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A Comparison of Alternative Forecast Models of REIT Volatility · Study

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ArticleA Comparison of Alternative Forecast Models of REIT Volatility

Zhixin Kang2009

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Articlegreen2009

A Comparison of Alternative Forecast Models of REIT Volatility

54 citations·0/0 files stored·The Journal of Real Estate Finance and Economics

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Stock Market Forecasting Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1993A long memory property of stock market returns and a new model 1981Fractional Differencing 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2003Forecasting Volatility in Financial Markets: A Review

Cited by

2021Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis 2021On the dynamics of international real-estate-investment trust-propagation mechanisms: Evidence from time-varying return and volatility connectedness measuress 2017Modelling and predicting the Bitcoin volatility using GARCH models 2015Long memory and level shifts in REITs returns and volatility 2013Examining volatility spillover in Asian REIT markets

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2005Volatility Forecastingreport · 13 shared references 2008Modeling Long Memory in REITsarticle · 13 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 12 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 12 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 12 shared references 2005Volatility Transmission Models: A Surveypreprint · 12 shared references

Details

Year2009

Typearticle

Published2009-07-30

VenueThe Journal of Real Estate Finance and Economics

ISSN-L0895-5638

Languageen

Citations54

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s11146-009-9198-7

openalex_workW2096787983

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2019

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