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Keywords: Multivariate GARCH model
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Journal Articles
Journal of Property Investment & Finance (2013) 31 (3): 237–253.
Published: 19 April 2013
... GARCH model is used to explore the dynamic connection between REITs and the stock markets. This model can estimate the time‐varying covariance series as well as the variance series of the returns of the REITs and the stock market index. A brief description of the multivariate GARCH model is given...
