Cotter, John and Stevenson, Simon (2005): Multivariate Modeling of Daily REIT Volatility. Published in: Journal of Real Estate Finance and Economics (2006)
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This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VARGARCH 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 time-varyng volatility and correlations in their portfolio selection. The results illustrate the differences in results when higher frequency daily data is tested in comparison to the monthly data that has been commonly used in the existing literature. The linkages both within the REIT sector and between REITs and related sectors such as value stocks are weaker than commonly found in monthly studies. The broad market would appear to be more influential in the daily case.
|Item Type:||MPRA Paper|
|Original Title:||Multivariate Modeling of Daily REIT Volatility|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G10 - General|
|Depositing User:||John Cotter|
|Date Deposited:||12. Jun 2007|
|Last Modified:||13. Feb 2013 10:49|
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