Similar Search Results

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

Linear and nonlinear predictability of international securitized real estate returns : a reality check

Cabrera, Juan; Wang, T'ao; Yang, Jianke - In: The journal of real estate research 33 (2011) 4, pp. 565-594

Persistent link: https://www.econbiz.de/10009491970

Fractional cointegration analysis of securitized real estate

Serrano, Camilo; Hoesli, Martin - 2009

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...

Persistent link: https://www.econbiz.de/10003970286

Bubble detection and crash prediction in real estate markets: a complex systems approach

Brauers, Maximilian - 2012

Persistent link: https://www.econbiz.de/10009685444

Forecasting the discounts of market prices from appraised values for real estate limited partnerships

Barber, Brad M. - In: Real estate economics : journal of the American Real … 24 (1996) 4, pp. 471-491

Persistent link: https://www.econbiz.de/10001213323

Fractional cointegration analysis of securitized real estate

Serrano, Camilo; Hoesli, Martin - In: The journal of real estate finance and economics 44 (2012) 3, pp. 319-338

Persistent link: https://www.econbiz.de/10009540818

Google search volume sentiment and its impact on REIT market movements

Braun, Nicole - In: Journal of property investment & finance 34 (2016) 3, pp. 249-262

Persistent link: https://www.econbiz.de/10011489434

A Comparison of Alternative Forecast Models of REIT Volatility

Zhou, Jian - 2010

This study compares the relative performance of several well-known models in the forecasting of REIT volatility …-memory counterparts (GARCH & Stochastic Volatility models) over a variety of forecast horizons. We also find that asymmetric models … Stevenson (2008) which demonstrates the usefulness of long-memory models in modeling REIT volatility. We conclude that in …

Persistent link: https://www.econbiz.de/10013136789

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

Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach

Salisu, Afees A.; Gupta, Rangan; Bouri, Elie - 2022

Persistent link: https://www.econbiz.de/10012820363

1
2
3
4
5
6
7
8
9
10
Next
Last