Islamic REIT response to macroeconomic factors: a markov regime switching auto regressive approach
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References listed on IDEAS
- Alexis Guyot, 2011. "Efficiency and Dynamics of Islamic Investment: Evidence of Geopolitical Effects on Dow Jones Islamic Market Indexes," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(6), pages 24-45, November.
- Fatnassi, Ibrahim & Slim, Chaouachi & Ftiti, Zied & Ben Maatoug, Abderrazek, 2014. "Effects of monetary policy on the REIT returns: Evidence from the United Kingdom," Research in International Business and Finance, Elsevier, vol. 32(C), pages 15-26.
- Cetorelli, Nicola & Peristiani, Stavros, 2013.
"Prestigious stock exchanges: A network analysis of international financial centers,"
Journal of Banking & Finance,
Elsevier, vol. 37(5), pages 1543-1551.
- Nicola Cetorelli & Stavros Peristiani, 2009. "Prestigious stock exchanges: a network analysis of international financial centers," Staff Reports 384, Federal Reserve Bank of New York.
- James E. Payne, 2006. "The response of sub-sector REIT returns to shocks in fundamental state variables," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 71-75, March.
More about this item
KeywordsShariah (Islamic) REIT Index; diversification; Markov regime switching;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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