Akinsomi, Omokolade, Goodness C Aye, Vassilios Babalos, Fotini Economou, and Rangan Gupta. 2016. “Real estate returns predictability revisited: novel evidence from the US REITs market.†Empirical Economics, 51 (3): 1165–1190.
Akinsomi, Omokolade, Mehmet Balcilar, Rıza Demirer, and Rangan Gupta. 2016. “The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective.†Journal of Economics and Finance, pp. 1–20.
Andersen, Torben G, Tim Bollerslev, Francis X Diebold, and Clara Vega. 2007. “Real-time price discovery in global stock, bond and foreign exchange markets.†Journal of international Economics, 73 (2): 251–277.
Bai, Jushan and Pierre Perron. 2003. “Computation and analysis of multiple structural change models.†Journal of applied econometrics, 18 (1): 1–22.
Balduzzi, Pierluigi, Edwin J Elton, and T Clifton Green. 2001. “Economic news and bond prices: Evidence from the US Treasury market.†Journal of financial and Quantitative analysis, 36 (04): 523–543.
Bekaert, Geert and Campbell R Harvey. 1995. “Time-varying world market integration.†The Journal of Finance, 50 (2): 403–444.
Bernanke, Ben S and Kenneth N Kuttner. 2005. “What explains the stock market’s reaction to Federal Reserve policy?†The Journal of Finance, 60 (3): 1221–1257.
Bredin, Don, Gerard O’Reilly, and Simon Stevenson. 2011. “Monetary policy transmission and real estate investment trusts.†International Journal of Finance & Economics, 16 (1): 92–102.
Bredin, Don, Stuart Hyde, Dirk Nitzsche, and Gerard O’reilly. 2007. “UK stock returns and the impact of domestic monetary policy shocks.†Journal of Business Finance & Accounting, 34 (5-6): 872–888.
Cakan, Esin, Nadia Doytch, and Kamal P Upadhyaya. 2015. “Does US macroeconomic news make emerging financial markets riskier?†Borsa Istanbul Review, 15 (1): 37–43.
- Campbell, John Y, Andrew Wen-Chuan Lo, and Archie Craig MacKinlay. 1997. The econometrics of financial markets, princeton University press.
Paper not yet in RePEc: Add citation now
- Caporale, Guglielmo Maria, Ricardo M Sousa, and Mark E Wohar. 2016. “Can the Consumption– Wealth Ratio Predict Housing Returns? Evidence from OECD Countries.†Real Estate Economics.
Paper not yet in RePEc: Add citation now
Chang, Kuang-Liang. 2017. “Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula.†The North American Journal of Economics and Finance, 39, 56–67.
Claus, Edda and Mardi Dungey. 2016. “Can monetary policy surprises affect the term structure?†Journal of Macroeconomics, 47, 68–83.
Claus, Edda, Iris Claus, Leo Krippner et al. 2014. “Asset markets and monetary policy shocks at the zero lower bound.†Technical Report, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
Cochrane, John H and Monika Piazzesi. 2002. “The Fed and interest rates: A high-frequency identification. †Technical Report, National Bureau of Economic Research.
Cook, Timothy and Thomas Hahn. 1989. “The effect of changes in the federal funds rate target on market interest rates in the 1970s.†Journal of Monetary Economics, 24 (3): 331–351.
- Cooley, Thomas F and Edward C Prescott. 1976. “Estimation in the presence of stochastic parameter variation.†Econometrica: journal of the Econometric Society, pp. 167–184.
Paper not yet in RePEc: Add citation now
Diebold, Francis X and Kamil Yilmaz. 2013. “Measuring the dynamics of global business cycle connectedness.†Diebold, Francis X and Kamil Yilmaz. 2015. Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring, Oxford University Press, USA.
- Ghysels, E, A Plazzi, WN Torous, and Valkanov RI. “Forecasting Real Estate Prices, Handbook of Economic Forecasting: Vol II,(G. Elliott and A. Timmermann, eds.).†2012.
Paper not yet in RePEc: Add citation now
- Ghysels, Eric, Alberto Plazzi, Rossen Valkanov, Walter Torous et al. 2013. “Forecasting Real Estate Prices.†Handbook of Economic Forecasting, 2, 509–580.
Paper not yet in RePEc: Add citation now
- Gürkaynak, Refet S, Brian P Sack, and Eric T Swanson. 2012. “Market-based measures of monetary policy expectations.†Journal of Business & Economic Statistics.
Paper not yet in RePEc: Add citation now
Hausman, Joshua and Jon Wongswan. 2011. “Global asset prices and FOMC announcements.†Journal of International Money and Finance, 30 (3): 547–571.
Hong, Gwangheon and Bong Soo Lee. 2013. “Does Inflation Illusion Explain the Relation between REITs and Inflation?†The Journal of Real Estate Finance and Economics, 47 (1): 123–151.
Kishor, N Kundan and Hardik A Marfatia. 2013. “The time-varying response of foreign stock markets to US monetary policy surprises: Evidence from the Federal funds futures market.†Journal of International Financial Markets, Institutions and Money, 24, 1–24.
Kroencke, Tim A, Felix Schindler, and Bertram I Steininger. 2016. “Time-varying Macroeconomic Risk of Real Estate Returns.†Krueger, Joel T and Kenneth N Kuttner. 1996. “The fed funds futures rate as a predictor of Federal Reserve policy.†Journal of Futures Markets, 16 (8): 865–879.
Kuttner, Kenneth N. 2001. “Monetary policy surprises and interest rates: Evidence from the Fed funds futures market.†Journal of monetary economics, 47 (3): 523–544.
- Liu, Jing, Geoffrey Loudon, and George Milunovich. 2012. “Linkages between international REITs: the role of economic factors.†Journal of Property Investment & Finance, 30 (5): 473–492.
Paper not yet in RePEc: Add citation now
Lu, Chiuling, Yiuman Tse, and Michael Williams. 2013. “Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis.†Review of quantitative finance and accounting, 40 (2): 293–318.
Rigobon, Roberto and Brian Sack. 2004. “The impact of monetary policy on asset prices.†Journal of Monetary Economics, 51 (8): 1553–1575.
Scotti, Chiara. 2016. “Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises.†Journal of Monetary Economics, 82, 1–19.
Xu, Pisun and Jian Yang. 2011. “US monetary policy surprises and international securitized real estate markets.†The Journal of Real Estate Finance and Economics, 43 (4): 459–490.
Yilmaz, Kamil. 2010. “Return and volatility spillovers among the East Asian equity markets.†Journal of Asian Economics, 21 (3): 304–313.
Yunus, Nafeesa. 2009. “Increasing convergence between US and international securitized property markets: evidence based on cointegration tests.†Real Estate Economics, 37 (3): 383–411.