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Price and volatility persistence of the US REITs market
Adekoya, Oluwasegun B.; Oduyemi, Gabriel O.; Oliyide, … - In: Future Business Journal 7 (2021), pp. 1-10
-memory behavior is established for REITs volatility, although mean reversion is slower during and after the crisis. These results are …
Persistent link: https://www.econbiz.de/10012668306
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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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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
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An examination of the REIT return-implied volatility relation : a frequency domain approach
Anoruo, Emmanuel; Murthy, Vasudeva N. R. - In: Journal of economics and finance 41 (2017) 3, pp. 581-594
Persistent link: https://www.econbiz.de/10011802168
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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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Long memory and level shifts in REITs returns and volatility
Assaf, Ata - In: International review of financial analysis 42 (2015), pp. 172-182
Persistent link: https://www.econbiz.de/10011573409
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Modeling Long Memory in Reits
Cotter, John; Stevenson, Simon - 2007
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long …-REIT equity indexes. The paper utilizes a variety of tests for long memory finding evidence that REIT volatility does display …
Persistent link: https://www.econbiz.de/10014057654
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Do oil-price shocks predict the realized variance of U.S. REITs?
Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Energy economics 104 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10013364407
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A test for the efficiency of Nigerian REITs stocks
Gil-Alaña, Luis A.; Umar, Hassana Babangida; Usman, … - In: Review of development finance 13 (2023) 2, pp. 35-43
Persistent link: https://www.econbiz.de/10014637440
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Can linear predictability models time bull and bear real estate markets? : out-of-sample evidence from REIT portfolios
Bianchi, Daniele; Guidolin, Massimo - In: The journal of real estate finance and economics 49 (2014) 1, pp. 116-164
Persistent link: https://www.econbiz.de/10010422318