This article explores the role of trading volume in making out-of-sample forecasts of stock market volatility around the time of the 24 October 1929 crash. Following the recent literature on volatility forecasting, we compare the performance of symmetric and asymmetric GARCH-class models....

Financial market participants pay particular attention to the behaviour of equity indexes due, in part, to the popularity of index investing and the reliance on market and sector indexes to evaluate managed portfolios. Five major S&P stock indexes are examined to determine their...

Hazard models are used to test for duration dependence in the market for real estate investments trusts. Duration dependence implies an ability to predict the turning points of a cycle. In a sense, these models attempt to predict the timing of mean reversion of the market indices. Since the only...

This paper examines the transmission of shocks across equity, mortgage, and hybrid real estate investment trusts (REITs). Though the augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski-Phillips-Schmidt-Shin unit root tests reveal that the respective REITs are integrated of order one,...

This study extends the recent work on interest rate pass through from the federal funds rate to mortgage rates. The Enders-Siklos (2001) momentum threshold autoregressive (MTAR) model is used to test for cointegration and asymmetric adjustment in adjustable rate mortgages for newly built and...