Conditional volatility of equity real estate investment trust returns: A pre- and post-1993 comparison

Journal of Real Estate Finance and Economics

Volumn 38, Issue 2, 2009, Pages 137-154

  Jirasakuldech, Benjamas ^a   Campbell, Robert D ^b   Emekter, Riza ^c  

^a UNIVERSITY OF THE PACIFIC   (United States)

^b HOFSTRA UNIVERSITY   (United States)

^c ROBERT MORRIS UNIVERSITY   (United States)

Author keywords

Conditional volatility; GARCH; Macroeconomic volatility; Price volatility; Real estate; Real estate investment trusts; REITs; Volatility persistence

Indexed keywords

EID: 65249140528     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11146-007-9079-x     Document Type: Article

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