Browsing by Subject "Real estate investment trusts--Econometric models"

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Browsing by Subject "Real estate investment trusts--Econometric models"

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  • 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 ...
  • 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 ...
  • One stylized feature of financial volatility impacting the modeling process is long memory. This article examines long memory for alternative risk measures, observed absolute and squared returns for Daily Equity real estate ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...