Co-skewness and Co-kurtosis in Global Real Estate Securities
Co-skewness and Co-kurtosis in Global Real Estate Securities
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Author / Creator
Publisher
Taylor & Francis
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Language
English
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Publisher
Taylor & Francis
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Contents
We explore the question of whether co-skewness and co-kurtosis risk measures can be added to supplement to the covariance risk in pricing global real estate securities and risk premium estimation. Based on a generalized four-moment CAPM with two alternative world market proxies, we examine Linear, Quadratic and Cubic Market Models using GMM and tim...
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Full title
Co-skewness and Co-kurtosis in Global Real Estate Securities
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TN_cdi_informaworld_taylorfrancis_310_1080_09599910500453798
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_informaworld_taylorfrancis_310_1080_09599910500453798
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ISSN
0959-9916
E-ISSN
1466-4453
DOI
10.1080/09599910500453798
