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Correlation and volatility dynamics in international real estate securities markets
Liow, Kim Hiang; Ho, Kim-hin David; Ibrahim, Muhammad … - In: The journal of real estate finance and economics 39 (2009) 2, pp. 202-223
Persistent link: https://www.econbiz.de/10003873980
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Volatility spillovers, asymmetry and extreme events in securitized real estate returns
Hoesli, Martin; Reka, Kustrim - 2010
This paper analyzes the relationships between local and global securitized real estate markets, but also between securitized real estate and common stock markets. First, the volatility transmissions across markets are examined using an asymmetric t-BEKK (Baba-Engle-Kraft-Kroner) specification of...
Persistent link: https://www.econbiz.de/10008797759
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International direct real estate market linkages : evidence from time-varying correlation and cointegration tests
Liow, Kim Hiang - In: Journal of real estate literature : a publication of … 18 (2010) 2, pp. 283-312
Persistent link: https://www.econbiz.de/10009157806
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Voltality spillovers, assymmetry and extreme events in securitized real estate returns
Hoesli, Martin; Reka, Kustrim - 2010
Persistent link: https://www.econbiz.de/10008758759
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Mobilisation des entreprises de BTP et reconstruction des infrastructures : une première approche
Barjot, Dominique - In: Histoire, économie et société : HES ; époques … 18 (1999) 2, pp. 349-370
Persistent link: https://www.econbiz.de/10001465081
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A move toward European retail
Skinner, David - In: Journal of Property Investment & Finance 25 (2007) 2, pp. 166-178
Purpose – This report aims to examine the sectoral composition of Europe's real estate investment market, the factors … occur. Design/methodology/approach – The article examines the sectoral breakdown of Europe's real estate market and … describes the shift in the UK's sectoral breakdown over the past two decades. Economic convergence in Europe, the increasing …
Persistent link: https://www.econbiz.de/10014898162
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Predictable behavior of security returns and test of asset pricing models
Jegadeesh, Narasimhan - 1987
Typescript (photocopy).
Persistent link: https://www.econbiz.de/10009472143
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On the information content of idiosyncratic equity return variation
Rahman, Md. Arifur - University of Western Sydney; College of Business; … - 2007
Research in this thesis deals with some unexplored, or only partially explored, issues relating to the information content of volatility of the idiosyncratic component of asset returns at the firm and industry-level, both in the context of developed and emerging stock markets. Specific issues we...
Persistent link: https://www.econbiz.de/10009482095
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Large-scale asset purchases by the Federal Reserve: did they work?
Gagnon, Joseph; Raskin, Matthew; Remache, Julie; Sack, Brian - Federal Reserve Bank of New York - 2010
of securities, including securities that were not included in the purchase programs. These reductions in interest rates …
Persistent link: https://www.econbiz.de/10008489313
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The joint dynamics of liquidity, returns, and volatility across small and large firms
Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - Federal Reserve Bank of New York - 2005
This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using data that spans more than 3,000 trading days. We find...
Persistent link: https://www.econbiz.de/10005420598