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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

Forecasting the realized variance of oil-price returns using machine learning : is there a role for U.S. state-level uncertainty?

Çepni, Oğuzhan; Gupta, Rangan; Pienaar, Daniel; … - In: Energy economics 114 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013477404

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

Volatility jumps and their determinants in REIT returns

Odusami, Babatunde Olatunji - In: Journal of economics & business 113 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012518307

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

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

Volatility analysis of precious metals returns and oil returns : an ICSS approach

Morales, Lucia; Andréosso-O'Callaghan, Bernadette - In: Journal of economics and finance 38 (2014) 3, pp. 492-517

Persistent link: https://www.econbiz.de/10010490962

New evidence of the marginal predictive content of small and large jumps in the cross-section

Yu, Bo; Mizrach, Bruce Marshall; Swanson, Norman R. - In: Econometrics : open access journal 8 (2020) 2/19, pp. 1-52

We investigate the marginal predictive content of small versus large jump variation, when forecasting one-week-ahead cross-sectional equity returns, building on Bollerslev et al. (2020). We find that sorting on signed small jump variation leads to greater value-weighted return differentials...

Persistent link: https://www.econbiz.de/10012265498

The VIX, the variance premium, and expected returns

Osterrieder, Daniela; Ventosa-Santaulària, Daniel; … - In: Journal of financial econometrics 17 (2019) 4, pp. 517-558

Persistent link: https://www.econbiz.de/10012149836

Conditional variance forecasts for long-term stock returns

Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - In: Risks : open access journal 7 (2019) 4/113, pp. 1-22

of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much …

Persistent link: https://www.econbiz.de/10012127861

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