Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis-Reference-Cited by-同舟云学术

Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis

Published:2021-08-31 Issue:2 Volume:41 Page:303-315
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Bonato Matteo¹²,Cepni Oguzhan³⁴^ORCID,Gupta Rangan⁵^ORCID,Pierdzioch Christian⁶

Affiliation:

1. Department of Economics and Econometrics University of Johannesburg Auckland Park South Africa

2. IPAG Business School Paris France

3. Department of Economics Copenhagen Business School Frederiksberg Denmark

4. Central Bank of the Republic of Turkey Ankara Turkey

5. Department of Economics University of Pretoria Hatfield South Africa

6. Department of Economics Helmut Schmidt University Hamburg Germany

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2813

Reference47 articles.

1. How resilient are REITs to a pandemic? The COVID-19 effect

2. Does realized skewness predict the cross-section of equity returns?

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

4. The Cross-Section of Volatility and Expected Returns

5. Long memory and level shifts in REITs returns and volatility

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