What is the effect on portfolios of the time-varying correlation of real estate and company stocks? [electronic resource]
Schulz, Rainer
What is the effect on portfolios of the time-varying correlation of real estate and company stocks? [electronic resource] - London RICS 2008 - RICS Findings in Built and Rural Environments May 2008 .
Investigates the time-variation of the correlation between real estate stocks and other company stocks across countries and regions. Considers whether the volatility and correlation can be modelled and forecasted with statistical models and whether investment managers should use such models for their decision marking. Concludes that recently developed time series models fitted with past information can be used to forecast the time-varying correlation.
Advanced
International
332.6324 $2 18
What is the effect on portfolios of the time-varying correlation of real estate and company stocks? [electronic resource] - London RICS 2008 - RICS Findings in Built and Rural Environments May 2008 .
Investigates the time-variation of the correlation between real estate stocks and other company stocks across countries and regions. Considers whether the volatility and correlation can be modelled and forecasted with statistical models and whether investment managers should use such models for their decision marking. Concludes that recently developed time series models fitted with past information can be used to forecast the time-varying correlation.
Advanced
International
332.6324 $2 18