1. Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market. (2020). Wang, Yung-Jang ; Chang, Kuang-Liang ; He, Chi-Wei.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:34:y:2020:i:c:s154461231830761x.

   Full description at Econpapers || Download paper

2. Low‐frequency volatility of real estate securities and macroeconomic risk. (2018). Stevenson, Simon ; Lee, Minglong.
   In: Accounting and Finance.
   RePEc:bla:acctfi:v:58:y:2018:i:s1:p:311-342.

   Full description at Econpapers || Download paper

3. Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices. (2014). Degiannakis, Stavros ; Kiohos, Apostolos.
   In: MPRA Paper.
   RePEc:pra:mprapa:80438.

   Full description at Econpapers || Download paper

4. Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures. (2014). Stevenson, Simon ; Lee, Ming-Long.
   In: The Journal of Real Estate Finance and Economics.
   RePEc:kap:jrefec:v:48:y:2014:i:2:p:299-322.

   Full description at Econpapers || Download paper

5. Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices. (2014). Kiohos, Apostolos.
   In: Journal of Economic Studies.
   RePEc:eme:jespps:v:41:y:2014:i:2:pp:216-232.

   Full description at Econpapers || Download paper

6. Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices. (2014). Degiannakis, Stavros ; Kiohos, Apostolos.
   In: Journal of Economic Studies.
   RePEc:eme:jespps:v:41:y:2014:i:2:p:216-232.

   Full description at Econpapers || Download paper

7. Is There Volatility Convergence in Asia-Pacific Securitized Real Estate Markets?. (2013). Liow, Kim ; Chen, Wei.
   In: The Journal of Real Estate Finance and Economics.
   RePEc:kap:jrefec:v:47:y:2013:i:2:p:370-390.

   Full description at Econpapers || Download paper

8. Dynamic correlations between REIT sub-sectors and the implications for diversification. (2012). Stevenson, Simon ; Chong, James ; Krystalogianni, Alexandra.
   In: Applied Financial Economics.
   RePEc:taf:apfiec:v:22:y:2012:i:13:p:1089-1109.

   Full description at Econpapers || Download paper

9. Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets. (2011). Liow, Kim ; Chen, Zhiwei ; Liu, Jingran.
   In: The Journal of Real Estate Finance and Economics.
   RePEc:kap:jrefec:v:42:y:2011:i:3:p:295-328.

   Full description at Econpapers || Download paper

1. Adrian, T., & Rosenburg, J. (2006). Stock returns and volatility: pricing the short-run and long-run components of market risk. Federal Reserve Bank of New York Staff Report No 254. .

2. Ane, T. (2006). Short and long term components of volatility in Hong Kong stock returns. Applied Financial Economics, 16, 439–460. doi: 10.1080/09603100500397203 .

3. Bailey, W., & S.tyulz R. M. (1990). Benefits of international diversification: The case of Pacific Basin stock markets. Journal of Portfolio Management, 17, 57–61.
   Paper not yet in RePEc: Add citation now
   

4. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Economics, 31, 307–327.

5. Bond, S. A., & Hwang, S. (2003). A measure of fundamental volatility in the commercial property market. Real Estate Economics, 31(4), 577–600. doi: 10.1046/j.1080-8620.2003.00077.x .

6. Cotter, J., & Stevenson, S. (2006). Multivariate modeling of daily REIT volatility. Journal of Real Estate Finance and Economics, 32, 305–325.

7. DeFusco, R. A., Geppert, J. M., & Tsetsekos, G. P. (1996). Long-run diversification potential in emerging stock markets. Finance Review, 31, 343–464. doi: 10.1111/j.1540-6288.1996.tb00876.x .

8. Ding, Z., & Granger, C. (1996). Modeling volatility persistence of speculative return. Journal of Econometrics, 73, 185–215.

9. Engle, R., & Lee, G. (1993). A permanent and transitory component model of stock return volatility. Working Paper No. 92-44R, University of California at San Diego.
   Paper not yet in RePEc: Add citation now
   
10. Engle, R., & Lee, G. (1999). A permanent and transitory component model of stock return volatility. In: R., Engle, H., White (eds) Cointegration, causality and forecasting: A festschrift in honor of C.W.J. Granger. Oxford University Press, Oxford, pp 475–497.
    Paper not yet in RePEc: Add citation now
    
11. Fama, E. F. (1965). The behavior of stock market prices. Journal of Business, 38, 34–105. doi: 10.1086/294743 .
    Paper not yet in RePEc: Add citation now
    
12. Fornell, C., & Larcker, D. F. (1980). The use of canonical correlation analysis in accounting research. Journal of Business Finance & Accounting, 7(3), 455–471 doi: 10.1111/j.1468-5957.1980.tb00213.x .
    Paper not yet in RePEc: Add citation now
    

13. Giliberto, S. M. (1990). Equity real estate trusts and real estate returns. Journal of Real Estate Research, 5, 259–273.

14. Guo, H., & Neely, C. J. (2007). Investigating the intertemporal risk-return relation in international stock markets with a Component GARCH Model. Economics Letters, 1, 8.

15. Harvey, C. (1991). The world price of covariance risk. Journal Of Finance, 46, 111–159. doi: 10.2307/2328691 .

16. Hui, T. (2005). Portfolio diversification: A factor analysis approach. Applied Financial Economics, 15, 821–834. doi: 10.1080/09603100500187901 .

17. Hui, T. K., & Farragher, E. J. (1985). Co-movements among the US and Asian-Pacific equity rates of return. Paper presented at the Academy of International Business Annual Conference, New York.
    Paper not yet in RePEc: Add citation now
    

18. Hui, T. K., & Kwan K. C. (1994). International portfolio diversification: A factor analysis approach, Omega. International Journal of Management Science, 22, 263–267.

19. Hwang, S., & Satchell, S. E. (2000). Market risk and the concept of fundamental volatility: measuring volatility across asset and derivative markets and testing for the impact of derivative markets on financial markets. Journal of Banking and Finance, 24, 759–785. doi: 10.1016/S0378-4266(99)00065-5 .

20. Illueca, M., & Lafuente J. A. (2002). International stock market linkages: A factor analysis approach. Journal of Asset Management, 3(3), 225–265. doi: 10.1057/palgrave.jam.2240079 .

21. Kallberg, J. G., Liu, C. H., & Pasquariello, P. (2002). Regime shifts in Asian equity and real estate markets. Real Estate Economics, 30(2), 263–292. doi: 10.1111/1540-6229.00040 .

22. Karolyi, A., & Stulz, R. (1996). “Why do markets move together?” An investigation of US–Japan stock returns co-movements. Journal of Finance, 51, 951–986. doi: 10.2307/2329228 .

23. Levy, H., & Sarnat M. (1970). International diversification of investment portfolios. American Economic Review, 60, 668–675.

24. Ling, D. C., & Naranjo, A. (1999). The integration of commercial real estate markets and stock markets. Real Estate Economics, 27(3), 483–515. doi: 10.1111/1540-6229.00781 .

25. Liow, K. H. (2007). The dynamics of return volatility and systematic risk in international real estate security markets. Journal of Property Research, 24, 1–29.

26. Liow, K. H., & Yang, H. (2005). Long-term co-memories and short-run adjustment: Securitized real estate and stock markets. Journal of Real Estate Finance and Economics, 31(3), 283–300. doi: 10.1007/s11146-005-2790-6 .

27. Mandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, 36, 394–419. doi: 10.1086/294632 .

28. Meric, I., & Meric, G. (1989). Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships. Journal of Banking and Finance, 13, 627–640. doi: 10.1016/0378-4266(89)90034-4 .

29. Michayluk, D., Wilson, P., & Zurbruegg, R. (2006). Asymmetric volatility, correlation and return dynamics between the US and UK securitized real estate markets. Real Estate Economics, 34(1), 109–131. doi: 10.1111/j.1540-6229.2006.00161.x .

30. Nelson, D. B. (1990). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59, 347–370.
    Paper not yet in RePEc: Add citation now
    
31. Newell, G., Liow, K. H., Ooi, J., Zhu, H. (2005). The impact of information transparency and market capitalization on out-performance in asian property companies. Pacific Rim Property Research Journal, 11(4), 393–411.
    Paper not yet in RePEc: Add citation now
    

32. Pagan, A. R., & Schwert, G. W. (1990). Alternative models for conditional stock volatility. Journal of Econometrics, 45, 267–290.

33. Schwert G. W. (1989). Why does stock market volatility change over time? Journal of Finance, 44(5), 1115–1153. doi: 10.2307/2328636 .

34. Stewart, D. K., & Love, W. A. (1968). A general canonical correlation analysis index. Psychological Bulletin, 70, 160–163. doi: 10.1037/h0026143 .
    Paper not yet in RePEc: Add citation now
    
35. Watson, J. (1978). A study of possible gains from international investment. Journal of Business Finance and Accounting, 5, 195–206. doi: 10.1111/j.1468-5957.1978.tb00182.x .
    Paper not yet in RePEc: Add citation now
    
36. Zhu, J. (2007). Pricing volatility of stock returns with volatile and persistent components Working paper, School of Management and Economics. University of Aarhus, Denmark.
    Paper not yet in RePEc: Add citation now
    

1. The skewness of commodity futures returns. (2018). Fuertes, Ana-Maria ; Frijns, Bart ; Fernandez-Perez, Adrian ; Miffre, Joelle.
   In: Post-Print.
   RePEc:hal:journl:hal-01678744.

   Full description at Econpapers || Download paper

2. Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Wang, Weining ; Christiansen, Charlotte ; Asgharian, Hossein ; Jun, AI.
   In: CREATES Research Papers.
   RePEc:aah:create:2017-34.

   Full description at Econpapers || Download paper

3. Term Structure of Interest Rates with Short-run and Long-run Risks. (2015). Zhou, Hao ; SONG, ZHAOGANG ; Grishchenko, Olesya.
   In: Finance and Economics Discussion Series.
   RePEc:fip:fedgfe:2015-95.

   Full description at Econpapers || Download paper

4. . . . and the Cross-Section of Expected Returns. (2014). Harvey, Campbell ; Liu, Yan ; Zhu, Heqing .
   In: NBER Working Papers.
   RePEc:nbr:nberwo:20592.

   Full description at Econpapers || Download paper

5. Smile from the Past: A general option pricing framework with multiple volatility and leverage components. (2014). Corsi, Fulvio ; Bormetti, Giacomo ; Majewski, Adam Aleksander .
   In: Papers.
   RePEc:arx:papers:1404.3555.

   Full description at Econpapers || Download paper

6. Amplitude-Duration-Persistence Trade-off Relationship for Long Term Bear Stock Markets. (2013). Li, Ziran ; Wang, Shouyang ; Sun, Jiajing.
   In: MPRA Paper.
   RePEc:pra:mprapa:54177.

   Full description at Econpapers || Download paper

7. Entrepreneurial tail risk: implications for employment dynamics. (2013). Drautzburg, Thorsten.
   In: Working Papers.
   RePEc:fip:fedpwp:13-45.

   Full description at Econpapers || Download paper

8. What does financial volatility tell us about macroeconomic fluctuations?. (2013). Yoldas, Emre ; Senyuz, Zeynep ; Chauvet, Marcelle.
   In: Finance and Economics Discussion Series.
   RePEc:fip:fedgfe:2013-61.

   Full description at Econpapers || Download paper

9. Dynamic stock market covariances in the Eurozone. (2013). Suurlaht, Anita ; Connor, Gregory.
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:37:y:2013:i:c:p:353-370.

   Full description at Econpapers || Download paper

10. The explanatory power of signed jumps for the risk-return tradeoff. (2013). Sévi, Benoît ; Baena, Cesar ; Sevi, Benoit.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-12-00600.

    Full description at Econpapers || Download paper

11. Smile from the Past: A general option pricing framework with multiple volatility and leverage components. (2013). Bormetti, G. ; Corsi, F. ; Majewski, A. A..
    In: Working Papers.
    RePEc:cty:dpaper:13/11.

    Full description at Econpapers || Download paper

12. CAPM, Components of Beta and the Cross Section of Expected Returns. (2013). Cenesizoglu, Tolga ; Reeves, Jonathan J..
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2013s-09.

    Full description at Econpapers || Download paper

13. Dodging the Steamroller: Fundamentals versus the Carry Trade. (2013). Lu, Wenna ; Copeland, Laurence.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2013/11.

    Full description at Econpapers || Download paper

14. Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information. (2012). Klinkowska, Olga ; Gonzalez, Angelica ; Abhyankar, Abhay.
    In: 2012 Meeting Papers.
    RePEc:red:sed012:56.

    Full description at Econpapers || Download paper

15. An Intertemporal CAPM with Stochastic Volatility. (2012). Polk, Christopher ; Giglio, Stefano ; Campbell, John ; Turley, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18411.

    Full description at Econpapers || Download paper

16. Dynamic Stock Market Covariances in the Eurozone. (2012). Suurlaht, Anita ; Connor, Gregory.
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n222-12.pdf.

    Full description at Econpapers || Download paper

17. What does financial volatility tell us about macroeconomic fluctuations?. (2012). Yoldas, Emre ; Senyuz, Zeynep ; Chauvet, Marcelle.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2012-09.

    Full description at Econpapers || Download paper

18. A reassessment of the risk-return tradeoff at the daily horizon. (2012). Sévi, Benoît ; Baena, Csar ; Svi, Benot.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00845.

    Full description at Econpapers || Download paper

19. Anticipating Long-Term Stock Market Volatility. (2012). Conrad, Christian ; Loch, Karin .
    In: Working Papers.
    RePEc:awi:wpaper:0535.

    Full description at Econpapers || Download paper

20. Broker-Dealer Leverage and the Cross-Section of Stock Returns. (2011). Etula, Erkko ; Adrian, Tobias ; Muir, Tyler.
    In: 2011 Meeting Papers.
    RePEc:red:sed011:1448.

    Full description at Econpapers || Download paper

21. What does financial volatility tell us about macroeconomic fluctuations?. (2011). Yoldas, Emre ; Senyuz, Zeynep ; Chauvet, Marcelle.
    In: MPRA Paper.
    RePEc:pra:mprapa:34104.

    Full description at Econpapers || Download paper

22. Volatility components, leverage effects, and the return-volatility relations. (2011). Li, Junye.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:6:p:1530-1540.

    Full description at Econpapers || Download paper

23. A component model for dynamic correlations. (2011). Engle, Robert ; Colacito, Riccardo ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:1:p:45-59.

    Full description at Econpapers || Download paper

24. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2011). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:235-245.

    Full description at Econpapers || Download paper

25. The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR. (2011). Marcellino, Massimiliano ; Lemke, Wolfgang ; Eickmeier, Sandra.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8341.

    Full description at Econpapers || Download paper

26. Pricing Central Tendency in Volatility. (2011). Khrapov, Stanislav.
    In: Working Papers.
    RePEc:cfr:cefirw:w0168.

    Full description at Econpapers || Download paper

27. The Joint Dynamics of Equity Market Factors. (2011). Christoffersen, Peter ; Langlois, Hugues.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-45.

    Full description at Econpapers || Download paper

28. Volatility Decomposition and Correlation in International Securitized Real Estate Markets. (2010). Liow, Kim ; Ibrahim, Muhammad.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:40:y:2010:i:2:p:221-243.

    Full description at Econpapers || Download paper

29. Funding liquidity risk and the cross-section of stock returns. (2010). Etula, Erkko ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:464.

    Full description at Econpapers || Download paper

30. Liquidity and leverage. (2010). Shin, Hyun Song ; Adrian, Tobias.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:19:y:2010:i:3:p:418-437.

    Full description at Econpapers || Download paper

31. Uncertainty and Valuations. (2009). Cremers, Martijn ; Yan, Hongjun.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2383.

    Full description at Econpapers || Download paper

32. Carry Trades and Global FX Volatility. (2009). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: MPRA Paper.
    RePEc:pra:mprapa:14728.

    Full description at Econpapers || Download paper

33. Pricing volatility of stock returns with volatile and persistent components. (2009). Zhu, Jie.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:23:y:2009:i:3:p:243-269.

    Full description at Econpapers || Download paper

34. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. (2008). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13739.

    Full description at Econpapers || Download paper

35. Liquidity and leverage. (2008). Shin, Hyun Song ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:328.

    Full description at Econpapers || Download paper

36. Option valuation with long-run and short-run volatility components. (2008). Wang, Yintian ; Jacobs, Kris ; Ornthanalai, Chayawat.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:90:y:2008:i:3:p:272-297.

    Full description at Econpapers || Download paper

37. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model. (2008). Neely, Christopher ; Guo, Hui.
    In: Economics Letters.
    RePEc:eee:ecolet:v:99:y:2008:i:2:p:371-374.

    Full description at Econpapers || Download paper

38. Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models. (2008). Conrad, Christian ; Mammen, Enno.
    In: Working Papers.
    RePEc:awi:wpaper:0473.

    Full description at Econpapers || Download paper

39. Pricing Volatility of Stock Returns with Volatile and Persistent Components. (2008). Zhu, Jie.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-14.

    Full description at Econpapers || Download paper

40. Option Valuation with Long-run and Short-run Volatility Components. (2008). Wang, Yintian ; Jacobs, Kris ; Ornthanalai, Chayawat.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-11.

    Full description at Econpapers || Download paper

41. Volatility Components, Affine Restrictions and Non-Normal Innovations. (2008). Wang, Yintian ; Dorion, Kris.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-10.

    Full description at Econpapers || Download paper

42. Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK. (2007). Spencer, Peter ; Kizys, Renatas.
    In: Discussion Papers.
    RePEc:yor:yorken:07/13.

    Full description at Econpapers || Download paper

43. Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities. (2007). Spencer, Peter ; Kizys, Renatas.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:140.

    Full description at Econpapers || Download paper

44. Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-17.

    Full description at Econpapers || Download paper

45. Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities. (2007). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-16.

    Full description at Econpapers || Download paper

46. Visible and hidden risk factors for banks. (2006). Stiroh, Kevin ; Schuermann, Til.
    In: Staff Reports.
    RePEc:fip:fednsr:252.

    Full description at Econpapers || Download paper

47. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model. (2006). Neely, Christopher ; Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-006.

    Full description at Econpapers || Download paper

48. Expected stock returns and variance risk premia. (2006). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2007-11.

    Full description at Econpapers || Download paper

49. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

    Full description at Econpapers || Download paper

Report date: 2025-10-05 17:08:47 || Missing content? Let us know