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Are REITs a good shelter from financial crises? Evidence from the Asian markets
16 references·1 citing·36 second hop
Are REITs a good shelter from financial crises? Evidence from the Asian markets (2013)Are REITs a good shelter from financial c…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Analysis of Financial Time Series (2005)Analysis of Financial Time Se…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…Systematic Risk and Diversification in the Equity REIT Market (1996)Systematic Risk and Diversifi…Numerical distribution functions for unit root and cointegration tests (1996)Numerical distribution functi…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …The predictability of returns on equity REITs and their co-movement with other assets (1992)The predictability of returns…The Inflation-Hedging Effectiveness of Real Estate (1989)The Inflation-Hedging Effecti…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Real Estate Returns and Inflation (1987)Real Estate Returns and Infla…Portfolio Diversification and Return Benefits— Common Stock vs. Real Estate Investment Trusts (REITs) (1987)Portfolio Diversification and…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Real Estate Returns: A Comparison with Other Investments (1984)Real Estate Returns: A Compar…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…Impacts of corporate governance on Asian REITs performance (2017)Impacts of corporate governan…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Unit root tests for panel data (2001)Critical Values for Cointegration Tests (2010)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Time Series Analysis: Forecasting and Control (1977)Testing for unit roots in heterogeneous panels (2003)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)Diversification Categories in Investment Real Estate (1986)Price formation and the appraisal function in real estate markets (1991)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Econophysics review: I. Empirical facts (2011)The impact of the Russian-Ukrainian war on global financial markets (2023)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1996Numerical distribution functions for unit root and cointegration tests3,119 cited
  • 2006Analysis of Financial Time Series2,348 cited
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  • 1984Real Estate Returns: A Comparison with Other Investments335 cited
  • 1992The predictability of returns on equity REITs and their co-movement with other assets284 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited
  • 1987Real Estate Returns and Inflation217 cited
  • 1996Systematic Risk and Diversification in the Equity REIT Market150 cited
  • 1989The Inflation-Hedging Effectiveness of Real Estate130 cited
  • 1987

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Portfolio Diversification and Return Benefits— Common Stock vs. Real Estate Investment Trusts (REITs)
90 cited

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  • 2017Impacts of corporate governance on Asian REITs performance12 cited