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Property, securities, real estate investment trusts, REIT, REITs, hedge effectiveness, illiquid assets, portfolio allocation, Sharpe ratio, inflation protection, inflation sensitivity
DCC-GARCH, REITs, Correlation, Volatility, Portfolio optimization, Asset allocation
REITs, Markov switching, Multivariate GARCH, Dynamic conditional correlations
REIT Dividend Policies and Dividend Announcement Effects
DCC-GARCH, REITs, Volatility, Portfolio optimization, Asset allocation
kriging, out of sample prediction, data snooping, local polynomial regression, smoothing regressions, semiparametric models, cluster analysis, nearest neighbors, hedonic models