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Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula. (2017). Chang, Kuang-Liang.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:39:y:2017:i:c:p:56-67.

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Cited: 10

Citations received by this document

Cites: 26

References cited by this document

Cocites: 33

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19. (2023). Pergeris, Georgios ; Koutsokostas, Drosos ; Kenourgios, Dimitris ; Papathanasiou, Spyros.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:24:y:2023:i:3:d:10.1057_s41260-022-00292-y.

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  2. COVID-19 and stock returns: Evidence from the Markov switching dependence approach. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000089.

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  3. Machine Learning and Time Series Models for VNQ Market Predictions. (2021). Wei, Yi-Hsuan ; Li, Chia-Hsuan ; Lian, Yu-Min.
    In: Journal of Applied Finance & Banking.
    RePEc:spt:apfiba:v:11:y:2021:i:5:f:11_5_2.

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  4. A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns. (2021). Chang, Kuang-Liang.
    In: Computational Economics.
    RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09981-5.

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  5. Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach. (2020). Peng, Rui ; Cai, Wen-Li ; Pan, Fei ; Liu, Xiang-Dong.
    In: Reliability Engineering and System Safety.
    RePEc:eee:reensy:v:197:y:2020:i:c:s0951832019306854.

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  6. A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. (2019). Panait, Iulian ; Gherghina, Ştefan ; Badea, Leonardo ; armeanu, dan.
    In: Sustainability.
    RePEc:gam:jsusta:v:11:y:2019:i:5:p:1325-:d:210534.

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  7. On REIT returns and (un-)expected inflation: Empirical evidence based on Bayesian additive regression trees. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Nyakabawo, Wendy ; Risse, Marian.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:30:y:2019:i:c:p:160-169.

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  8. Re-investigating the anomalous relationship between inflation and equity REIT returns: A regime-switching approach. (2018). Sarkar, Nityananda ; Das, Mahamitra.
    In: MPRA Paper.
    RePEc:pra:mprapa:95135.

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  9. The International REITs Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises. (2017). Marfatia, Hardik ; GUPTA, RANGAN ; Cakan, Esin.
    In: Working Papers.
    RePEc:pre:wpaper:201712.

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  10. The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises. (2017). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:42:y:2017:i:c:p:640-653.

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References

References cited by this document

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  7. Garcia, R. ; Tsafack, G. Dependence structure and extreme comovements in international equity and bond markets. 2011 Journal of Banking and Finance. 35 1954-1970

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  9. Hardin, W.G. ; Jiang, X. ; Wu, Z. REIT stock prices with inflation hedging and illusion. 2012 Journal of Real Estate Finance and Economics. 45 262-287

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  19. Moerman, G.A. ; van Dijk, M.A. Inflation risk and international asset returns. 2010 Journal of Banking and Finance. 34 840-855

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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.