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International volatility transmission of reit returns

Li, Deqing Diane; Lin, YingChou; Jin, John - In: The international journal of business and finance … 6 (2012) 3, pp. 41-51

Persistent link: https://www.econbiz.de/10009621170

Correlation and Volatility Dynamics in REIT Returns : Performance and Portfolio Considerations

Fei, Peng - 2010

We examine the dynamics in correlations and volatility of REITs, stock and direct real estate returns using the monthly data from Jan 1987 to May 2008. To explore asymmetries in conditional correlation, the multivariate asymmetric dynamic diagonal conditional correlation (AD‐DCC) GARCH...

Persistent link: https://www.econbiz.de/10013145401

Real estate investment : market volatility and optimal holding period under risk aversion

Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice; … - In: Economic modelling 58 (2016), pp. 543-555

Persistent link: https://www.econbiz.de/10011647530

Idiosyncratic risk and spillover effect in REIT returns

Hui, Eddie Chi Man; Wang, Ziyou - In: International journal of strategic property management 22 (2018) 6, pp. 457-470

Persistent link: https://www.econbiz.de/10011998439

Searching for assets to hedge against inflation in the U.S. market

Chiang, Thomas C. - In: Review of Pacific Basin financial markets and policies … 27 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10014575253

The dynamic role of the Japanese property sector REITs in mixed-assets portfolio

Muhammad Zaim Razak - In: Journal of property investment & finance 41 (2023) 2, pp. 208-238

Persistent link: https://www.econbiz.de/10014294845

Extreme return and volatility connectedness among real estate tokens, REITs, and other assets : Tthe role of global factors and portfolio implications

Abdullah, Mohammad; Adeabah, David; Abakah, Emmanuel … - In: Finance research letters 56 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014473599

Asymmetric volatility transmission and hedging strategies among REIT, stock, and oil markets

Mensi, Walid; Jiang, Zhuhua; Xuan Vinh Vo; Yoon, Seong-min - In: Australian economic papers 62 (2023) 4, pp. 597-615

Persistent link: https://www.econbiz.de/10014443716

Commercial real estate investments and the term structure of risk and return

Rehring, Christian - 2010

Persistent link: https://www.econbiz.de/10008858368

Modeling long memory in REITs

Cotter, John; Stevenson, Simon - In: Real estate economics : journal of the American Real … 36 (2008) 3, pp. 533-554

Persistent link: https://www.econbiz.de/10003764888

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