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Forecasting REIT volatility with high-frequency data : a comparison of alternative methods

Zhou, Jian - In: Applied economics 49 (2017) 26, pp. 2590-2605

Persistent link: https://www.econbiz.de/10011819614

A Comparison of Alternative Forecast Models of REIT Volatility

Zhou, Jian - 2010

This study compares the relative performance of several well-known models in the forecasting of REIT volatility …-memory counterparts (GARCH & Stochastic Volatility models) over a variety of forecast horizons. We also find that asymmetric models … Stevenson (2008) which demonstrates the usefulness of long-memory models in modeling REIT volatility. We conclude that in …

Persistent link: https://www.econbiz.de/10013136789

Forecasting the discounts of market prices from appraised values for real estate limited partnerships

Barber, Brad M. - In: Real estate economics : journal of the American Real … 24 (1996) 4, pp. 471-491

Persistent link: https://www.econbiz.de/10001213323

Fractional cointegration analysis of securitized real estate

Serrano, Camilo; Hoesli, Martin - 2009

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...