Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance-Reference-Cited by-同舟云学术

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Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

Published:2013-10-31 Issue:2 Volume:42 Page:279-342
ISSN:1080-8620
Container-title:Real Estate Economics
language:en
Short-container-title:Real Estate Economics

Author:

Case Brad¹,Guidolin Massimo²³,Yildirim Yildiray⁴

Affiliation:

1. National Association of Real Estate Investment Trusts (NAREIT); Washington DC 20006

2. Department of Finance, Bocconi University; Milan 21100 Italy

3. Manchester Business School; Manchester M15 6PB United Kingdom

4. Whitman School of Management; Syracuse University; Syracuse NY 13244

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference59 articles.

1. A New Look at the Statistical Model Identification;Akaike;IEEE Transactions on Automatic Control,1974

2. Comovement after Joining an Index: Spillovers of Nonfundamental Effects;Ambrose;Real Estate Economics,2007

3. Bley , J. D. Olson 2003 An Analysis of Relative Return Behavior: REITs vs. Stocks EFMA 2003 Helsinki Meetings

4. Generalized Autoregressive Conditional Heteroskedasticity;Bollerslev;Journal of Econometrics,1986

Cited by 12 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. Value Implications of REITing and De-REITing*;The Journal of Real Estate Finance and Economics;2023-03-14

2. Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment;The Journal of Real Estate Finance and Economics;2022-03-25

3. The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis;The Journal of Real Estate Finance and Economics;2020-08-10

4. Short-Term and Long-Term Discount Rates For Real Estate Investment Trusts;The Journal of Real Estate Finance and Economics;2020-02-26

5. Volatility causality and contagion in international securitized real estate markets;Journal of European Real Estate Research;2018-08-06

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