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

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dc.contributor.authorShi, Jing
dc.contributor.authorXu, Tracy
dc.date.accessioned2015-12-13T22:27:14Z
dc.date.issued2013
dc.date.updated2016-02-24T09:18:25Z
dc.description.abstractThis 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
dc.identifier.issn0264-9993
dc.identifier.urihttp://hdl.handle.net/1885/73854
dc.publisherButterworths
dc.sourceEconomic Modelling
dc.subjectKeywords: Asymmetric effect; Basis; Multivariate GARCH; Real estate futures; Recursive cointegration analysis
dc.titlePrice and volatility dynamics between securitized real estate spot and futures markets
dc.typeJournal article
local.bibliographicCitation.lastpage592
local.bibliographicCitation.startpage582
local.contributor.affiliationShi, Jing, College of Business and Economics, ANU
local.contributor.affiliationXu, Tracy, University of Denver
local.contributor.authoruidShi, Jing, u9702681
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor140200 - APPLIED ECONOMICS
local.identifier.ariespublicationf5625xPUB3860
local.identifier.citationvolume35
local.identifier.doi10.1016/j.econmod.2013.08.003
local.identifier.scopusID2-s2.0-84883649998
local.identifier.thomsonID000329532100070
local.type.statusPublished Version

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