FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1968904637> ?p ?o ?g. }

• W1968904637 endingPage "4741" @default.
• W1968904637 startingPage "4737" @default.
• W1968904637 abstract "This study investigates how specification of return distribution for REIT influences the performance of volatility forecasting using three GARCH models (GARCH-N, GARCH-ST and GARCH-SGED). Daily prices on the REIT provide an empirical sample for discussing and comparing relative ability to accurately out-of-sample volatility, given the growth potential of REIT markets in the United State from the perspective of global investors. Empirical results indicate that the GARCH-SGED model is superior to the GARCH-N and GARCH-ST model in forecasting REIT volatility in the United State, for all forecast horizons in which model selection is based on MSE or MAE. Meanwhile, the DM-tests further confirm that volatility forecasts using the GARCH-SGED model are more accurate than those generated using the GARCH-N and GARCH-ST model in all cases. These findings demonstrate the significant influences of both skewness and tail-thickness on the conditional distribution of returns." @default.
• W1968904637 created "2016-06-24" @default.
• W1968904637 creator A5021287731 @default.
• W1968904637 creator A5058915737 @default.
• W1968904637 date "2010-07-01" @default.
• W1968904637 modified "2023-09-30" @default.
• W1968904637 title "REIT volatility prediction for skew-GED distribution of the GARCH model" @default.
• W1968904637 cites W1576326745 @default.
• W1968904637 cites W1979202837 @default.
• W1968904637 cites W1999029409 @default.
• W1968904637 cites W1999814123 @default.
• W1968904637 cites W2001772055 @default.
• W1968904637 cites W2003626215 @default.
• W1968904637 cites W2018249206 @default.
• W1968904637 cites W2032927332 @default.
• W1968904637 cites W2035240441 @default.
• W1968904637 cites W2040503026 @default.
• W1968904637 cites W2062776468 @default.
• W1968904637 cites W2067580741 @default.
• W1968904637 cites W2069317099 @default.
• W1968904637 cites W2070016512 @default.
• W1968904637 cites W2072453929 @default.
• W1968904637 cites W2073748617 @default.
• W1968904637 cites W2090637028 @default.
• W1968904637 cites W2092729734 @default.
• W1968904637 cites W2094959103 @default.
• W1968904637 cites W2134769070 @default.
• W1968904637 cites W2173053487 @default.
• W1968904637 cites W3125246470 @default.
• W1968904637 cites W3126072850 @default.
• W1968904637 cites W3217457548 @default.
• W1968904637 cites W4236674472 @default.
• W1968904637 cites W4255297313 @default.
• W1968904637 doi "https://doi.org/10.1016/j.eswa.2009.11.044" @default.
• W1968904637 hasPublicationYear "2010" @default.
• W1968904637 type Work @default.
• W1968904637 sameAs 1968904637 @default.
• W1968904637 citedByCount "27" @default.
• W1968904637 countsByYear W19689046372012 @default.
• W1968904637 countsByYear W19689046372013 @default.
• W1968904637 countsByYear W19689046372014 @default.
• W1968904637 countsByYear W19689046372017 @default.
• W1968904637 countsByYear W19689046372018 @default.
• W1968904637 countsByYear W19689046372020 @default.
• W1968904637 countsByYear W19689046372021 @default.
• W1968904637 countsByYear W19689046372022 @default.
• W1968904637 countsByYear W19689046372023 @default.
• W1968904637 crossrefType "journal-article" @default.
• W1968904637 hasAuthorship W1968904637A5021287731 @default.
• W1968904637 hasAuthorship W1968904637A5058915737 @default.
• W1968904637 hasConcept C10138342 @default.
• W1968904637 hasConcept C106159729 @default.
• W1968904637 hasConcept C117996083 @default.
• W1968904637 hasConcept C122342681 @default.
• W1968904637 hasConcept C149782125 @default.
• W1968904637 hasConcept C162324750 @default.
• W1968904637 hasConcept C23922673 @default.
• W1968904637 hasConcept C24189920 @default.
• W1968904637 hasConcept C38815200 @default.
• W1968904637 hasConcept C41008148 @default.
• W1968904637 hasConcept C43711488 @default.
• W1968904637 hasConcept C76155785 @default.
• W1968904637 hasConcept C82279013 @default.
• W1968904637 hasConcept C89218465 @default.
• W1968904637 hasConcept C91602232 @default.
• W1968904637 hasConceptScore W1968904637C10138342 @default.
• W1968904637 hasConceptScore W1968904637C106159729 @default.
• W1968904637 hasConceptScore W1968904637C117996083 @default.
• W1968904637 hasConceptScore W1968904637C122342681 @default.
• W1968904637 hasConceptScore W1968904637C149782125 @default.
• W1968904637 hasConceptScore W1968904637C162324750 @default.
• W1968904637 hasConceptScore W1968904637C23922673 @default.
• W1968904637 hasConceptScore W1968904637C24189920 @default.
• W1968904637 hasConceptScore W1968904637C38815200 @default.
• W1968904637 hasConceptScore W1968904637C41008148 @default.
• W1968904637 hasConceptScore W1968904637C43711488 @default.
• W1968904637 hasConceptScore W1968904637C76155785 @default.
• W1968904637 hasConceptScore W1968904637C82279013 @default.
• W1968904637 hasConceptScore W1968904637C89218465 @default.
• W1968904637 hasConceptScore W1968904637C91602232 @default.
• W1968904637 hasIssue "7" @default.
• W1968904637 hasLocation W19689046371 @default.
• W1968904637 hasOpenAccess W1968904637 @default.
• W1968904637 hasPrimaryLocation W19689046371 @default.
• W1968904637 hasRelatedWork W1968904637 @default.
• W1968904637 hasRelatedWork W2106472347 @default.
• W1968904637 hasRelatedWork W2244904256 @default.
• W1968904637 hasRelatedWork W2376923913 @default.
• W1968904637 hasRelatedWork W2595537043 @default.
• W1968904637 hasRelatedWork W2791106013 @default.
• W1968904637 hasRelatedWork W3144677838 @default.
• W1968904637 hasRelatedWork W4234989428 @default.
• W1968904637 hasRelatedWork W4237942627 @default.
• W1968904637 hasRelatedWork W981471095 @default.
• W1968904637 hasVolume "37" @default.
• W1968904637 isParatext "false" @default.
• W1968904637 isRetracted "false" @default.
• W1968904637 magId "1968904637" @default.

• next