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Browsing Economic and Management Sciences by Subject "Mixed data analysis"

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Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach

Salisu, Afees A.; Gupta, Rangan; Bouri, Elie (Elsevier, 2023-04)

We examine the power of global economic conditions (GECON) in forecasting the daily return volatility of various international Real Estate Investment Trusts (REITs) indices. To this end, we use the GARCH-MIDAS framework ...

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