Browsing Centre for Financial Markets Working Papers by Author "Stevenson, Simon"

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Browsing Centre for Financial Markets Working Papers by Author "Stevenson, Simon"

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  • 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 ...
  • 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 ...
  • 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 ...
  • 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 (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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