Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: International Review of Finance 22 (2021) 3, pp. 540-550
We examine the forecasting power of a daily newspaper‐based index of uncertainty associated with infectious diseases (EMVID) for real estate investment trusts (REITs) realized market variance of the United States (US) via the heterogeneous autoregressive realized volatility (HAR‐RV) model....
