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The Bennet decomposition and predictability of the U.S. REITs' profitability

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Conditional variance forecasts for long-term stock returns : a preprint

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

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Climate risks and prediction of sectoral REITs volatility : international evidence

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Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003 - This version: September 2003

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …

Persistent link: https://www.econbiz.de/10009764770

Forecasting realized (co)variances with a block structure Wishart autoregressive model

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012 - Current Draft: November 2008

The increased availability of high-frequency data provides new tools for forecasting of variances and covariances between assets. However, recent realized (co)variance models may suffer from a 'curse of dimensionality' problem similar to that of multivariate GARCH specifications. As a result,...

Persistent link: https://www.econbiz.de/10010407673