Multivariate Modeling of Daily REIT Volatility
نویسندگان
چکیده
منابع مشابه
The Determinants of REIT Volatility
This paper focuses on how market risk, economic activities, nancial leverage, in ation shocks and trading activities a ect REIT return volatility using U.S equity REITs data from 1995 to 2009. The ndings suggest that systematic risk positively a ects REIT return volatility, with a higher impact in up markets than in down markets. Dividend Yield (DY) and Return On Average Equity (ROAE) negativel...
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ژورنال
عنوان ژورنال: The Journal of Real Estate Finance and Economics
سال: 2006
ISSN: 0895-5638,1573-045X
DOI: 10.1007/s11146-006-6804-9