This paper investigates dynamic conditional correlations between stock and REIT markets in both Turkey and the U.S. We use an Asymmetric DCC - GJR - GARCH model to estimate the dynamic conditional correlation at daily, weekly, and monthly frequencies. Our contribution is threefold. First, we...

This paper investigates how to improve prediction accuracy of stock realized volatility using a large set of predictors. Exploiting normalized positive adjusted R-square and significant t statistic of predictor obtained from the in-sample result as weight, we develop two simple and effective...

The significant achievements in economic growth and urbanization in China have led to substantial increases of and great inequality in household carbon footprints (HCFs) recently. To achieve efficiency and justice in emissions reduction, policymakers need to fully understand the sources of HCFs...

The 2008 World Development Report identifies competition as an important variable of the rural investment climate. Competition triggers innovation and the productivity gains that drive economic growth, and with it the creation of jobs. Employment is generally the principal pathway that people...

The truncated Cornish–Fisher inverse expansion is well known. It is used, for example, to approximate value-at-risk and conditional value-at-risk. It is known that this expansion gives a distribution for limited skewness and kurtosis and that the distribution may be a poor fit. drawing on...