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The information content of the NCREIF index
Li, Jinliang; Mooradian, Robert M.; Yang, Shiawee - In: The journal of real estate research 31 (2009) 1, pp. 93-116
Persistent link: https://www.econbiz.de/10003831660
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Returns of REITS and stock markets : measuring dependence and risk
Rong, Ning; Trück, Stefan - In: Journal of property investment & finance 28 (2010) 1, pp. 34-57
Persistent link: https://www.econbiz.de/10003940630
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Dynamic correlations across REIT sub-sectors
Chong, James; Krystalogianni, Alexandra; Stevenson, Simon - 2011
Persistent link: https://www.econbiz.de/10009376404
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Modelling the dependence structure between Australian equity and real estate markets : a copula approach
Rong, Ning; Trück, Stefan - In: Australasian accounting business and finance journal : AABF 8 (2014) 5, pp. 93-113
Persistent link: https://www.econbiz.de/10010520425
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An international analysis of REITs and stock portfolio management based on dynamic conditional correlation models
Lee, Yen-Hsien - In: Financial markets and portfolio management 28 (2014) 2, pp. 165-180
Persistent link: https://www.econbiz.de/10010358299
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Time-varying correlation between stock market returns and real estate returns
Heaney, Richard A.; Sriananthakumar, Sivagowry - In: Journal of empirical finance 19 (2012) 4, pp. 583-594
Persistent link: https://www.econbiz.de/10009615660
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Dynamic Correlations Among Asset Classes : REIT and Stock Returns
Case, Brad - 2011
We use the Dynamic Conditional Correlation model with Generalized Autoregressive Conditional Heteroskedasticity (DCC …-GARCH) developed by Engle (Journal of Business & Economic Statistics 20(3):339–350, 2002) to examine dynamics in the correlation of …
Persistent link: https://www.econbiz.de/10013130479
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Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets
Yang, Jian - 2010
We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S … their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the …
Persistent link: https://www.econbiz.de/10013139729
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The Information Content of the NCREIF Index
Li, Jinliang - 2012
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...
Persistent link: https://www.econbiz.de/10013116718
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Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets
Yang, Jian - 2012
We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S … their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the …
Persistent link: https://www.econbiz.de/10013101365