Type

Working Paper

Authors

Simon Stevenson
John Cotter

Subjects

Business

Topics
analysis of variance influence volatility risk econometric models real estate investment trusts econometric models relationships approaches capital markets

Uncovering volatility dynamics in daily REIT returns (2004)

Abstract 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 approaches in the modeling ofdaily REIT volatility. The paper examines the influencing factors on REIT volatility, documenting the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The results contrast with previous studies of monthly REIT volatility. Linkages within the REIT sector and with related sectors such as value stocks are diminished, while the general influence of market sentiment, coming through the large cap indices is enhanced. This would indicate that on a daily basis general marketsentiment plays a more fundamental role than more intuitive relationships within the capital markets.
Collections Ireland -> University College Dublin -> School of Business
Ireland -> University College Dublin -> Centre for Financial Markets Working Papers
Ireland -> University College Dublin -> College of Business

Full list of authors on original publication

Simon Stevenson, John Cotter

Experts in our system

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John Cotter
University College Dublin
Total Publications: 93