创新项对直接房地产回报 GARCH 模型的重要性

IF 2.1 Q2 URBAN STUDIES

Journal of Property Research Pub Date : 2024-05-07 DOI:10.1080/09599916.2024.2339805

Karl-Friedrich Keunecke, Cay Oertel

引用次数: 0

摘要

房地产（资本价值）直接回报的条件波动过程的自回归异方差效应受到计量经济学的广泛关注。然而，尽管许多计量经济学方法都在研究自回归异方差效应，但它们的研究范围却很有限。

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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Importance of the innovation term for GARCH modelling of direct real estate returns

The autoregressive heteroscedastic effects of the conditional volatility processes of direct real estate (capital value) returns are subject to a broad range of econometrics. However, while many sp...

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来源期刊

Journal of Property Research URBAN STUDIES-

CiteScore

3.80

自引率

5.30%

发文量

期刊介绍： The Journal of Property Research is an international journal. The title reflects the expansion of research, particularly applied research, into property investment and development. The Journal of Property Research publishes papers in any area of real estate investment and development. These may be theoretical, empirical, case studies or critical literature surveys.