## Abstract The present study applies GARCH models to explain and forecast the variation in monthly IPD total returns for office, retail and industrial space. With the exception of retail returns, the forecasting performance of the estimated GARCH models is very good. Over the 16βmonth period from
The information content of the yield curve in Australia
β Scribed by Costas I. Karfakis; Demetrios M. Moschos
- Book ID
- 113248333
- Publisher
- Elsevier Science
- Year
- 1995
- Tongue
- English
- Weight
- 783 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0164-0704
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This study develops an implied volatility index for the Australian stock market, termed as the AVX, and assesses its information content. The AVX is constructed using S&P/ASX 200 index options with a constant timeβtoβmaturity of three months. It is observed that the AVX has a significan
This study considers whether the slope of the yield curve for New Zealand contains useful economic information. In order to provide some perspective, the present study also contrasts the New Zealand experience with evidence based on US and Australian data. The principal findings of this study are as