create a website

Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty. (2021). GUPTA, RANGAN ; Cepni, Oguzhan ; Wang, Jiqian ; Ma, Feng.
In: Working Papers.
RePEc:pre:wpaper:202173.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 51

References cited by this document

Cocites: 35

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Akinsomi, O., Aye, G. C., Babalos, V., Economou, F., & Gupta, R. (2016). Real estate returns predictability revisited: novel evidence from the US REITs market.

  2. Andersen, T. G., & Bollerslev, T. (1998). Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International economic review, 885-905.

  3. Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007). Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. The review of economics and statistics, 89(4), 701-720.

  4. Baker, S. R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C., & Viratyosin, T. (2020). The unprecedented stock market impact of COVID-19. The Review of Asset Pricing Studies, 10(4), 742–758.

  5. Bernanke, B.S. (1983). Irreversibility, uncertainty, and cyclical investment. The Quarterly Journal of Economics, 98 (1), 85–106.

  6. Bollerslev, T., Hood, B., Huss, J., & Pedersen, L. H. (2018). Risk everywhere: Modeling and managing volatility. The Review of Financial Studies, 31(7), 2729-2773.

  7. Bonato, M. (2019). Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed? Journal of International Financial Markets, Institutions and Money 62, 184−202. Bonato, M., Çepni, O., Gupta, R., and Pierdzioch, C. (Forthcoming). Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs? Energy Economics.

  8. Bonato, M., Çepni, O., Gupta, R., & Pierdzioch, C. (2021a). Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts: A note. International Review of Finance. DOI: https://doi.org/10.1111/irfi.12357.
    Paper not yet in RePEc: Add citation now
  9. Bonato, M., Çepni, O., Gupta, R., & Pierdzioch, C. (2021b).. Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis. Journal of Forecasting. DOI: https://doi.org/10.1002/for.2813.

  10. Bredin, D., O'Reilly, G., & Stevenson, S. (2007). Monetary shocks and REIT returns. Journal of Real Estate Finance and Economics, 35, 315-331.

  11. Campbell, J.Y., (2008) Viewpoint: estimating the equity premium. Canadian Journal of Economics, 41, 1-21.

  12. Chan, J. C., & Grant, A. L. (2016). Modeling energy price dynamics: GARCH versus stochastic volatility. Energy Economics, 54, 182-189.

  13. Clark, T. E., & West, K. D. (2007). Approximately normal tests for equal predictive accuracy in nested models. Journal of econometrics, 138(1), 291-311.

  14. Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7, 174-196.

  15. Cotter, J., & Stevenson, S. (2008). Modeling long memory in REITs. Real Estate Economics, 36(3), 533-554.

  16. Demirer, R., Gupta, R., Pierdioch, C., & Shahzad, S.J.H. (2020). The predictive power of oil price shocks on realized volatility of oil: A note? Resources Policy, 69, 101856.

  17. Devaney, M. (2001). Time-varying risk premia for real estate investment trusts: a GARCH-M model. Quarterly Review of Economics and Finance, 41, 335-346.

  18. Ghysels, E., & Sohn, B. (2009). Which power variation predicts volatility well?. Journal of Empirical Finance, 16(4), 686-700.

  19. Ghysels, E., Santa-Clara, P., & Valkanov, R. (2006). Predicting volatility: getting the most out of return data sampled at different frequencies. Journal of Econometrics, 131(1-2), 59-95.

  20. Ghysels, E., Sinko, A., & Valkanov, R. (2007). MIDAS regressions: Further results and new directions. Econometric reviews, 26(1), 53-90.

  21. He, C. W., Chang, K. L., & Wang, Y. J. (2020). Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market. Finance Research Letters, 34, 101238.

  22. Ji, Q., Zhang, D., & Zhao, Y. (2020). Searching for safe-haven assets during the COVID-19 pandemic. International Review of Financial Analysis, 71, 101526.

  23. Kawaguchi, Y., Sa-Aadu, J., & Shilling, J.D. (2017). REIT Stock Price Volatility and the Effects of Leverage. Real Estate Economics, 45(2), 452-477.

  24. Lee, Y-H., & Pai, T-Y. (2010). REIT volatility prediction for skew-GED distribution of the GARCH model. Expert Systems with Applications, 37, 4737-4741.
    Paper not yet in RePEc: Add citation now
  25. Li, J., Li, G., & Zhou, Y. (2015). Do securitized real estate markets jump? International evidence. Pacific-Basin Finance Journal, 31, 13-35.

  26. Liang, C., Liao, Y., Ma, F., & Zhu, B. (2021). United States Oil Fund volatility prediction: the roles of leverage effect and jumps. Empirical Economics, 1-24.
    Paper not yet in RePEc: Add citation now
  27. Liang, C., Wei, Y., & Zhang, Y. (2020). Is implied volatility more informative for forecasting realized volatility: An international perspective. Journal of Forecasting, 39(8), 1253-1276.

  28. Liu, L. Y., Patton, A. J., & Sheppard, K. (2015). Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes. Journal of Econometrics, 187(1), 293-311.

  29. Ma, F., Liang, C., Ma, Y., & Wahab, M. I. M. (2020). Cryptocurrency volatility forecasting: AMarkov regime-switching MIDAS approach. Journal of Forecasting, 39(8), 1277-1290.

  30. Ma, F., Liang, C., Zeng, Q., & Li, H. (2021). Jumps and oil futures volatility forecasting: a new insight. Quantitative Finance, 21(5), 853-863.

  31. Ma, F., Liao, Y., Zhang, Y., & Cao, Y. (2019). Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks. Journal of Empirical Finance, 52, 40-55.

  32. Ma, F., Wahab, M. I. M., Huang, D., & Xu, W. (2017). Forecasting the realized volatility of the oil futures market: A regime switching approach. Energy Economics, 67, 136-145.

  33. Marfatia, H. A., Gupta, R., & Cakan, E. (2017). The international REIT’s time-varying response to the US monetary policy and macroeconomic surprises. The North American Journal of Economics and Finance, 42, 640-653.

  34. Marfatia, H.A., Gupta, R., and Lesame, K. (2021). Dynamic Impact of Unconventional Monetary Policy on International REITs. Journal of Risk and Financial Management 14(9), 429.

  35. Nazlioglu, S., Gormus, N.A., & Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175.

  36. Nazlioglu, S., Gupta, R., Gormus, A., & Soytas, U. (2020). Price and volatility linkages between international REITs and oil markets. Energy Economics, 88, 104779.

  37. Odusami, B.O. (2021b). Forecasting the Value-at-Risk of REITs using realized volatility jump models. The North American Journal of Economics and Finance, 58, 101426 Odusami, B.O. (2021a). Volatility jumps and their determinants in REIT returns. Journal of Economics and Business, 113, 105943.
    Paper not yet in RePEc: Add citation now
  38. Patton, A. J., & Sheppard, K. (2015). Good volatility, bad volatility: Signed jumps and the persistence of volatility. Review of Economics and Statistics, 97(3), 683-697.

  39. Pavlova, I., Cho, J. H., Parhizgari, A. M., & Hardin III, W. G. (2014). Long memory in REIT volatility and changes in the unconditional mean: a modified FIGARCH approach. Journal of Property Research, 31(4), 315-332.

  40. Rapach, D. E., Strauss, J. K., & Zhou, G. (2010). Out-of-sample equity premium prediction: Combination forecasts and links to the real economy. The Review of Financial Studies, 23(2), 821-862.

  41. Rossi, B., & Inoue, A. (2012). Out-of-sample forecast tests robust to the choice of window size. Journal of Business & Economic Statistics, 30(3), 432-453.

  42. Santos, D. G., & Ziegelmann, F. A. (2014). Volatility forecasting via MIDAS, HAR and their combination: An empirical comparative study for IBOVESPA. Journal of Forecasting, 33(4), 284-299.

  43. Schwert, G.W. (1989). Why does stock market volatility change over time?. Journal of Finance, 44(5), 1115-1153.
    Paper not yet in RePEc: Add citation now
  44. Segnon, M., Gupta, R., Lesame, K., & Wohar, M. E. (2021). High-frequency volatility forecasting of US housing markets. The Journal of Real Estate Finance and Economics, 62(2), 283-317.

  45. Stevenson, S. (2002). An examination of volatility spillovers in REIT returns. Journal of Real Estate Portfolio Management, 8, 229-238.
    Paper not yet in RePEc: Add citation now
  46. Tsai, I-C. (2013). Volatility clustering, leverage, size, or contagion effects: The fluctuations of Asian real estate investment trust returns. Journal of Asian Economics, 27, 18-32.
    Paper not yet in RePEc: Add citation now
  47. Wang, J., Huang, Y., Ma, F., & Chevallier, J. (2020). Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence. Energy Economics, 91, 104897.

  48. Wang, Y., Wei, Y., Wu, C., & Yin, L. (2018). Oil and the short-term predictability of stock return volatility. Journal of Empirical Finance, 47, 90-104.

  49. Welch, I., & Goyal, A. (2008). A comprehensive look at the empirical performance of equity premium prediction. The Review of Financial Studies, 21(4), 1455-1508.

  50. Zhou, J. (2017). Forecasting REIT volatility with high-frequency data: a comparison of alternative methods. Applied Economics, 49(26), 2590-2605.

  51. Zhou, J., & Kang, Z. (2011). A comparison of alternative forecast models of REIT volatility. The Journal of Real Estate Finance and Economics, 42(3), 275-294.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment. (2024). Kilincarslan, Erhan ; Demiralay, Sercan.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:69:y:2024:i:3:d:10.1007_s11146-022-09898-w.

    Full description at Econpapers || Download paper

  2. A greater crisis? Investigating MSA-level housing markets during the COVID-19 pandemic. (2024). Huang, Meichi.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002575.

    Full description at Econpapers || Download paper

  3. Gold market volatility and REITs returns during tranquil and turbulent episodes. (2024). Salisu, Afees ; Hammed, Yinka S ; Akinsomi, Omokolade ; Ametefe, Frank Kwakutse.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002801.

    Full description at Econpapers || Download paper

  4. Housing price uncertainty and housing prices in the UK in a time-varying environment. (2023). Wohar, Mark ; Bekun, Festus ; Balcilar, Mehmet ; Uzuner, Gizem.
    In: Empirica.
    RePEc:kap:empiri:v:50:y:2023:i:2:d:10.1007_s10663-023-09567-y.

    Full description at Econpapers || Download paper

  5. Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:88:y:2023:i:c:p:303-314.

    Full description at Econpapers || Download paper

  6. The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks. (2022). Wang, Shixuan ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo.
    In: Working Papers.
    RePEc:pre:wpaper:202219.

    Full description at Econpapers || Download paper

  7. Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach. (2022). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie.
    In: Working Papers.
    RePEc:pre:wpaper:202211.

    Full description at Econpapers || Download paper

  8. Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty. (2022). Salisu, Afees ; Pierdzioch, Christian ; GUPTA, RANGAN ; Marfatia, Hardik A.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:64:y:2022:i:4:d:10.1007_s11146-020-09813-1.

    Full description at Econpapers || Download paper

  9. Predicting House Prices Using DMA Method: Evidence from Turkey. (2022). Drachal, Krzysztof ; Hacievliyagil, Nuri ; Eksi, Ibrahim Halil.
    In: Economies.
    RePEc:gam:jecomi:v:10:y:2022:i:3:p:64-:d:768364.

    Full description at Econpapers || Download paper

  10. Time-frequency transmission mechanism of EPU, investor sentiment and financial assets: A multiscale TVP-VAR connectedness analysis. (2022). Zhang, Zhongqingyang ; Qiao, Xingzhi ; Mao, Weifang ; Zhu, Huiming.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001784.

    Full description at Econpapers || Download paper

  11. Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty. (2021). GUPTA, RANGAN ; Cepni, Oguzhan ; Wang, Jiqian ; Ma, Feng.
    In: Working Papers.
    RePEc:pre:wpaper:202173.

    Full description at Econpapers || Download paper

  12. Impact of Housing Policy Uncertainty on Herding Behavior: Evidence from UKs Regional Housing Markets. (2021). GUPTA, RANGAN ; Ngene, Geoffrey M.
    In: Working Papers.
    RePEc:pre:wpaper:202115.

    Full description at Econpapers || Download paper

  13. What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data. (2021). Wohar, Mark ; Sousa, Ricardo ; GUPTA, RANGAN ; Balcilar, Mehmet.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:62:y:2021:i:1:d:10.1007_s11146-019-09733-9.

    Full description at Econpapers || Download paper

  14. The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach. (2021). Wohar, Mark ; GUPTA, RANGAN ; Cepni, Oguzhan ; Dul, Wiehan.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000544.

    Full description at Econpapers || Download paper

  15. Volatility jumps and their determinants in REIT returns. (2021). Odusami, Babatunde O.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:113:y:2021:i:c:s014861951930414x.

    Full description at Econpapers || Download paper

  16. Do oil-price shocks predict the realized variance of U.S. REITs?. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo.
    In: Energy Economics.
    RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005429.

    Full description at Econpapers || Download paper

  17. Do U.S. and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?. (2021). Chang, Kuang-Liang.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001145.

    Full description at Econpapers || Download paper

  18. Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty. (2020). Salisu, Afees ; Pierdzioch, Christian ; GUPTA, RANGAN ; Marfatia, Hardik A.
    In: Working Papers.
    RePEc:pre:wpaper:202077.

    Full description at Econpapers || Download paper

  19. Dynamic Impact of Unconventional Monetary Policy on International REITs. (2020). GUPTA, RANGAN ; Lesame, Keagile ; Marfatia, Hardik A.
    In: Working Papers.
    RePEc:pre:wpaper:202020.

    Full description at Econpapers || Download paper

  20. Do Oil-Price Shocks Predict the Realized Variance of U.S. REITs?. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Bonato, Matteo.
    In: Working Papers.
    RePEc:pre:wpaper:2020100.

    Full description at Econpapers || Download paper

  21. The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach. (2020). Wohar, Mark ; GUPTA, RANGAN ; Cepni, Oguzhan ; Dul, Wiehan.
    In: Working Papers.
    RePEc:pre:wpaper:202001.

    Full description at Econpapers || Download paper

  22. Price and volatility linkages between international REITs and oil markets. (2020). Soytas, Ugur ; Nazlioglu, Saban ; GUPTA, RANGAN ; Gormus, Alper.
    In: Energy Economics.
    RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301195.

    Full description at Econpapers || Download paper

  23. The US Term Structure and Return Volatility in Global REIT Markets. (2020). Yuksel, Aydin.
    In: International Association of Decision Sciences.
    RePEc:ahq:wpaper:v:24:y:2020:i:3:p:84-109.

    Full description at Econpapers || Download paper

  24. Price and Volatility Linkages between International REITs and Oil Markets. (2019). Soytas, Ugur ; Nazlioglu, Saban ; GUPTA, RANGAN ; Gormus, Alper.
    In: Working Papers.
    RePEc:pre:wpaper:201954.

    Full description at Econpapers || Download paper

  25. Time-varying impact of uncertainty shocks on the US housing market. (2019). GUPTA, RANGAN ; Nyakabawo, Wendy ; Christou, Christina.
    In: Economics Letters.
    RePEc:eee:ecolet:v:180:y:2019:i:c:p:15-20.

    Full description at Econpapers || Download paper

  26. MACROECONOMIC UNCERTAINTY AND THE COMOVEMENT IN BUYING VERSUS RENTING IN THE USA. (2019). GUPTA, RANGAN ; Aye, Goodness C.
    In: Advances in Decision Sciences.
    RePEc:aag:wpaper:v:23:y:2019:i:3:p:93-121.

    Full description at Econpapers || Download paper

  27. Time-Varying Impact of Uncertainty Shocks on the US Housing Market. (2018). GUPTA, RANGAN ; Nyakabawo, Wendy ; Christou, Christina.
    In: Working Papers.
    RePEc:pre:wpaper:201870.

    Full description at Econpapers || Download paper

  28. Does Inequality Really Matter in Forecasting Real Housing Returns of the United Kingdom?. (2018). GUPTA, RANGAN ; Yeganegi, Mohammad Reza ; Hassani, Hossein.
    In: Working Papers.
    RePEc:pre:wpaper:201859.

    Full description at Econpapers || Download paper

  29. Macroeconomic Uncertainty and the Comovement in Buying versus Renting in the United States. (2018). GUPTA, RANGAN ; Aye, Goodness C.
    In: Working Papers.
    RePEc:pre:wpaper:201832.

    Full description at Econpapers || Download paper

  30. The Effect of Economic Uncertainty on the Housing Market Cycle. (2017). GUPTA, RANGAN ; Clance, Matthew ; Aye, Goodness C.
    In: Working Papers.
    RePEc:pre:wpaper:201757.

    Full description at Econpapers || Download paper

  31. The International REITs Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises. (2017). Marfatia, Hardik ; GUPTA, RANGAN ; Cakan, Esin.
    In: Working Papers.
    RePEc:pre:wpaper:201712.

    Full description at Econpapers || Download paper

  32. Does economic policy uncertainty forecast real housing returns in a panel of OECD countries? A Bayesian approach. (2017). GUPTA, RANGAN ; Hassapis, Christis ; Christou, Christina.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:65:y:2017:i:c:p:50-60.

    Full description at Econpapers || Download paper

  33. The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises. (2017). Marfatia, Hardik ; GUPTA, RANGAN ; Cakan, Esin.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:42:y:2017:i:c:p:640-653.

    Full description at Econpapers || Download paper

  34. Forecasting house prices using dynamic model averaging approach: Evidence from China. (2017). Wei, YU ; Cao, Yang.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:61:y:2017:i:c:p:147-155.

    Full description at Econpapers || Download paper

  35. Impact of Volatility and Equity Market Uncertainty on Herd Behavior: Evidence from UK REITs. (2016). Lau, Chi Keung ; GUPTA, RANGAN ; coskun, yener ; Akinsomi, Omokolade ; Marco, Chi Keung.
    In: Working Papers.
    RePEc:pre:wpaper:201688.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-23 14:36:09 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.