Price and volatility dynamics between securitized real estate spot and futures markets

Date

2013

Authors

Shi, Jing
Xu, Tracy

Journal Title

Journal ISSN

Volume Title

Publisher

Butterworths

Abstract

This study is among the first to examine the price, volatility and covariance dynamics between securitized real estate spot and futures markets. It provides a distinctive and yet complementary perspective on the predictability of real estate spot return a

Description

Keywords

Keywords: Asymmetric effect; Basis; Multivariate GARCH; Real estate futures; Recursive cointegration analysis

Citation

Source

Economic Modelling

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1016/j.econmod.2013.08.003

Restricted until

2037-12-31