Banking System Shocks and REIT Performance
Raudszus, Malte H.
Mueller, Glenn R.
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...
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