responses of the assets. Both the variance decompositions and impulse responses suggest that the long-run REIT market …

traded REIT performance and privately traded direct real estate investment performance in three out of four U.S. real estate … significantly between the REIT and direct real estate markets regardless of sector and investment horizon. The findings have … as good substitutes in an investment portfolio with several years investment horizon. Second, they suggest that REIT …

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

, stock markets, causality, lead-lag, dependence …

model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …

- and out-of-sample, using predictive variables such as the dividend yield or the volatility risk premium …