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Uncovering volatility dynamics in daily REIT returns

Cotter, John; Stevenson, Simon - 2007

Using a time-varying approach, this paper examines the dynamics of volatility in the real estate investment trust (REIT) sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of daily REIT volatility.The paper examines the factors that...

Persistent link: https://www.econbiz.de/10009475702

Effects of structural changes on the risk characteristics of REIT returns

Wu, Pei-shan; Huang, Chien-ming; Chiu, Chien-liang - In: International review of economics & finance : IREF 20 (2011) 4, pp. 645-653

Persistent link: https://www.econbiz.de/10009303899

An investigation into the drivers of Australian REIT merger and acquisition announcements

Ratcliffe, Chris; Dimovski, Bill - In: Journal of property investment & finance 31 (2013) 5, pp. 441-461

Persistent link: https://www.econbiz.de/10009790282

Real estate returns predictability revisited : novel evidence from the US REITs market

Akinsomi, Omokolade; Aye, Goodness C.; Babalos, Vassilios; … - In: Empirical economics : a journal of the Institute for … 51 (2016) 3, pp. 1165-1190

Persistent link: https://www.econbiz.de/10011554410

A multivariate analysis of United States and global real estate investment trusts

Begiazi, Kyriaki; Asteriou, Dimitrios; Pilbeam, Keith - In: International economics and economic policy : IEEP 13 (2016) 3, pp. 467-482

Persistent link: https://www.econbiz.de/10011714591

Investors' limited attention : evidence from REITs

Chen, Honghui; Harrison, David M.; Khoshnoud, Mahsa - In: The journal of real estate finance and economics 61 (2020) 3, pp. 408-442

Persistent link: https://www.econbiz.de/10012293194

Study of REIT ETF beta

Ivanov, Stoyu I. - In: Journal of risk finance : the convergence of financial … 17 (2016) 3, pp. 347-369

Persistent link: https://www.econbiz.de/10011628415

Oil prices and real estate investment trusts (REITs) : gradual-shift causality and volatility transmission analysis

Nazlıoğlu, Şaban; Gormus, N. Alper; Soytas, Uğur - In: Energy economics 60 (2016), pp. 168-175

Persistent link: https://www.econbiz.de/10011699889

The dynamics of volatility connectedness in international real estate investment trusts

Liow, Kim Hiang; Huang, Yuting - In: Journal of international financial markets, … 55 (2018), pp. 195-210

Persistent link: https://www.econbiz.de/10011984136

French, Dan W.; Price, S. McKay - In: The journal of real estate finance and economics 57 (2018) 1, pp. 43-63

Persistent link: https://www.econbiz.de/10012038836