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Stock returns, quantile autocorrelation, and volatility forecasting

Zhao, Yixiu; Upreti, Vineet; Cai, Yuzhi - In: International review of financial analysis 73 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012803612

Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil

Asai, Manabu; Brugal, Ivan - In: The North American journal of economics and finance : a … 25 (2013), pp. 202-213

Persistent link: https://www.econbiz.de/10009779296

A novel cluster HAR-type model for forecasting realized volatility

Yao, Xingzhi; Izzeldin, Marwan; Li, Zhenxiong - In: International journal of forecasting 35 (2019) 4, pp. 1318-1331

Persistent link: https://www.econbiz.de/10012305326

The Predictability of House Prices

Gu, Anthony Yanxiang - 2007

autocorrelation, autocorrelation shows a positive connection to volatility and a negative connection to rate of return …. Autocorrelation between longer time periods is mainly positive; it exhibits a negative relationship with volatility and a positive …The level and direction of autocorrelation in house price movements differ across areas and change over time. This …

Persistent link: https://www.econbiz.de/10014050596

Stock return predictability and variance risk premia around the ZLB

Ogawa, Toshiaki; Ubukata, Masato; Watanabe, Toshiaki - 2020

Persistent link: https://www.econbiz.de/10013461530

Predicting stock realized variance based on an asymmetric robust regression approach

Zhang, Yaojie; He, Mengxi; Zhao, Yuqi; Hao, Xianfeng - In: Bulletin of economic research 75 (2023) 4, pp. 1022-1047

Persistent link: https://www.econbiz.de/10014435626

Discovering the drivers of stock market volatility in a data-rich world

Chun, Dohyun; Cho, Hoon; Ryu, Doojin - In: Journal of international financial markets, … 82 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014245870

Portfolio Optimization of Global Reits Returns : High-Dimensional Copula-Based Approach

Tansuchat, Roengchai - 2017

Pacific, Europe, USA, and emerging markets with multivariate t copula based on GARCH model, and to measure portfolio risk with value at risk (VaR) and component VaR (CVaR). The 1,454 REIT price index return observations were collected from 1 Dec 2009 to 29 June 2015 and calculated based on a...

Persistent link: https://www.econbiz.de/10012961894

Local Beta : Have Location Risks Been Priced in REIT Returns?

Zhu, Bing; Lizieri, Colin - 2021

This paper studies the pricing of the risk associated with the location of the assets. The location risk is measured by ‘local beta’, which combines the systematic risk of local property markets and the property allocation strategy of real estate firms. The empirical results confirm a higher...

Persistent link: https://www.econbiz.de/10013239899

Removing Biases in Computed Returns : An Analysis of Bias in Equally-Weighted Return Indexes of REITs

Fisher, Lawrence - 2010

In this paper, we apply the method for removing the upward bias in returns in equally-weighted return indexes developed by Fisher, Weaver, and Webb (2010) to REIT stocks in the US. While we find significant bias in this index, two trends are evident: first, there is less overall bias than in...

Persistent link: https://www.econbiz.de/10013142144