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The Interaction of Volatility, Volume and Skewness : Empirical Evidence from REITs
Akimov, Alexey - 2017
respect to both returns and volatility. We also find evidence supportive of Hong and Stein's (2003) Investor Heterogeneity …
Persistent link: https://www.econbiz.de/10012963203
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Return patterns of German open-end real estate funds : an empirical explanation of smooth fund returns
Gläsner, Sebastian Michael - 2010
Persistent link: https://www.econbiz.de/10003933039
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The interaction of volatility, volume and skewness : empirical evidence from REITs
Akimov, Alexey; Hutson, Elaine; Stevenson, Simon - 2013
Persistent link: https://www.econbiz.de/10010239516
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Idiosyncratic risk and spillover effect in REIT returns
Hui, Eddie Chi Man; Wang, Ziyou - In: International journal of strategic property management 22 (2018) 6, pp. 457-470
Persistent link: https://www.econbiz.de/10011998439
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Volatility analysis of REITs : empirical evidence for the EU peripheral countries
Begiazi, Kyriaki; Asteriou, Dimitrios - In: International journal of banking, accounting and finance 6 (2015) 2, pp. 87-98
Persistent link: https://www.econbiz.de/10011607417
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Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets
Yang, Jian - 2010
. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these …
Persistent link: https://www.econbiz.de/10013139729
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Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets
Yang, Jian - 2012
. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these …
Persistent link: https://www.econbiz.de/10013101365
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Exploring a three-factor dependence structure of conditional volatilities : some quantile regression evidence from real estate investment trusts
Liow, Kim Hiang - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-13
We propose a simple three-factor pricing model, consisting of a local stock market index, a global REIT market index, and a global stock market index, to examine the dependence structure of conditional volatilities in the real estate investment trust (REIT) market from 11 countries over the...
Persistent link: https://www.econbiz.de/10013273545
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REIT-based pure-play portfolios : the case of property types
Geltner, David; Kluger, Brain - In: Real estate economics : journal of the American Real … 26 (1998) 4, pp. 581-612
Persistent link: https://www.econbiz.de/10001356671