Council of Real Estate Investment Fiduciaries (NCREIF) index. NCREIF total return and appreciation indexes are smooth and exhibit strong autocorrelation and autoregressive heteroscedasticity. We test the information transmission from the NAREIT index to the NCREIF index. In our VAR analysis, the...

It is well known that volatility is time-varying and clustered. However, few studies have explored the information content of volatility clustering and its implications for investors’ risk aversion. This information is particularly important in turbulent periods, such as financial crisis. We...