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International Volatility Transmission of REIT Returns

Li, Deqing Diane - 2013

This study examines whether volatility of REIT returns can transmit across national borders. Two competing hypotheses … national borders. Using GARCH and EGARCH econometric models, international spillovers of volatility of REIT returns are found …

Persistent link: https://www.econbiz.de/10013090730

Forecasting international REITs volatility : the role of oil-price uncertainty

Wang, Jiqian; Gupta, Rangan; Çepni, Oğuzhan; Ma, Feng - 2021

Persistent link: https://www.econbiz.de/10012661162

Do traditional real estate ETFs increase the volatility of REITs?

Hardin, William G.; Hurwitz, Catalina; Parhizgari, Ali M. - In: Journal of real estate research : JRER ; a publication … 42 (2020) 4, pp. 439-475

Persistent link: https://www.econbiz.de/10012414424

Forecasting international REITs volatility : the role of oil-price uncertainty

Wang, Jiqian; Gupta, Rangan; Çepni, Oğuzhan; Ma, Feng - In: The European journal of finance 29 (2023) 14, pp. 1579-1597

Persistent link: https://www.econbiz.de/10014387948

Forecasting realized volatility of international REITs : the role of realized skewness and realized kurtosis

Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of forecasting 41 (2022) 2, pp. 303-315

Persistent link: https://www.econbiz.de/10012817752

Do Securitized Real Estate Markets Jump? International Evidence

Li, Jie - 2014

We apply a jump GARCH model to daily returns of the ten largest international securitized real estate markets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price...

Persistent link: https://www.econbiz.de/10013044490