Ajmi, Ahdi N.; Babalos, Vassilios; Economou, Fotini; … - Department of Economics, Faculty of Economic and … - 2014
This paper investigates the impact of macroeconomic effects of uncertainty on the conditional volatility of US-listed Real Estate Investment Trusts (REITs). To this end we employ three widely accepted US REITs indices and the two uncertainty indices constructed by Baker et al. (2013). Our sample...