Price and volatility dynamics between securitized real estate spot and futures markets
Jing Shi; Tracy Xu
| Year of publication: |
2013
|
|---|---|
| Authors: | Shi, Jing ; Xu, Pisun |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 35.2013, p. 582-592
|
| Subject: | Real estate futures | Asymmetric effect | Basis | Multivariate GARCH | Recursive cointegration analysis | Kointegration | Cointegration | Volatilität | Volatility | ARCH-Modell | ARCH model | Schätzung | Estimation | Immobilienmarkt | Real estate market | Immobilien | Real estate | Verbriefung | Securitization | Rohstoffderivat | Commodity derivative | Immobilienfonds | Real estate fund | Futures |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010336748