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What is the effect on portfolios of the time-varying correlation of real estate and company stocks? [electronic resource]

By: Contributor(s): Language: English Series: RICS Findings in Built and Rural Environments ; May 2008Publication details: London RICS 2008Subject(s): LOC classification:
  • 332.6324 $2 18
Online resources: Summary: 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.
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Item type Current library Call number Copy number Status Barcode
Book Virtual Online ONLINE PUBLICATION (Browse shelf(Opens below)) 1 Available 143421-2001

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.

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