{"title":"Time-Varying Integration of REITs with Stocks: A Kalman Filter Approach","authors":"Stephen Lee","doi":"10.1080/10835547.2020.1858009","DOIUrl":null,"url":null,"abstract":"This paper tests the level of market integration between Equity Real Estate Investment Trusts (REITs) and the stock market, using the Korajczyk (1996) market integration index and the Kalman filter...","PeriodicalId":35895,"journal":{"name":"Journal of Real Estate Portfolio Management","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Real Estate Portfolio Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/10835547.2020.1858009","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 2
Abstract
This paper tests the level of market integration between Equity Real Estate Investment Trusts (REITs) and the stock market, using the Korajczyk (1996) market integration index and the Kalman filter...
期刊介绍:
The Journal of Real Estate Portfolio Management (JREPM) is a publication of the American Real Estate Society (ARES). Its purpose is to disseminate applied research on real estate investment and portfolio management.