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Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis
16 references·1 citing·52 second hopsampled
Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis (2022)Modelling the asymmetric effect of COVID-…Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis (2022)Covid-19 impact on NFTs and m…How would the COVID-19 pandemic reshape retail real estate and high streets through acceleration of E-commerce and digitalization? (2021)How would the COVID-19 pandem…Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Crude Oil futures contracts a…COVID–19 media coverage and ESG leader indices (2021)COVID–19 media coverage and E…COVID‐19 and housing market effects: Evidence from U.S. shutdown orders (2021)COVID‐19 and housing market e…The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)The COVID-19 Outbreak and Aff…Searching for safe-haven assets during the COVID-19 pandemic (2020)Searching for safe-haven asse…Return connectedness across asset classes around the COVID-19 outbreak (2020)Return connectedness across a…Market reactions to the arrival and containment of COVID-19: An event study (2020)Market reactions to the arriv…How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020)How COVID-19 drives connected…COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market (2020)COVID–19’s Impact on Stock Pr…Coronavirus: Impact on Stock Prices and Growth Expectations (2020)Coronavirus: Impact on Stock …A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets (2020)A time–frequency analysis of …A First Look at the Impact of COVID-19 on Commercial Real Estate Prices: Asset-Level Evidence (2020)A First Look at the Impact of…Oil prices, US stock return, and the dependence between their quantiles (2015)Oil prices, US stock return, …Fractals and Intrinsic Time - a Challenge to Econometricians (1995)Fractals and Intrinsic Time -…How does climate policy uncertainty affect the carbon market? (2023)How does climate policy uncer…Fractional Brownian Motions, Fractional Noises and Applications (1968)The Relation Between Price Changes and Trading Volume: A Survey (1987)The variation of certain speculative prices (1997)Intra-day market activity (1999)Scaling properties of foreign exchange volatility (2001)A Multifractal Model of Asset Returns (2011)Oil and the Macroeconomy since World War II (1983)Estimating Production Functions Using Inputs to Control for Unobservables (2003)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2017)Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)The role of green finance in reducing CO2 emissions: An empirical analysis (2021)An Empirical Evaluation of Accounting Income Numbers (1968)The Adjustment of Stock Prices to New Information (1969)Event Studies in Economics and Finance (1997)COVID-19 and stock market volatility: An industry level analysis (2020)The impact of the COVID-19 lockdown on stock market performance: evidence from Vietnam (2020)Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? (2021)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is gold a safe haven? International evidence (2010)Financial markets under the global pandemic of COVID-19 (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)The Cash Flow Sensitivity of Cash (2004)The Cross‐Section of Volatility and Expected Returns (2006)Global financial crisis and COVID-19: Industrial reactions (2021)COVID‐19, ESG investing, and the resilience of more sustainable stocks: Evidence from European firms (2022)Are the European Union stock markets vulnerable to the Russia–Ukraine war? (2023)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)NFTs and asset class spillovers: Lessons from the period around the COVID-19 pandemic (2021)Quantile connectedness in the cryptocurrency market (2021)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)Do Industries Explain Momentum? (1999)The Adjustment of Stock Prices to New Information (2003)Coronavirus (COVID-19) — An epidemic or pandemic for financial markets (2020)COVID-19 lockdowns, stimulus packages, travel bans, and stock returns (2020)Japanese currency and stock market—What happened during the COVID-19 pandemic? (2020)The economics of COVID-19 pandemic: A survey (2021)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga (2022)The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises (2023)Efficient Tests for an Autoregressive Unit Root (1996)Connectedness between geopolitical risk, financial instability indices and precious metals markets: Novel findings from Russia Ukraine conflict perspective (2022)Investigating the spillovers and connectedness between green finance and renewable energy sources (2022)Assessing oil price volatility co-movement with stock market volatility through quantile regression approach (2023)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Parsimonious Modeling of Yield Curves (1987)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time (2020)Firm-Level Exposure to Epidemic Diseases: COVID-19, SARS, and H1N1 (2020)
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References

  • 2015Oil prices, US stock return, and the dependence between their quantiles1,428 cited
  • 2020The COVID-19 Outbreak and Affected Countries Stock Markets Response916 cited
  • 2020Searching for safe-haven assets during the COVID-19 pandemic656 cited
  • 2020COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market643 cited
  • 2020Return connectedness across asset classes around the COVID-19 outbreak631 cited
  • 2020Coronavirus: Impact on Stock Prices and Growth Expectations468 cited
  • 2021Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach433 cited
  • 2020How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques397 cited
  • 2020Market reactions to the arrival and containment of COVID-19: An event study292 cited
  • 1995Fractals and Intrinsic Time - a Challenge to Econometricians258 cited
  • 2020A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets249 cited
  • 2021How would the COVID-19 pandemic reshape retail real estate and high streets through acceleration of E-commerce and digitalization?230 cited
  • 2020A First Look at the Impact of COVID-19 on Commercial Real Estate Prices: Asset-Level Evidence214 cited

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2021
COVID–19 media coverage and ESG leader indices
206 cited
  • 2022Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis175 cited
  • 2021COVID‐19 and housing market effects: Evidence from U.S. shutdown orders145 cited
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    • 2023How does climate policy uncertainty affect the carbon market?79 cited