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Time Variation in Diversification Benefits of Commodity, REITs, and TIPS

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Cited by:

  1. Spyros Papathanasiou & Dimitris Kenourgios & Drosos Koutsokostas & Georgios Pergeris, 2023. "Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 198-211, May.
  2. Karl Demers‐Bélanger & Van Son Lai, 2020. "Diversification benefits of cat bonds: An in‐depth examination," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(5), pages 165-228, December.
  3. Leh-Chyan So & Jun-Yang Yu, 2015. "IMPROVED DETECTION OF RARE-EVENT RISK OF A PORTFOLIO WITH U.S. REITs," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-25, December.
  4. Lesame, Keagile & Ngene, Geoffrey & Gupta, Rangan & Bouri, Elie, 2024. "Herding in international REITs markets around the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 67(PB).
  5. Bruno Milani & Paulo Sergio Ceretta, 2013. "Do Brazilian REITs depend on Real Estate sector companies or Overall Market?," Economics Bulletin, AccessEcon, vol. 33(4), pages 2948-2957.
  6. Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
  7. Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016. "The informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 1-26.
  8. Yan, Lei & Garcia, Philip, 2017. "Portfolio investment: Are commodities useful?," Journal of Commodity Markets, Elsevier, vol. 8(C), pages 43-55.
  9. Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019. "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
  10. Seung Kul Lee & Hohyun Kim, 2025. "Developing an Enhanced Proxy Benchmark for the Private Debt Market," IJFS, MDPI, vol. 13(3), pages 1-17, June.
  11. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
  12. Yunus, Nafeesa, 2025. "Effects of oil shocks on global securitized real estate markets," Finance Research Letters, Elsevier, vol. 80(C).
  13. Bonato, Matteo & Çepni, Oğuzhan & Gupta, Rangan & Pierdzioch, Christian, 2021. "Do oil-price shocks predict the realized variance of U.S. REITs?," Energy Economics, Elsevier, vol. 104(C).
  14. Lingxiao Li & Bing Zhu, 2024. "REITs’ Stock Return Volatility: Property Market Risk Versus Equity Market Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 452-476, October.
  15. Karanasos, Menelaos & Yfanti, Stavroula & Wu, Jiaying, 2025. "The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets," Journal of Commodity Markets, Elsevier, vol. 38(C).
  16. Shelly Singhal & Pratap Chandra Biswal, 2021. "Dynamic Commodity Portfolio Management: A Regime-switching VAR Model," Global Business Review, International Management Institute, vol. 22(2), pages 532-549, April.
  17. Yen-Hsien Lee, 2014. "An international analysis of REITs and stock portfolio management based on dynamic conditional correlation models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 165-180, May.
  18. Karanasos, M. & Yfanti, S., 2021. "On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  19. Cao, Jie & Han, Bing & Song, Linjia & Zhan, Xintong, 2023. "Option price implied information and REIT returns," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 13-28.
  20. Yener Cos‚kun & A. Sevtap Selcuk-Kestel & Bilgi Yilmaz, 2017. "Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(4), pages 199-215, December.
  21. Salisu, Afees A. & Akinsomi, Omokolade & Ametefe, Frank Kwakutse & Hammed, Yinka S., 2024. "Gold market volatility and REITs' returns during tranquil and turbulent episodes," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  22. Fethke, Tobias & Prokopczuk, Marcel, 2018. "Is Commodity Index Investing Profitable?," Hannover Economic Papers (HEP) dp-635, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  23. Grosche, Stephanie & Heckelei, Thomas, "undated". "Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets," Discussion Papers 166079, University of Bonn, Institute for Food and Resource Economics.
  24. Metin Ilbasmıs & Marc Gronwald & Yuan Zhao, 2025. "The impact of dividend payout policies on real estate market diversification," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(2), pages 1049-1073, April.
  25. Bernardo, Márcio R. & Campani, Carlos Heitor, 2019. "Liability driven investment with alternative assets: Evidence from Brazil," Emerging Markets Review, Elsevier, vol. 41(C).
  26. Metin Ilbasmis & Marc Gronwald & Yuan Zhao, 2018. "Diversification Power of Real Estate Market Securities: The Role of Financial Crisis and Dividend Policy," CESifo Working Paper Series 7015, CESifo.
  27. Pawan Jain & Mark Sunderman & K. Janean Westby-Gibson, 2017. "REITs and Market Microstructure: A Comprehensive Analysis of Market Quality," Journal of Real Estate Research, Taylor & Francis Journals, vol. 39(1), pages 65-98, January.
  28. Nguyen, Duc Khuong & Topaloglou, Nikolas & Walther, Thomas, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," MPRA Paper 103870, University Library of Munich, Germany.
  29. Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021. "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers 202152, University of Pretoria, Department of Economics.
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