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Volatilities and momentum returns in real estate investment trusts

Hung, Szu-yin Kathy; Glascock, John Leslie - In: The journal of real estate finance and economics 41 (2010) 2, pp. 126-149

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Price and volatility spillovers between interest rate and exchange value of the US dollar

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An examination of intraday common volatility in the German index derivatives markets

So, Raymond W. - In: Journal of multinational financial management 7 (1997) 4, pp. 305-316

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Intraday volatility spillovers in the German equity index derivatives markets

Booth, G. Geoffrey; So, Raymond W. - In: Applied financial economics 13 (2003) 7, pp. 487-494

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Exchange rate variability and the riskiness of US multinational firms : evidence from the Asian financial turmoil

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Volatilities and Momentum Returns in Real Estate Investment Trusts

Hung, Kathy - 2010

This research studies momentum returns in REITs by investigating the cross-sectional relationship between different types of volatilities and asset returns of REITs. We examine asymmetric risk effect in momentum returns with a GARCH-in-mean model and examine the effects of idiosyncratic...

Persistent link: https://www.econbiz.de/10013145167