Modeling the Volatility of Daily Listed Real Estate Returns during Economic Crises: Evidence from Generalized Autoregressive Conditional Heteroscedasticity Models
In this paper, we focus on the dynamic volatility behavior of the daily Swedish Real Estate Sector Index and analyze the existence and degree of a long-range dependence or asymmetric news effect since 2003. More specifically, we give extra attention to the 2007–2008 financial crisis, the 2009–2012 E...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-01-01
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| Series: | Buildings |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2075-5309/14/1/182 |