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ポートフォリオ選択における不動産と他の複数資産の時系列的関係性
https://doi.org/10.18901/00000595
https://doi.org/10.18901/00000595ff676d09-ef88-43d6-97ed-2a3882df9fc3
名前 / ファイル | ライセンス | アクション |
---|---|---|
028-48 suzuki (1.4 MB)
|
Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2015-06-10 | |||||
タイトル | ||||||
タイトル | ポートフォリオ選択における不動産と他の複数資産の時系列的関係性 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Time-Series Relationship between Real Estate and Other Asset Classes for Portfolio Selection | |||||
言語 | ||||||
言語 | jpn | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 投資不動産 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 総合収益 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 多変量時系列分析 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | ベクトル誤差修正モデル | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | マルチアセット・ポートフォリオ | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
ID登録 | ||||||
ID登録 | 10.18901/00000595 | |||||
ID登録タイプ | JaLC | |||||
著者名 |
鈴木, 英晃
× 鈴木, 英晃× 高辻, 秀興 |
|||||
著者名(英) |
Suzuki, Hideaki
× Suzuki, Hideaki× TAKATSUJI, Hideoki |
|||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | For better understanding of real estate in a multi-asset portfolio, this research focuses on time-series relation of real estate with its other asset classes in total return. VECM confirmed a lead-lag relationship between REITs, equities and investment real estate, that JREITs, large-cap equities and mid-cap equities lead real estate. It was also found that JREITs have a significant impact on forecast errors of real estate at almost 40%, and that large-cap equities have large impacts on both JREITs and real estate in forecast errors. | |||||
書誌情報 |
麗澤学際ジャーナル en : Reitaku Journal of Interdisciplinary Studies 巻 23, p. 21-48, 発行日 2015-03-20 |
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出版者 | ||||||
出版者 | 麗澤大学経済学会 | |||||
ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 2189-5333 |