Ngene, Geoffrey M.; Manohar, Catherine Anitha; Julio, … - In: Journal of risk and financial management : JRFM 13 (2020) 11/282, pp. 1-28
, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence … aggregate effects of the sign and size of returns, business cycles, volatility, and REIT eras on the dependence structure of … daily, weekly, and monthly REIT returns. The study documents asymmetric and misaligned dependence patterns. A bad market …