{"title":"Not all REITs are alike: modelling the dynamic connectedness of sectoral REITs and the US yield curve","authors":"Zaghum Umar, Tamara Teplova","doi":"10.1080/00036846.2024.2373408","DOIUrl":null,"url":null,"abstract":"We model the dynamic connectedness between key sectoral REITs and the yield curve’s constituents. We employ both return and volatility of REITs and conduct analysis in static as well as time-varyin...","PeriodicalId":7963,"journal":{"name":"Applied Economics","volume":"35 1","pages":""},"PeriodicalIF":1.8000,"publicationDate":"2024-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/00036846.2024.2373408","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
We model the dynamic connectedness between key sectoral REITs and the yield curve’s constituents. We employ both return and volatility of REITs and conduct analysis in static as well as time-varyin...
期刊介绍：
Applied Economics is a peer-reviewed journal encouraging the application of economic analysis to specific problems in both the public and private sectors. It particularly fosters quantitative studies, the results of which are of use in the practical field, and thus helps to bring economic theory nearer to reality. Contributions which make use of the methods of mathematics, statistics and operations research will be welcomed, provided the conclusions are factual and properly explained.
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