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Equity and fixed income markets as drivers of securitised real estate

Cheong, Chee Seng; Gerlach, Richard; Stevenson, Simon; … - In: Review of financial economics : RFE 18 (2009) 2, pp. 103-111

Persistent link: https://www.econbiz.de/10003901003

An analysis of the long-run impact of fixed income and equity market performance on Australian and UK securitised property markets

Cheong, Chee Seng; Wilson, Patrick James; Zurbruegg, Ralf - In: Journal of property investment & finance 27 (2009) 3, pp. 259-276

Persistent link: https://www.econbiz.de/10009523851

The impact of leverage on the idiosyncratic risk and return relationship of REITs around the financial crisis

Gerlach, Richard; Obaydin, Ivan; Zurbruegg, Ralf - In: International review of economics & finance : IREF 38 (2015), pp. 207-219

Persistent link: https://www.econbiz.de/10011572352

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

Wang, Chao; Gerlach, Richard; Chen, Qian - In: Quantitative finance 23 (2023) 2, pp. 309-334

Persistent link: https://www.econbiz.de/10014232647

Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics

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Persistent link: https://www.econbiz.de/10012295647

Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators

Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013367470

Pacific Rim futures markets and their intertemporal relationships

Fong, Kingsley; Zurbruegg, Ralf - In: Advances in Pacific Basin financial markets 6 (2000), pp. 197-220

Persistent link: https://www.econbiz.de/10001487782

Using Cashflow and Value Spreads to Forecast Long/Short Factor Returns

Dai, Yiqing - 2018

We show the value of adding cashflow spreads to value spreads to forecast long/short factor returns. These spreads, namely the profitability and investment spreads, have significant forecasting power for a number of factors. Including cashflow spreads also increases the predictive power of the...

Persistent link: https://www.econbiz.de/10012909530

Short selling patterns in cross-listed stocks

Li, Shan; Mihaylov, George; Yessy Peranginangin; … - In: Global finance journal 48 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012886878

Return performance volatility and adaptation in an automated technical analysis approach to portfolio management

Ghandar, Adam; Michalewicz, Zbigniew; Zurbruegg, Ralf - In: Intelligent systems in accounting finance and … 16 (2009) 1/2, pp. 127-146

Persistent link: https://www.econbiz.de/10003876092