Fractional integration and volatility transmission between real estate and stock markets : novel evidence from a FIGARCH-BEKK approach
Maria I. Kyriakou, Athanasios Koulakiotis, Apostolos Kiohos, Vassilios Babalos
| Year of publication: |
2023
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|---|---|
| Authors: | Kyriakou, Maria I. ; Koulakiotis, Athanasios ; Kiohos, Apostolos ; Babalos, Vassilios |
| Published in: |
The journal of real estate finance and economics. - New York, NY [u.a.] : Springer Science + Business Media B.V., ISSN 1573-045X, ZDB-ID 2018867-5. - Vol. 66.2023, 4, p. 939-962
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| Subject: | FIGARCH-BEKK | Fractional integration | Real estate markets | Stock markets | Volatility transmission | Volatilität | Volatility | Aktienmarkt | Stock market | Immobilienmarkt | Real estate market | ARCH-Modell | ARCH model | Schätzung | Estimation | Börsenkurs | Share price | Großbritannien | United Kingdom | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11146-021-09879-5 [DOI] |
| Classification: | G01 - Financial Crises ; G1 - General Financial Markets ; R2 - Household Analysis |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014258997