2021
DOI: 10.1016/j.jeconbus.2020.105943
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Volatility jumps and their determinants in REIT returns

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Cited by 16 publications
(12 citation statements)
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References 29 publications
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“…The analysis shows that COVID-19 has had a significant negative impact on stock returns and a significant positive effect on volatility. Odusami (2021) observed asymmetry in the distribution of jumps, with a higher magnitude of negative jumps than positive jumps. We also found similar results in our analysis; we found that the magnitude of big negative jumps is larger than the magnitude of big positive jumps, and this pattern is consistent for both developed and emerging markets.…”
Section: Discussionmentioning
confidence: 89%
“…The analysis shows that COVID-19 has had a significant negative impact on stock returns and a significant positive effect on volatility. Odusami (2021) observed asymmetry in the distribution of jumps, with a higher magnitude of negative jumps than positive jumps. We also found similar results in our analysis; we found that the magnitude of big negative jumps is larger than the magnitude of big positive jumps, and this pattern is consistent for both developed and emerging markets.…”
Section: Discussionmentioning
confidence: 89%
“…In addition, we also investigate an extended version of the HAR‐RV model in Equation (1) by incorporating jumps ( RJ ), the role of which has been highlighted by Odusami (2021) for REITs RV, as follows: RVt+h=β0+βdRVt+βwRVw,t+βmRVm,t+β1RJt+ϵt+h …”
Section: Methodology and Higher Momentsmentioning
confidence: 99%
“…Merton (1976) first introduced price jumps in his seminal paper, starting an extensive strand of literature in asset pricing and financial econometrics. Jumps identification has profound implications in risk management, asset pricing, valuation of derivatives, and portfolio allocation (Aït-Sahalia 2004;Bajgrowicz et al 2016;Brownlees et al 2020;Odusami 2021;Zhang et al 2020).…”
Section: Introductionmentioning
confidence: 99%