Time varying risk premia for real estate investment trusts: A GARCH-M model

By Michael Devaney. 2001

123 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4f29bac37ed1ddb32fbfb54db4197a5d2a6c6ea7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. John Cotter
2. R. Cong
3. Stavros Degiannakis *
4. Evdokia Xekalaki
5. Alex Y. Lo
6. S. Stevenson
7. George Filis
8. Marco Rocco

In Finance

1. John Cotter
2. R. Cong
3. Stavros Degiannakis *
4. Evdokia Xekalaki
5. Alex Y. Lo
6. Kenneth Yung
7. S. Stevenson
8. Marco Rocco

Citations in the corpus

• Emission trading and carbon market performance in Shenzhen, China (2017, background): “Most applications of GARCH-M model find that transactions in a properly functioning stock market demonstrate a positive correlation between these two elements, namely, yield and its conditional variance [25, 66, 67].”
• Multivariate Modeling of Daily REIT Volatility (2006, methodology): “Devaney (2001) uses a GARCH-M model on monthly REIT data, primarily to examine the relationship between REIT volatility and interest rates.”
• Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review (2004, methodology): “Interesting studies employing the ARCH-M model were conducted by Devaney [94] and Elyasiani and Mansur [107].”
• Investor Sentiment and REIT Returns (2009, background): “Some researchers examine the time-series properties of REIT returns (e.g., Liu and Mei 1992; Devaney 2001; Chandrashekaran 1999); others investigate the issue of predictability (e.g., Nelling and Gyourko 1998; Li and Wang 1995).”