| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5054704 | Economic Modelling | 2013 | 9 Pages |
Abstract
⺠We investigate how to estimate and forecast beta for REITs. ⺠We find that the state space model outperforms other competing methods. ⺠REIT beta is found to be time varying for both in-sample and out-of-sample periods. ⺠REIT beta appears to decline after an extended period of steady increase.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jian Zhou,