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Fractional cointegration analysis of securitized real estate
Serrano, Camilo; Hoesli, Martin - 2009
This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...
Persistent link: https://www.econbiz.de/10003970286
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Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach
Salisu, Afees A.; Gupta, Rangan; Bouri, Elie - 2022
Persistent link: https://www.econbiz.de/10012820363
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Forecasting international REITs volatility : the role of oil-price uncertainty
Wang, Jiqian; Gupta, Rangan; Çepni, Oğuzhan; Ma, Feng - 2021
Persistent link: https://www.econbiz.de/10012661162
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Climate risks and prediction of sectoral REITs volatility : international evidence
Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Bouri, Elie - 2024
Persistent link: https://www.econbiz.de/10014635867
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Support vector regression based GARCH model with application to forecasting volatility of financial returns
Chen, Shiyi (contributor); Jeong, Kiho (contributor);  … - 2008
financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10003636113
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Lock-in of extrapolative expectations in an asset pricing model
Lansing, Kevin J. (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002116841
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …
Persistent link: https://www.econbiz.de/10003821063
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10011431370
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Essays on empirical asset pricing and investor behavior
Westheide, Christian - 2011
Persistent link: https://www.econbiz.de/10009412402
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The empirical performance of option-based densities of foreign exchange
Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002542714