Matches in SemOpenAlex for { <https://semopenalex.org/work/W811384906> ?p ?o ?g. }
- W811384906 abstract "Real estate securities have a number of distinct characteristics that differentiate them from stocks generally. Key amongst them is that under-pinning the firms are both real as well as investment assets. The connections between the underlying macro-economy and listed real estate firms is therefore clearly demonstrated and of heightened importance. To consider the linkages with the underlying macro-economic fundamentals we extract the ‘low-frequency’ volatility component from aggregate volatility shocks in 11 international markets over the 1990-2014 period. This is achieved using Engle and Rangel’s (2008) Spline-Generalized Autoregressive Conditional Heteroskedasticity (Spline-GARCH) model. The estimated low-frequency volatility is then examined together with low-frequency macro data in a fixed-effect pooled regression framework. The analysis reveals that the low-frequency volatility of real estate securities has strong and positive association with most of the macroeconomic risk proxies examined. These include interest rates, inflation, GDP and foreign exchange rates." @default.
- W811384906 created "2016-06-24" @default.
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- W811384906 date "2015-06-01" @default.
- W811384906 modified "2023-09-26" @default.
- W811384906 title "Low-frequency volatility of real estate securities in relation to macroeconomic risk" @default.
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