An examination of the REIT return–implied volatility relation: a frequency domain approach
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DOI: 10.1007/s12197-016-9378-2
Abstract: This paper examines the relationship between implied volatility (the VIX) and REIT returns using frequency domain approach which allows shocks to vary across frequency bands. The distinguishing feature of the frequency domain method is that… read more here.
Keywords: volatility; frequency domain; reit returns; implied volatility ... See more keywords