Using a time-varying approach, this paper examines the dynamics of volatility in the 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 influencing factors on REIT volatility,...

This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The motivation is for investors to incorporate...

One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a non- REIT equity index. The paper utilizes a variety of...

This paper examines volatility in REITs using multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The motivation is for investors to incorporate...

This study uses a bootstrap methodology to explicitly distinguish between skill and luck for 80 Real Estate Investment Trust Mutual Funds in the period January 1995 to May 2008. The methodology successfully captures non-normality in the idiosyncratic risk of the funds. Using unconditional, beta...

The analysis of office market dynamics has generally concentrated on the impact of underlying fundamental demand and supply variables. This paper takes a slightly different approach to many previous examinations of rental dynamics. Within a Vector-Error-Correction framework the empirical...

The issue of whether Real Estate Investment Trusts should pursue a focused or diversified investment strategy remains an ongoing debate within both the academic and industry communities. This paper considers the relationship between REITs focused on different property sectors in a GARCH-DCC...

The benefits of openness to trade are well established, but the disadvantages of openness are less well understood. At the firm level trade is the principal source of exposure to exchange rate movements, and exchange exposure can be moderated by a range of hedging techniques. In this paper we...