Uncovering Volatility Dynamics in Daily REIT Returns
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- John Cotter & Simon Stevenson, 2007. "Uncovering Volatility Dynamics in Daily REIT Returns," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 13(2), pages 119-128, January.
- John Cotter & Simon Stevenson, 2011. "Uncovering Volatility Dynamics in Daily REIT Returns," Papers 1103.5417, arXiv.org.
References listed on IDEAS
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- John Cotter & Simon Stevenson, 2006.
"Multivariate Modeling of Daily REIT Volatility,"
The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 305-325, May.
- Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany.
- John Cotter & Simon Stevenson, 2011. "Multivariate Modeling of Daily REIT Volatility," Papers 1103.5660, arXiv.org.
- John Cotter & Simon Stevenson, 2011. "Multivariate Modelling of Daily REIT Volatility," Working Papers 200517, Geary Institute, University College Dublin.
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Citations
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Cited by:
- John Cotter & Simon Stevenson, 2006.
"Multivariate Modeling of Daily REIT Volatility,"
The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 305-325, May.
- Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany.
- John Cotter & Simon Stevenson, 2011. "Multivariate Modeling of Daily REIT Volatility," Papers 1103.5660, arXiv.org.
- John Cotter & Simon Stevenson, 2011. "Multivariate Modelling of Daily REIT Volatility," Working Papers 200517, Geary Institute, University College Dublin.
- Simon Stevenson & Patrick Wilson & Ralf Zurbruegg, 2007.
"Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities,"
The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 705-715.
- Simon Stevenson & Pat Wilson & Ralf Zurbruegg, 2005. "Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities," ERES eres2005_323, European Real Estate Society (ERES).
- Leh-Chyan So & Jun-Yang Yu, 2015. "IMPROVED DETECTION OF RARE-EVENT RISK OF A PORTFOLIO WITH U.S. REITs," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-25, December.
- Chiuling Lu & Yiuman Tse & Michael Williams, 2013. "Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 293-318, February.
- Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.
- Wu, Pei-Shan & Huang, Chien-Ming & Chiu, Chien-Liang, 2011. "Effects of structural changes on the risk characteristics of REIT returns," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 645-653, October.
- Masud Alam, 2024. "Volatility in U.S. Housing Sector and the REIT Equity Return," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 505-544, October.
- De Santis, Paola & Drago, Carlo, 2014. "Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche [Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence]," MPRA Paper 59381, University Library of Munich, Germany.
- Liang Peng & Rainer Schulz, 2013. "Does the Diversification Potential of Securitized Real Estate Vary Over Time and Should Investors Care?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 310-340, August.
- Lee, Chien-Chiang & Chien, Mei-Se & Lin, Tsoyu Calvin, 2012. "Dynamic modelling of real estate investment trusts and stock markets," Economic Modelling, Elsevier, vol. 29(2), pages 395-407.
- Esta Lestari, 2012. "Spillover effects of the sub-prime mortgage crisis to the Asian stock markets," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 4(2), pages 181-194, April.
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