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Examining volatility spillover in Asian REIT markets
15 references·0 citing·35 second hop
Examining volatility spillover in Asian REIT markets (2013)Examining volatility spillover in Asian R…The integration of direct real estate and stock markets in Asia (2014)The integration of direct rea…The Dynamics of Returns and Volatility in the Emerging and Developed Asian Reit Markets (2012)The Dynamics of Returns and V…Investment Dynamics of the Greater China Securitized Real Estate Markets (2012)Investment Dynamics of the Gr…The Development and Performance of REITs in Hong Kong (2010)The Development and Performan…REIT volatility prediction for skew-GED distribution of the GARCH model (2009)REIT volatility prediction fo…A Comparison of Alternative Forecast Models of REIT Volatility (2009)A Comparison of Alternative F…Modeling Long Memory in REITs (2008)Modeling Long Memory in REITsIntroductory econometrics for finance. 2nd edition (2008)Introductory econometrics for…Introductory Econometrics for Finance (2008)Introductory Econometrics for…Monetary Shocks and REIT Returns (2006)Monetary Shocks and REIT Retu…An Examination of Volatility Spillovers in REIT Returns (2002)An Examination of Volatility …Time varying risk premia for real estate investment trusts: A GARCH-M model (2001)Time varying risk premia for …Time-Series Properties and Diversification Benefits of REIT Returns (1999)Time-Series Properties and Di…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Econometric Analysis of Cross Section and Panel Data (2001)Oil prices and the stock prices of alternative energy companies (2007)Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)The Impact of Corporate Social Responsibility Disclosure on Financial Performance: Evidence from the GCC Islamic Banking Sector (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)REITs and Idiosyncratic Risk (2004)Investing for the Long-run in European Real Estate (2007)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Common risk factors in the returns on stocks and bonds (1993)Investor Sentiment and REIT Returns (2008)Emission trading and carbon market performance in Shenzhen, China (2017)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Long memory and level shifts in REITs returns and volatility (2015)Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis (2021)On the dynamics of international real-estate-investment trust-propagation mechanisms: Evidence from time-varying return and volatility connectedness measuress (2021)Measuring and Testing the Impact of News on Volatility (1993)Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures (2012)ARCH modeling in finance (1992)Housing price volatility and its determinants (2009)Return and Volatility Transmission in U.S. Housing Markets (2011)Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty (2017)Expected stock returns and volatility (1987)Size and Book-to-Market Factors in Earnings and Returns (1995)Real estate markets and the macroeconomy: A dynamic coherence framework (2012)Adaptive market hypothesis: evidence from the REIT market (2013)Board diversity and firm performance: The Indonesian evidence (2011)Impact of oil price shocks on output, inflation and the real exchange rate: evidence from selected ASEAN countries (2015)Determinants of corporate financial performance relating to board characteristics of corporate governance in Indian manufacturing industry (2017)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 2008Introductory Econometrics for Finance3,662 cited
  • 2008Introductory econometrics for finance. 2nd edition462 cited
  • 2001Time varying risk premia for real estate investment trusts: A GARCH-M model120 cited
  • 2002An Examination of Volatility Spillovers in REIT Returns107 cited
  • 2006Monetary Shocks and REIT Returns106 cited
  • 1999Time-Series Properties and Diversification Benefits of REIT Returns104 cited
  • 2008Modeling Long Memory in REITs61 cited
  • 2009A Comparison of Alternative Forecast Models of REIT Volatility54 cited
  • 2009REIT volatility prediction for skew-GED distribution of the GARCH model44 cited
  • 2014The integration of direct real estate and stock markets in Asia43 cited
  • 2010The Development and Performance of REITs in Hong Kong35 cited
  • 2012The Dynamics of Returns and Volatility in the Emerging and Developed Asian Reit Markets33 cited
  • 2012Investment Dynamics of the Greater China Securitized Real Estate Markets29 cited

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