Uncovering volatility dynamics in daily REIT returns

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dc.contributor.author Cotter, John
dc.contributor.author Stevenson, Simon
dc.date.accessioned 2009-07-09T11:02:14Z
dc.date.available 2009-07-09T11:02:14Z
dc.date.issued 2004
dc.identifier.uri http://hdl.handle.net/10197/1239
dc.description.abstract 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 volatility. The paper examines the influencing factors on REIT volatility, documenting the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The results contrast with previous studies of monthly REIT volatility. Linkages within the REIT sector and with related sectors such as value stocks are diminished, while the general influence of market sentiment, coming through the large cap indices is enhanced. This would indicate that on a daily basis general market sentiment plays a more fundamental role than more intuitive relationships within the capital markets. en
dc.format.extent 271199 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher University College Dublin. School of Business. Centre for Financial Markets en
dc.relation.ispartofseries Centre for Financial Markets working paper series en
dc.relation.ispartofseries WP-04-21 en
dc.subject.lcsh Real estate investment trusts--Econometric models en
dc.subject.lcsh Analysis of variance en
dc.subject.lcsh Risk--Econometric models en
dc.title Uncovering volatility dynamics in daily REIT returns en
dc.type Working Paper en
dc.internal.authorid UCD0043
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://www.ucd.ie/bankingfinance/docs/cotter_stevenson_reit_volatility.PDF en
dc.status Not peer reviewed en
dc.neeo.contributor Cotter|John|aut|UCD0043
dc.neeo.contributor Stevenson|Simon|aut|


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