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房地产投资信托基金与股票的时变积分:卡尔曼滤波方法

Q2 Economics, Econometrics and Finance
Journal of Real Estate Portfolio Management Pub Date : 2020-07-02 DOI:10.1080/10835547.2020.1858009
Stephen Lee
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引用次数: 2

摘要

本文采用Korajczyk(1996)市场整合指数和卡尔曼滤波对股权型房地产投资信托基金(REITs)与股票市场的市场整合程度进行了检验。
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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Time-Varying Integration of REITs with Stocks: A Kalman Filter Approach
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...
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来源期刊
Journal of Real Estate Portfolio Management
Journal of Real Estate Portfolio Management Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
自引率
0.00%
发文量
13
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.
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