Forecasting international REITs volatility: the role of oil-price uncertainty-Reference-Cited by-同舟云学术

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Forecasting international REITs volatility: the role of oil-price uncertainty

Published:2022-10-26 Issue: Volume: Page:1-19
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Wang Jiqian¹²,Gupta Rangan³^ORCID,Çepni Oğuzhan⁴⁵,Ma Feng¹²^ORCID

Affiliation:

1. School of Economics and Management, Southwest Jiaotong University, Chengdu, People’s Republic of China

2. Service Science and Innovation Key Laboratory of Sichuan Province, Chengdu, People’s Republic of China

3. Department of Economics, University of Pretoria, Hatfield, South Africa

4. Department of Economics, Copenhagen Business School, Frederiksberg, Denmark

5. Central Bank of the Republic of Turkey, Ankara, Turkey

Funder

Natural Science Foundation of China

Natural Science Foundation of Sichuan Province

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2022.2137422

Reference50 articles.

1. Real estate returns predictability revisited: novel evidence from the US REITs market

2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

3. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

4. Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics

5. The Unprecedented Stock Market Reaction to COVID-19

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2. Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model;Energy Economics;2024-06

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