A comparison of realised measures for daily REIT volatility
Author:
Affiliation:
1. Gordan S. Lang School of Business and Economics, University of Guelph, Guelph, Canada
Publisher
Informa UK Limited
Subject
Urban Studies,Geography, Planning and Development
Link
https://www.tandfonline.com/doi/pdf/10.1080/09599916.2019.1693418
Reference47 articles.
1. Likelihood-Based Volatility Estimators in the Presence of Market Microstructure Noise
2. High-Frequency Financial Econometrics
3. Trading Mechanisms and Stock Returns: An Empirical Investigation
4. The distribution of realized stock return volatility
5. Jump-robust volatility estimation using nearest neighbor truncation
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3. Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis;Journal of Forecasting;2021-08-31
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