Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: International Review of Finance 22 (2021) 3, pp. 540-550
(EMVID) for real estate investment trusts (REITs) realized market variance of the United States (US) via the heterogeneous … autoregressive realized volatility (HAR‐RV) model. Our results show that the EMVID index improves the forecast accuracy of realized … to the inclusion of additional controls (leverage, realized jumps, skewness, and kurtosis) capturing extreme market …