Does REIT index hedge inflation risk? : new evidence from the tail quantile dependences of the Markov-switching GRG copula
Kuang-Liang Chang
| Year of publication: |
January 2017
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| Authors: | Chang, Kuang-Liang |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 39.2017, p. 56-67
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| Subject: | Inflation rate | REIT return | Tail dependence | Inflation hedge ability | Markov-switching copula | Inflation | Immobilienfonds | Real estate fund | Multivariate Verteilung | Multivariate distribution | Kapitaleinkommen | Capital income | Hedging | Markov-Kette | Markov chain | Statistische Verteilung | Statistical distribution | Inflationsrate | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2016.11.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011878580