A note on the periodic conversion of measures of risk

Journal of Property Research

Volumn 13, Issue 1, 1996, Pages 13-16

  Brown, Gerald R ^a   Matysiak, George A ^b  

^a UNIVERSITY OF SALFORD   (United Kingdom)

^b CITY UNIVERSITY   (United Kingdom)

Author keywords

Risk measures; Serial correlation

Indexed keywords

EID: 0006038512     PISSN: 09599916     EISSN: 14664453     Source Type: Journal    
DOI: 10.1080/095999196368844     Document Type: Article

References (4)

1. Brown, G.R. and Matysiak, G.A. (1995) Information arrival and serial correlation in a moving average. Property Research Discussion Paper, No. 14, City University Business School, London.
2. Geltner, D. (1991) Smoothing in appraisal-based returns, Journal of Real Estate Finance and Economics, 4, 327-45.
3. Harvey, A.C. (1993) Time Series Models, 2nd edition. Harvester Wheatsheaf, London.
4. Newell, G. and MacFarlane, J. (1995) Improved risk estimation using appraisal-smoothed real estate returns, Journal of Real Estate Portfolio Management, 1, 51-7.