Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach

Author:

Salisu Afees A.,Gupta Rangan,Bouri ElieORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference80 articles.

1. Real estate markets and uncertainty, shocks: A variance causality approach;Ajmi;Frontiers in Finance and Economics,2014

2. How resilient are REITs to a pandemic? The COVID-19 effect;Akinsomi;Journal of Property Investment & Finance,2020

3. Real estate returns predictability revisited: novel evidence from the US REITs market;Akinsomi;Empirical Economics,2016

4. Tail dependence structures between economic policy uncertainty and foreign exchange markets: Nonparametric quantiles methods;Al-Yahyaee;International Economics,2020

5. An examination of the REIT return–implied volatility relation: A frequency domain approach;Anoruo;Journal of Economics and Finance,2017

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