Not all REITs are alike: modelling the dynamic connectedness of sectoral REITs and the US yield curve

IF 1.8 3区经济学 Q2 ECONOMICS

Applied Economics Pub Date : 2024-07-10 DOI:10.1080/00036846.2024.2373408

Zaghum Umar, Tamara Teplova

引用次数: 0

Abstract

We model the dynamic connectedness between key sectoral REITs and the yield curve’s constituents. We employ both return and volatility of REITs and conduct analysis in static as well as time-varyin...

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并非所有房地产投资信托基金都一样：部门房地产投资信托基金与美国收益率曲线动态关联建模

我们建立了主要行业房地产投资信托基金与收益率曲线成分之间的动态联系模型。我们同时采用房地产投资信托的收益率和波动率，并在静态和时变的条件下进行分析。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Economics ECONOMICS-

CiteScore

3.80

自引率

4.50%

发文量

525

期刊介绍： Applied Economics is a peer-reviewed journal encouraging the application of economic analysis to specific problems in both the public and private sectors. It particularly fosters quantitative studies, the results of which are of use in the practical field, and thus helps to bring economic theory nearer to reality. Contributions which make use of the methods of mathematics, statistics and operations research will be welcomed, provided the conclusions are factual and properly explained.