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Uncovering volatility dynamics in daily REIT returns

Cotter, John; Stevenson, Simon - 2007

Using a time-varying approach, this paper examines the dynamics of volatility in the real estate investment trust (REIT) sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of daily REIT volatility.The paper examines the factors that...

Persistent link: https://www.econbiz.de/10009475702

A comparative analysis of the accuracy and uncertainty in real estate and macroeconomic forecasts

Papastamos, Dēmētrēs; Matysiak, George A.; … - 2014

Persistent link: https://www.econbiz.de/10010387945

Low-Frequency volatility of real estate securities in relation to macroeconomic risk

Lee, Chyi Lin; Stevenson, Simon; Lee, Ming-Long - 2015

Persistent link: https://www.econbiz.de/10011295730

The risk and return of private equity real estate funds

Farrelly, Kieran; Stevenson, Simon - In: Global finance journal 42 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012257099

A comparative analysis of the accuracy and uncertainty in real estate and macroeconomic forecasts

Papastamos, Dimitrios; Matysiak, George A.; Stevenson, Simon - In: The journal of real estate research 40 (2018) 3, pp. 309-345

Persistent link: https://www.econbiz.de/10011942990