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Does the Diversification Potential of Securitized Real Estate Vary Over Time and Should Investors Care?
16 references·0 citing·24 second hop
Does the Diversification Potential of Securitized Real Estate Vary Over Time and Should Investors Care? (2012)Does the Diversification Potential of Sec…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…Panel Data Econometrics (2003)Panel Data EconometricsForecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…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…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators * (1987)PRACTITIONERS’ CORNER: Comput…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multivariate GARCH models: a survey (2006)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Capital Asset Pricing Model with Time-Varying Covariances (1988)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Measuring Economic Policy Uncertainty* (2016)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)
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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
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,701 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1993A long memory property of stock market returns and a new model3,282 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1994Threshold heteroskedastic models2,346 cited
  • 2003Panel Data Econometrics2,129 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,814 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,736 cited
  • 1987PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators *1,509 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH

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1,401 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model983 cited
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