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Diversifying and hedging REIT portfolios with cryptocurrencies: Evidence from global and regional REIT indices
16 references·0 citing·48 second hop
Diversifying and hedging REIT portfolios with cryptocurrencies: Evidence from global and regional REIT indices (2024)Diversifying and hedging REIT portfolios …The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19 (2022)The diversification benefits …How resilient are REITs to a pandemic? The COVID-19 effect (2020)How resilient are REITs to a …Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors (2019)Investigating the dynamic rel…Do cryptocurrencies and traditional asset classes influence each other? (2019)Do cryptocurrencies and tradi…Cryptocurrencies and stock market indices. Are they related? (2019)Cryptocurrencies and stock ma…Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach (2018)Do commodities effectively he…Conditional Tail-Risk in Cryptocurrency Markets (2018)Conditional Tail-Risk in Cryp…Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets (2010)Asymmetric Correlation and Vo…The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run (2005)The Case for REITs in the Mix…Market Integration and Contagion (2005)Market Integration and Contag…Further Evidence on the Integration of REIT, Bond, and Stock Returns (2000)Further Evidence on the Integ…Time-Series Properties and Diversification Benefits of REIT Returns (1999)Time-Series Properties and Di…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length (1995)A statistical model for the r…Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison (1993)Return Properties of Equity R…Random variables, joint distribution functions, and copulas (1973)Random variables, joint distr…Permanent and Temporary Components of Stock Prices (1988)Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Closed‐End Fund Puzzle (1991)Appraisal Smoothing and Price Discovery in Real Estate Markets (2003)Are REITs real estate? Evidence from international sector level data (2012)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)The Time-Varying Nature of the Link between REIT, Real Estate and Financial Asset Returns (2001)The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns (2003)A New Class of Tests of Contagion With Applications (2010)Implications of Security Market Data for Models of Dynamic Economies (1990)What Does the Stock Market Tell Us About Real Estate Returns? (1992)The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)Time-varying correlation between stock market returns and real estate returns (2012)Macro Asset Allocation with Social Impact Investments (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Expected stock returns and volatility (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Bitcoin and gold price returns: A quantile regression and NARDL analysis (2020)A tale of two tails among carbon prices, green and non-green cryptocurrencies (2022)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)CoVaR (2016)Risks and Returns of Cryptocurrency (2018)Common Risk Factors in Cryptocurrency (2019)A systematic literature review of investor behavior in the cryptocurrency markets (2023)Empirical properties of asset returns: stylized facts and statistical issues (2001)Dynamic Conditional Correlation (2002)Financial implications of fourth industrial revolution: Can bitcoin improve prospects of energy investment? (2020)Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold (2021)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistics for Long-Memory Processes. (1996)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic? (2020)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Capital Flows, Push versus Pull Factors and the Global Financial Crisis (2011)The Credit Crisis Around the Globe: Why Did Some Banks Perform Better? (2011)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Understanding Relationships Using Copulas (1998)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)
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References

  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2005Market Integration and Contagion1,095 cited
  • 1973Random variables, joint distribution functions, and copulas680 cited
  • 2018Conditional Tail-Risk in Cryptocurrency Markets384 cited
  • 2000Further Evidence on the Integration of REIT, Bond, and Stock Returns322 cited
  • 2019Cryptocurrencies and stock market indices. Are they related?322 cited
  • 2019Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors278 cited
  • 2019Do cryptocurrencies and traditional asset classes influence each other?217 cited
  • 1993Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison207 cited
  • 2005The Case for REITs in the Mixed-Asset Portfolio in the Short and Long Run109 cited
  • 2010Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets106 cited
  • 1999Time-Series Properties and Diversification Benefits of REIT Returns104 cited
  • 2020How resilient are REITs to a pandemic? The COVID-19 effect75 cited
  • 1995A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length69 cited

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2022
The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19
60 cited
  • 2018Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach49 cited
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