Islamic REIT response to macroeconomic factors: a markov regime switching auto regressive approach
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More about this item
Keywords
Shariah (Islamic) REIT Index; diversification; Markov regime switching;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-SEA-2015-06-27 (South East Asia)
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