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The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying? · Study

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ArticleThe Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?

Shaun Alexander Bond2003

Article2003

The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?

Shaun Alexander Bond · Kanak Patel

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

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Financial Markets and Investment Strategies Housing Market and Economics Financial Risk and Volatility Modeling

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1959Portfolio Selection: Efficient Diversification of Investments 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1992ARCH modeling in finance

Cited by

2003A Measure of Fundamental Volatility in the Commercial Property Market 2015The day-of-the-week effect is weak: Evidence from the European real estate sector 2007The Underlying Return‐Generating Factors for REIT Returns: An Application of Independent Component Analysis 2011How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test 2013Regional and global contagion in real estate investment trusts

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Year2003

Typearticle

Published2003-03-01

VenueThe Journal of Real Estate Finance and Economics

ISSN-L0895-5638

Languageen

Citations51

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1023/a:1022939127383

openalex_workW2170493568

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2006

The Friday Effect in European Securitized Real Estate Index Returns