Multivariate Modeling of Daily REIT Volatility-Reference-Cited by-同舟云学术

Multivariate Modeling of Daily REIT Volatility

Published:2006-03-29 Issue:3 Volume:32 Page:305-325
ISSN:0895-5638
Container-title:The Journal of Real Estate Finance and Economics
language:en
Short-container-title:J Real Estate Finan Econ

Author:

Cotter John,Stevenson Simon

Publisher

Springer Science and Business Media LLC

Subject

Urban Studies,Economics and Econometrics,Finance,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11146-006-6804-9.pdf

Reference32 articles.

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2. Bekeart G, Harvey C (1997) Emerging equity market volatility. J Financ Quant Anal 25:203–215

3. Bollerslev T, Woodridge J (1992) Quasi-maximum likelihood estimation and inference in models with time varying covariance's. Econom Rev 11:143–172

4. Black F (1976) Studies in stock price volatility changes. Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section, American Statistical Association, pp 177–181

5. Bond S, Hwang S (2003) A measure of fundamental volatility in the commercial property market. Real Estate Econ 31:577–600

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