REIT returns and volatility over the sample period from December 2001 to February 2013. We find that the liquidity crisis …The real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit … autoregressive conditional heteroscedasticity (GARCH) models we examine the impact of the liquidity crisis and investor sentiment on …

liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took … examines the liquidity of the secondary market for four German benchmark government bonds during this period. The analysis is … trading. The volatility of yields of the four bonds more than doubled in the wake of the Russian devaluation on August 17th …

liquidity provision mechanism in many markets under severe strain. As part of the large-scale portfolio rebalancing that took … examines the liquidity of the secondary market for four German benchmark government bonds during this period. The analysis is … trading. The volatility of yields of the four bonds more than doubled in the wake of the Russian devaluation on August 17th …

The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH … volatility. Moreover, when comparing with a benchmark and controlling for data snooping, we find that the proposed model yields …