A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

The popularity of real estate investment trusts (REITs) as an investment vehicle and the
current record-breaking performance of the stock market in the United States have triggered …

This paper confirms that a regime-switching model out-performs a linear VAR model in terms
of understanding the system dynamics of asset returns. Impulse responses of REIT returns to …

This paper analyzes the dynamic interactions between real estate markets, in the US and
the UK and their macroeconomic environments. We apply a new approach based on a …

I develop a semi-automated method that systematically evaluates the information in FOMC
meeting documents. This method highlights economic conditions and calculates document …

We tests two important implications for Real Estate Investment Trust (REIT) market efficiency
from the adaptive markets hypothesis (Lo, 2004): first, market efficiency is not an all-or-none …

We use an international dataset on 5‐min interval intraday data covering nine leading
markets and regions to construct measures of realized volatility, realized jumps, realized …

The crisis of 2008 started with asset price bubbles which spread to other sectors, thus
driving a recession. Turmoil in the housing sector can directly harm the domestic economy …

This paper examines the quantile connectedness between Real Estate Investment Trusts
(REITs), housing market sentiment, and stock market sentiment in the US over the period …

The 2008 financial crisis demonstrates that studies on property price volatility are important
because it impacts domestic economic conditions. This study identifies the volatility of …