Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach
Afees A. Salisu, Rangan Gupta, Elie Bouri
| Year of publication: |
2023
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| Authors: | Salisu, Afees A. ; Gupta, Rangan ; Bouri, Elie |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 88.2023, p. 303-314
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| Subject: | forecasting | GARCH-MIDAS model | global economic conditions | mixed data analysis | REITs volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Immobilienfonds | Real estate fund | ARCH-Modell | ARCH model | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2023.02.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014428077