Muhammad Ibrahim

National University of Singapore (NUS)

Bukit Timah Road 469 G

Singapore, 117591

Singapore

SCHOLARLY PAPERS

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Scholarly Papers (2)

1.

Volatility Decomposition and Correlation in International Securitized Real Estate Markets

Journal of Real Estate Finance and Economics, Vol. 40, No. 2, 2010
Posted: 12 Nov 2009
Kim Hiang Liow and Muhammad Ibrahim
National University of Singapore (NUS) - Department of Real Estate and National University of Singapore (NUS)

Abstract:

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permanent volatility, transitory volatility, Component-GARCH model, correlation, securitized real estate markets

2.

Correlation and Volatility Dynamics in International Real Estate Securities Markets

Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009
Posted: 20 Jul 2009 Last Revised: 10 Nov 2009
National University of Singapore (NUS) - Department of Real Estate, Independent, National University of Singapore (NUS) and National University of Singapore (NUS)

Abstract:

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time-varying correlation, volatility, dynamic conditional correlation model, real estate securities markets, stock markets