Do we need non-linear models to predict REIT returns?
Year of publication: |
2013
|
---|---|
Authors: | Case, Bradford ; Guidolin, Massimo ; Yildirim, Yildiray |
Publisher: |
Manchester : Manchester Business School |
Subject: | REITs | Markov switching | Multivariate GARCH | Dynamic conditional correlations | Forecasting accuracy | Density forecasting | Immobilienfonds | Real estate fund | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Börsenkurs | Share price | Korrelation | Correlation | Nichtlineare Regression | Nonlinear regression |
Extent: | Online-Ressource (45 S.) graph. Darst. |
---|---|
Series: | Working papers series / Manchester Business School. - Manchester : [Verlag nicht ermittelbar], ZDB-ID 2440275-8. - Vol. 638 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/102384 [Handle] |
Classification: | G11 - Portfolio Choice ; C53 - Forecasting and Other Model Applications |
Source: | ECONIS - Online Catalogue of the ZBW |
-
The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo, (2009)
-
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca, (2022)
-
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca, (2021)
- More ...
-
Case, Bradford, (2014)
-
Dynamic correlations among asset classes : REIT and stock returns
Case, Bradford, (2012)
-
Dynamic Correlations Among Asset Classes: REIT and Stock Returns
Case, Bradford, (2012)
- More ...