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A multivariate analysis of United States and global real estate investment trusts
16 references·0 citing·33 second hop
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
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  • 2009Anticipating Correlations328 cited
  • 2007Is Financial Globalization Beneficial?208 cited
  • 2009Anticipating Correlations: A New Paradigm for Risk Management206 cited
  • 2006Multivariate Modeling of Daily REIT Volatility185 cited
  • 2009Price and volatility spillovers across North American, European and Asian stock markets164 cited
  • 2013Herding behavior in REITs: Novel tests and the role of financial crisis160 cited
  • 2003International Real Estate Returns: A Multifactor, Multicountry Approach159 cited
  • 2006Comovements in international stock markets

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158 cited
  • 2001Time varying risk premia for real estate investment trusts: A GARCH-M model120 cited
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