Eres : Digital Library : Works

Paper eres2008_288:
BAYESIAN METHODS APPLIED TO REIT VOLATILITY VIA GARCH MODELS

id eres2008_288
authors Ward, Colin
year 2008
title BAYESIAN METHODS APPLIED TO REIT VOLATILITY VIA GARCH MODELS
source Book of Abstracts: 15th Annual European Real Estate Society Conference in Kraków, Poland
summary Volatility estimation is an integral component of risk management, option pricing, and portfolio allocation. REIT volatility is examined using a Bayesian GARCH model. This paper discusses shortfalls of maximum likelihood estimation, which are commonly used for estimating GARCH models, and elucidates the advantages of the Bayesian alternative. A portfolio allocation problem highlights the differences in decision making from these methods. Conditional variance estimation uncertainty is found to increase with volatility.
series ERES:conference
email CWard@oxfordproperties.com
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ratings
session I1
last changed 2008/11/26 14:05
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