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Pan European opportunistic strategy

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The return performance of Real Estate Investment Trusts (REITs) and portfolio diversification benefits : evidence from the European market

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Performance stability of Turkish REITs

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German real estate returns in international comparison

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Modeling time-varying conditional betas : a comparison of methods with application for REITs

Aloy, Marcel; Laly, Floris; Laurent, Sébastien; … - In: Recent econometric techniques for macroeconomic and …, (pp. 229-264). 2021

Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor models. This chapter proposes a review of different time series models used to estimate static and time-varying betas, and a comparison on real data. The analysis is performed on the USA and developed...

Persistent link: https://www.econbiz.de/10012395467