance and Economics 38 (2009) 2, pp. 137-154
We examine the dynamic behavior of Equity Real Estate Investment Trust (EREIT) volatility in a GARCH context 1972–2006 using monthly EREIT returns, and comparing volatility performance for “early” Equity REITs 1972–1992 with that of “modern” EREITs 1993–2006. Consistent with...