Ngene, Geoffrey M.; Manohar, Catherine Anitha; Julio, … - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-28
Real estate investment trusts (REITs) provide portfolio diversification and tax benefits, a stable stream of income, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence structures of REITs' returns across quantiles and return...