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Volatility Decomposition and Correlation in International Securitized Real Estate Markets
16 references·2 citing·26 second hop
Volatility Decomposition and Correlation in International Securitized Real Estate Markets (2008)Volatility Decomposition and Correlation …American Economic Review (2019)American Economic ReviewThe variation of certain speculative prices (1997)The variation of certain spec…Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)International stock market li…A Permanent and Transitory Component Model of Stock Return Volatility (1993)A Permanent and Transitory Co…The World Price of Covariance Risk (1991)The World Price of Covariance…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Alternative models for conditional stock volatility (1990)Alternative models for condit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…International Diversification of Investment Portfolios (1970)International Diversification…A general canonical correlation index. (1968)A general canonical correlati…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Macroeconomic and Financial Determinants of Comovement across Global Real Estate Security Markets (2016)Macroeconomic and Financial D…Dynamic correlations between REIT sub-sectors and the implications for diversification (2012)Dynamic correlations between …ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Efficient Capital Markets: II (1991)Investor Psychology and Asset Pricing (2001)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Upper Echelons: The Organization as a Reflection of Its Top Managers (1984)The Promise of Enterpreneurship as a Field of Research (2000)The Economics of Climate Change (2007)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 2019American Economic Review11,235 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1963The Variation of Certain Speculative Prices4,890 cited
  • 1997The variation of certain speculative prices4,513 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements887 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 1968A general canonical correlation index.569 cited
  • 1993International stock market linkages: Evidence from the pre- and post-October 1987 period561 cited

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1993
A Permanent and Transitory Component Model of Stock Return Volatility
501 cited

Cited by

  • 2012Dynamic correlations between REIT sub-sectors and the implications for diversification18 cited
  • 2016Macroeconomic and Financial Determinants of Comovement across Global Real Estate Security Markets15 cited