Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison

Benjamas Jirasakuldech (), Robert Campbell () and Riza Emekter ()

The Journal of Real Estate Finance and Economics, 2009, vol. 38, issue 2, pages 137-154

Keywords: Real estate; Real estate investment trusts; REITs; GARCH; Price volatility; Conditional volatility; Volatility persistence; Macroeconomic volatility; C14; C22; C32; F31; G12; G15 (search for similar items in EconPapers)
Date: 2009
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