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Browsing by Author "Stevenson, Simon"

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Asymmetry in REIT returns

Hutson, Elaine ; Stevenson, Simon (American Real Estate Society, 2008)

This study examines asymmetries in real estate investment trust (REIT) returns using a variety of metrics, and compares them to several stock indexes and the U.S. long-term government bond index. The findings reveal that ...
Modeling long memory in REITs

Cotter, John ; Stevenson, Simon (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2006-11)

One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares ...
Monetary policy & real estate investment trusts

Bredin, Donal ; O'Reilly, Gerard ; Stevenson, Simon (University College Dublin. School of Business. Centre for Financial Markets, 2007)

This paper assesses the response of Real Estate Investment Trusts (REIT's) to unexpected changes in US monetary policy. A critical element in this study is the use of futures markets to isolate unexpected changes in the ...
Monetary shocks and REIT returns

Bredin, Donal ; O'Reilly, Gerard ; Stevenson, Simon (University College Dublin. School of Business. Centre for Financial Markets, 2007)

We investigate the influence of unanticipated changes in US monetary policy on Equity Real Estate Investment Trusts (REIT’s). Although a number of studies have investigated the issue of interest rate changes, the effect ...
Multivariate modeling of daily REIT volatility

Cotter, John ; Stevenson, Simon (University College Dublin. School of Business. Centre for Financial Markets, 2005-04-25)

This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of ...
Multivariate modeling of daily REIT volatility

Cotter, John ; Stevenson, Simon (Springer Netherlands, 2006-05)

This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence ...
Openness, hedging incentives and foreign exchange exposure : a firm-level multi-country study

Hutson, Elaine ; Stevenson, Simon (Palgrave Macmillan, 2010-01)

The benefits of openness to trade are well established, but the disadvantages of openness are less well understood. At the firm level trade is the principal source of exposure to exchange rate movements, and exchange ...
Uncovering volatility dynamics in daily REIT returns

Cotter, John ; Stevenson, Simon (University College Dublin. School of Business. Centre for Financial Markets, 2004)

Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of daily REIT ...
Uncovering volatility dynamics in daily REIT returns

Cotter, John ; Stevenson, Simon (American Real Estate Society, 2007)

Using a time-varying approach, this paper examines the dynamics of volatility in the real estate investment trust (REIT) sector. The results highlight the attractiveness and suitability of using GARCH based approaches in ...