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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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