Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis
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- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 303-315, March.
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More about this item
Keywords
REITs; International data; Realized volatility; Forecasting;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
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2021-03-08 (Financial Markets)
- NEP-FOR-2021-03-08 (Forecasting)
- NEP-RMG-2021-03-08 (Risk Management)
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