Volatilities and momentum returns in real estate investment trusts

Volatilities and momentum returns in real estate investment trusts

10.1007/s11146-008-9165-8

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Bibliographic Details
Main Authors: Hung, S.-Y.K., Glascock, J.L.
Other Authors: REAL ESTATE
Format: Article
Published: 2016
Subjects:
Asymmetric volatility
GARCH-in-mean model
Idiosyncratic volatility
Liquidity risk
Momentum trading strategy
REITs
Online Access:http://scholarbank.nus.edu.sg/handle/10635/124628
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Institution: National University of Singapore
Description
Summary:10.1007/s11146-008-9165-8

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