Akinsomi, O., Aye, G. C., Babalos, V., Economou, F., & Gupta, R. (2016). Real estate returns predictability revisited: novel evidence from the US REITs market.
Andersen, T. G., & Bollerslev, T. (1998). Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International economic review, 885-905.
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.
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.
Bernanke, B.S. (1983). Irreversibility, uncertainty, and cyclical investment. The Quarterly Journal of Economics, 98 (1), 85–106.
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.
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.
- 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
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.
Bredin, D., O'Reilly, G., & Stevenson, S. (2007). Monetary shocks and REIT returns. Journal of Real Estate Finance and Economics, 35, 315-331.
Campbell, J.Y., (2008) Viewpoint: estimating the equity premium. Canadian Journal of Economics, 41, 1-21.
Chan, J. C., & Grant, A. L. (2016). Modeling energy price dynamics: GARCH versus stochastic volatility. Energy Economics, 54, 182-189.
Clark, T. E., & West, K. D. (2007). Approximately normal tests for equal predictive accuracy in nested models. Journal of econometrics, 138(1), 291-311.
Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7, 174-196.
Cotter, J., & Stevenson, S. (2008). Modeling long memory in REITs. Real Estate Economics, 36(3), 533-554.
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.
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.
Ghysels, E., & Sohn, B. (2009). Which power variation predicts volatility well?. Journal of Empirical Finance, 16(4), 686-700.
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.
Ghysels, E., Sinko, A., & Valkanov, R. (2007). MIDAS regressions: Further results and new directions. Econometric reviews, 26(1), 53-90.
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.
Ji, Q., Zhang, D., & Zhao, Y. (2020). Searching for safe-haven assets during the COVID-19 pandemic. International Review of Financial Analysis, 71, 101526.
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.
- 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
Li, J., Li, G., & Zhou, Y. (2015). Do securitized real estate markets jump? International evidence. Pacific-Basin Finance Journal, 31, 13-35.
- 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
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.
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.
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.
Ma, F., Liang, C., Zeng, Q., & Li, H. (2021). Jumps and oil futures volatility forecasting: a new insight. Quantitative Finance, 21(5), 853-863.
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.
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.
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.
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.
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.
Nazlioglu, S., Gupta, R., Gormus, A., & Soytas, U. (2020). Price and volatility linkages between international REITs and oil markets. Energy Economics, 88, 104779.
- 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
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.
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.
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.
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.
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.
- 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
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.
- 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
- 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
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.
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.
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.
Zhou, J. (2017). Forecasting REIT volatility with high-frequency data: a comparison of alternative methods. Applied Economics, 49(26), 2590-2605.
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.