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The Dynamics of Return Volatilty and Systematic Risk in International Real Estate Security Markets
16 references·4 citing·31 second hop
The Dynamics of Return Volatilty and Systematic Risk in International Real Estate Security Markets (2007)The Dynamics of Return Volatilty and Syst…Stock market integration and financial crises: the case of Asia (2003)Stock market integration and …Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…Does International Diversification Work Better for Real Estate than for Stocks and Bonds? (1996)Does International Diversific…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Time-Varying World Market Integration (1995)Time-Varying World Market Int…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stock Returns and Volatility (1990)Stock Returns and VolatilityHeteroskedasticity in Stock Returns (1989)Heteroskedasticity in Stock R…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…An equilibrium model of the international capital market (1974)An equilibrium model of the i…The significance and performance of Singapore REITs in a mixed-asset portfolio (2015)The significance and performa…How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis (2013)How integrated are real estat…The Development and Performance of REITs in Hong Kong (2010)The Development and Performan…The significance and performance of property securities markets in the Asian IFCs (2009)The significance and performa…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)The variation of certain speculative prices (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Note on Uncertainty and Indifference Curves (1969)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Value and Momentum Everywhere (2013)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 1990Stock Returns and Volatility722 cited
  • 1995Time-Varying World Market Integration594 cited
  • 1989Heteroskedasticity in Stock Returns479 cited
  • 2003Stock market integration and financial crises: the case of Asia307 cited
  • 1996

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Does International Diversification Work Better for Real Estate than for Stocks and Bonds?
161 cited

Cited by

  • 2010The Development and Performance of REITs in Hong Kong35 cited
  • 2015The significance and performance of Singapore REITs in a mixed-asset portfolio30 cited
  • 2013How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis20 cited
  • 2009The significance and performance of property securities markets in the Asian IFCs19 cited