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q-fin.ST2011
Multivariate Modeling of Daily REIT Volatility
John Cotter, Simon Stevenson
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-s…
q-fin.ST2011
Uncovering Volatility Dynamics in Daily REIT Returns
John Cotter, Simon Stevenson
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 appr…
q-fin.ST2011
Modeling Long Memory in REITs
John Cotter, Simon Stevenson
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 squ…