Showing 1 - 10 of 4,058
ERES:conference
Persistent link: https://www.econbiz.de/10010800419
ERES:conference
Persistent link: https://www.econbiz.de/10010834454
This paper constructs synchronously priced indices of securitised property listed on the NYSE and LSE. The indices are then utilised to examine dynamic information flows between the two markets. By analysing returns behaviour, asymmetric volatility spill over effects and exceedance correlations,...
Persistent link: https://www.econbiz.de/10010800229
[abstract missing - contribution appeared in the programme]
Persistent link: https://www.econbiz.de/10010800432
This paper re-examines the sensitivity and importance of interest rates and stock market price behaviour on securitised property by decomposing their long-run impact between transient and permanent effects. This is achieved within a framework that accounts for endogenously determined structural...
Persistent link: https://www.econbiz.de/10010834278
ERES:conference
Persistent link: https://www.econbiz.de/10010800416
Pooling the forecast outcomes from different models has been shown by Makridakis (1989), Clement (1989) and others to improve out-of-sample forecast test statistics beyond any of the individual component techniques. As well as conventional combining, a different approach to forecast combination...
Persistent link: https://www.econbiz.de/10010834162
ERES:conference
Persistent link: https://www.econbiz.de/10010834293
ERES:conference
Persistent link: https://www.econbiz.de/10010834363
ERES:conference
Persistent link: https://www.econbiz.de/10010799817