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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/65217
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dc.contributor.authorWalid Mensi-
dc.contributor.otherJuan C. Reboredo-
dc.contributor.otherAndrea Ugolini-
dc.contributor.otherVo Xuan vinh-
dc.date.accessioned2022-10-27T02:33:47Z-
dc.date.available2022-10-27T02:33:47Z-
dc.date.issued2022-
dc.identifier.issn1544-6123-
dc.identifier.urihttps://digital.lib.ueh.edu.vn/handle/UEH/65217-
dc.description.abstractWe study price-switching spillovers between real estate investment trusts (REITs), oil, and gold markets by considering high- and low-volatility regimes as described by Markov-switching vector autoregression. Empirical results for different REIT markets indicate that gold (oil) has a lower (higher) impact on REITs in a high-volatility regime than in a low-volatility regime. Furthermore, in a low-volatility regime, gold and oil are net spillover contributors to REITs, while in a high-volatility regime, REITs are net spillover contributors. Price spillovers are time-varying, and climb during the early COVID-19 pandemic period and in early 2022.en
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherElsevier B.V.-
dc.relation.ispartofFinance Research Letters-
dc.relation.ispartofseriesVol. 49-
dc.rightsElsevier B.V.-
dc.subjectREITsen
dc.subjectOilen
dc.subjectGolden
dc.subjectConnectednessen
dc.subjectPrice spilloversen
dc.subjectMS-VAR modelen
dc.titleSwitching connectedness between real estate investment trusts, oil, and gold marketsen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.frl.2022.103112-
ueh.JournalRankingScopus-
item.cerifentitytypePublications-
item.languageiso639-1en-
item.openairetypeJournal Article-
item.grantfulltextnone-
item.fulltextOnly abstracts-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
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