Banking System Shocks and REIT Performance

Report English OPEN
Olliges, Jan-Willem ; Raudszus, Malte H. ; Mueller, Glenn R. (2013)
  • Subject: 330 Wirtschaft | ddc:330

The purpose of this study is to directly contrast the REIT market’s stock return response to bank failures versus bank bailouts. The non-negativity constraints of the GARCH model measuring risk dynamics are mitigated by the use of the EGARCH model. EGARCH accounts for n... View more
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