Uncertainty due to Infectious Diseases and Forecastability of the Realized Variance of US REITs: A Note

No abstract is available for this paper.

• Publication year

  2020

• Venue

  Unknown venue

• Publication date

  Unknown publication date

• Fields of study

  Medicine, Economics, Environmental Science

• Identifiers

  No identifiers available.

• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Volatility jumps and their determinants in REIT returns

  2021influential reference
• Time-varying impact of pandemics on global output growth

  2020cited by this paper
• Combining realized measures to forecast REIT volatility

  2020cited by this paper
• How resilient are REITs to a pandemic? The COVID-19 effect

  2020cited by this paper
• Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities

  2020cited by this paper
• Infectious Diseases, Market Uncertainty and Oil Market Volatility

  2020cited by this paper
• A comparison of realised measures for daily REIT volatility

  2020cited by this paper
• Financial markets under the global pandemic of COVID-19

  2020influential reference
• Covid-Induced Economic Uncertainty

  2020influential reference
• DOES CHANGE IN ECONOMIC POLICY UNCERTAINTY AFFECT REAL ESTATE INVESTMENT TRUSTS (REITs)?

  2019cited by this paper
• Forecasting REIT volatility with high-frequency data: a comparison of alternative methods

  2017cited by this paper
• The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises

  2017cited by this paper
• Long memory and level shifts in REITs returns and volatility

  2015influential reference
• Does Realized Skewness Predict the Cross-Section of Equity Returns?

  2015cited by this paper
• Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach

  2014cited by this paper
• Long memory in REIT volatility and changes in the unconditional mean: a modified FIGARCH approach

  2014cited by this paper
• An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets

  2012cited by this paper
• Long memory in REIT volatility revisited: genuine or spurious, and self-similar?

  2011cited by this paper
• A Comparison of Alternative Forecast Models of REIT Volatility

  2011cited by this paper
• REIT volatility prediction for skew-GED distribution of the GARCH model

  2010cited by this paper
• A Simple Approximate Long-Memory Model of Realized Volatility

  2008influential reference
• Measuring Downside Risk - Realised Semivariance

  2008cited by this paper
• Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

  2007cited by this paper
• Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

  2005cited by this paper
• Power and bipower variation with stochastic volatility and jumps

  2003cited by this paper
• ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS*

  1998cited by this paper

• How China's Real Estate Investments Are Transforming and Growing Under Pandemic and Restrictive Policies

  2022cites this paper