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.

1. Barkham R, Geltner D (1995) Price discovery in American and British property markets. Real Estate Econ 23:21–44

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

Cited by 122 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Dynamic relations between housing Markets, stock Markets, and uncertainty in global Cities: A Time-Frequency approach;The North American Journal of Economics and Finance;2023-09

2. Analyzing the Impacts of Property Age on REITs and the Reasons Why REITs Own Older Properties;The Journal of Real Estate Finance and Economics;2023-08-28

3. Volatility Transmission: Evidence from U.K. REIT & Stock Market Implied Volatility;Journal of Real Estate Portfolio Management;2023-08-09

4. Transitory and permanent shock transmissions between real estate investment trusts and other assets: Evidence from time‐frequency decomposition and machine learning;Accounting & Finance;2023-07-28

5. The dynamic role of the Japanese property sector REITs in mixed-assets portfolio;Journal of Property Investment & Finance;2023-01-09