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Equity and fixed income markets as drivers of securitised real estate

Cheong, Chee Seng; Gerlach, Richard; Stevenson, Simon; … - In: Review of financial economics : RFE 18 (2009) 2, pp. 103-111

Persistent link: https://www.econbiz.de/10003901003

Monetary policy, term structure and asset return : comparing REIT, housing and stock

Chang, Kuang-liang; Chen, Nan-kuang; Leung, Charles Ka Yui - In: The journal of real estate finance and economics 43 (2011) 1/2, pp. 221-257

Persistent link: https://www.econbiz.de/10009302901

REIT risk premium sensitivity and interest rates

Swanson, Zane; Theis, John; Casey, K. Michael - In: The journal of real estate finance and economics 24 (2002) 3, pp. 319-330

Persistent link: https://www.econbiz.de/10001697903

US REITs' Returns Sensitivity to Interest Rates after the Global Financial Crisis

Morri, Giacomo - 2017

Purpose: This paper investigates whether US REITs' returns have been sensitive to the monetary policy introduced after the Global Financial Crisis of 2008. Design/methodology/approach: For the period from 1995 to 2015, we tested the correlation between US REITs' returns and interest rates, since...

Persistent link: https://www.econbiz.de/10012951320

Varying interest rate sensitivity of different property sectors : cross-country evidence from REITs

Lin, Yu-Cheng; Lee, Chyi Lin; Newell, Graeme - In: Journal of property investment & finance 40 (2022) 1, pp. 68-98

Persistent link: https://www.econbiz.de/10012990449

Should REIT investors be concerned about changing economic conditions?

Červený, Martin - In: European financial and accounting journal : EFAJ 13 (2018) 3, pp. 21-36

Particle Filter algorithms for filtering latent states (volatility and jumps) of Stochastic-Volatility Jump-Diffusion (SVJD) models are being explained. Three versions of the SIR particle filter with adapted proposal distributions to the jump occurrences, jump sizes, and both are derived and...

Persistent link: https://www.econbiz.de/10012118673