Simon Stevenson : Citation Profile


Are you Simon Stevenson?

University of Washington

11

H index

11

i10 index

282

Citations

RESEARCH PRODUCTION:

47

Articles

54

Papers

RESEARCH ACTIVITY:

   20 years (1998 - 2018). See details.
   Cites by year: 14
   Journals where Simon Stevenson has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 22 (7.24 %)

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ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pst884
   Updated: 2019-12-07    RAS profile:    
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Relations with other researchers


Works with:

Akimov, Alexey (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Simon Stevenson.

Is cited by:

Liow, Kim (14)

GUPTA, RANGAN (13)

Zhou, Jian (8)

Hoesli, Martin (6)

Guidolin, Massimo (5)

cotter, john (5)

Marfatia, Hardik (4)

Nagayasu, Jun (4)

Papadimitriou, Theophilos (4)

Hutson, Elaine (4)

Plakandaras, Vasilios (4)

Cites to:

Ling, David (13)

Liow, Kim (13)

Hoesli, Martin (13)

Glascock, John (12)

cotter, john (12)

Engle, Robert (11)

Bernanke, Ben (11)

Lizieri, Colin (10)

Gertler, Mark (10)

Wilson, Patrick (9)

hendershott, patric (9)

Main data


Where Simon Stevenson has published?


Journals with more than one article published# docs
Journal of Property Research7
Journal of Real Estate Research5
The Journal of Real Estate Finance and Economics5
Journal of Housing Economics4
Real Estate Economics3
The European Journal of Finance2
International Journal of Housing Markets and Analysis2
International Real Estate Review2
International Review of Financial Analysis2
Applied Financial Economics2

Working Papers Series with more than one paper published# docs
ERES / European Real Estate Society (ERES)39
Real Estate & Planning Working Papers / Henley Business School, Reading University8
MPRA Paper / University Library of Munich, Germany3
Papers / arXiv.org3

Recent works citing Simon Stevenson (2018 and 2017)


YearTitle of citing document
2018HIGH FREQUENCY IMPACT OF MONETARY POLICY AND MACROECONOMIC SURPRISES ON US MSAS, AGGREGATE US HOUSING RETURNS AND ASYMMETRIC VOLATILITY. (2018). GUPTA, RANGAN ; Marfatia, Hardik A ; Nyakabawo, Wendy. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:22:y:2018:i:1:p:204-229.

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2018Proposition 13: An Equilibrium Analysis. (2018). Tuzel, Elale ; Matoba, Kyle ; Mrohorolu, Aye. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:10:y:2018:i:2:p:24-51.

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2017Forecasting the U.S. Real House Price Index. (2017). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; GUPTA, RANGAN ; Gogas, Periklis. In: Papers. RePEc:arx:papers:1707.04868.

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2017The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate. (2017). Sebastian, Steffen ; Woltering, Rene-Ojas ; Christian, Weis. In: ERES. RePEc:arz:wpaper:eres2017_325.

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2018FX hedging and creditor rights. (2018). Mohanty, MS ; Sundaresan, Suresh. In: BIS Papers chapters. RePEc:bis:bisbpc:96-04.

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2017Australian momentum: performance, capacity and the GFC effect. (2017). Vanstone, Bruce J ; Hahn, Tobias ; Smith, Tom. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:1:p:261-287.

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2018The Consequences of REIT Index Membership for Return Patterns. (2018). wachter, susan ; Steiner, Eva ; Pavlov, Andrey. In: Real Estate Economics. RePEc:bla:reesec:v:46:y:2018:i:1:p:210-250.

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2018Diversification Power of Real Estate Market Securities: The Role of Financial Crisis and Dividend Policy. (2018). Zhao, Yuan ; Gronwald, Marc ; Ilbasmis, Metin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7015.

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2019Residential Property Loans and Bank Performance during Property Price Booms: Evidence from Europe. (2019). Stevenson, Simon ; Martins, Francisco Vitorino ; Serra, Ana Paula. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:1:martinsserramartinsstevenson.

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2017The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises. (2017). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:640-653.

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2018Bitcoin Futures—What use are they?. (2018). Corbet, Shaen ; Vigne, Samuel ; Peat, Maurice ; Lucey, Brian. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:23-27.

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2017Is information assimilated at announcements in the European carbon market?. (2017). Bredin, Don ; Muckley, Cal B ; Chen, Jiayuan . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:234-247.

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2017Diversifying away the risk of war and cross-border political crisis. (2017). , Ayman ; Nolte, Sandra ; Wisniewski, Tomasz Piotr . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:494-510.

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2018Future directions in international financial integration research - A crowdsourced perspective. (2018). Zaghini, Andrea ; Piljak, Vanja ; Kearney, Fearghal ; Fernandez, Viviana ; Gogolin, Fabian ; Versteeg, Roald ; Ly, Kim Cuong ; Urquhart, Andrew ; Lonarski, Igor ; Dimic, Nebojsa ; Stafylas, Dimitrios ; Lindblad, Annika ; Carchano, Oscar ; Sheng, Xin ; Larkin, Charles J ; Brzeszczynski, Janusz ; Sevic, Aleksandar ; Laing, Elaine ; Barbopoulos, Leonidas ; Ballester, Laura ; Ohagan-Luff, Martha ; Ichev, Riste ; Yarovaya, Larisa ; Vigne, Samuel A ; Neville, Conor ; Helbing, Pia ; Wolfe, Simon ; Lucey, Brian M ; McGroarty, Frank ; Goodell, John W ; Vu, Anh N ; McGee, Richard J ; Gonzalez-Urteaga, Ana ; Marin, Matej . In: International Review of Financial Analysis. RePEc:eee:finana:v:55
2019On REIT returns and (un-)expected inflation: Empirical evidence based on Bayesian additive regression trees. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Nyakabawo, Wendy ; Risse, Marian. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:160-169.

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2017Futures markets and real estate public equity: Connectivity of lumber futures and Timber REITs. (2017). Clements, Sherwood ; Jin, Changha ; Tidwell, Alan. In: Journal of Forest Economics. RePEc:eee:foreco:v:28:y:2017:i:c:p:70-79.

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2018Profitability and risk profile of reverse mortgages: A cross-system and cross-plan comparison. (2018). Lee, Yung-Tsung ; Liu, I-Chien ; I-Chien Liu, ; Kung, Ko-Lun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:255-266.

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2018The dynamics of volatility connectedness in international real estate investment trusts. (2018). Liow, Kim Hiang ; Huang, Yuting. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:195-210.

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2018Credit conditions and the housing price ratio: Evidence from Ireland’s boom and bust. (2018). Lyons, Ronan C. In: Journal of Housing Economics. RePEc:eee:jhouse:v:42:y:2018:i:c:p:84-96.

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2018International money supply and real estate risk premium: The case of the London office market. (2018). Coen, Alain ; Simon, Arnaud ; Lefebvre, Benoit. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:82:y:2018:i:c:p:120-140.

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2019Did monetary policy fuel the housing bubble? An application to Ireland. (2019). Hellinckx, Kevin ; Moons, Cindy. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:41:y:2019:i:2:p:294-315.

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2017Explosive rents: The real estate market dynamics in exuberance. (2017). Xiao, Keli ; Fabozzi, Frank J. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:100-107.

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2018The knotty interplay between credit and housing. (2018). Lastauskas, Povilas ; Constantinescu, Mihnea. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:241-266.

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2017Price linkages between Australian housing and stock markets: Wealth effect, credit effect or capital switching?. (2017). Lee, Ming-Te ; Liao, Chien-Ya. In: International Journal of Housing Markets and Analysis. RePEc:eme:ijhmap:ijhma-05-2016-0037.

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2017An examination of the risk-return relation in the Australian housing market. (2017). Lee, Chyi Lin. In: International Journal of Housing Markets and Analysis. RePEc:eme:ijhmap:ijhma-07-2016-0052.

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2019Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions. (2019). Aman, Asia. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:158-:d:272145.

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2018Impact of Property Tax on Housing-Market Disequilibrium in Different Regions: Evidence from Taiwan for the period 1982–2016. (2018). Lin, Sheng-Hau ; Chen, Jia-Tsong ; Huang, Xianjin ; Hsieh, Jing-Chzi. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:11:p:4318-:d:184391.

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2019Multivariate Dynamic Analysis and Forecasting Models of Future Property Bubbles: Empirical Applications to the Housing Markets of Spanish Metropolitan Cities. (2019). Locurcio, Marco ; di Liddo, Felicia ; Saez-Perez, Maria Paz ; Morano, Pierluigi ; Tajani, Francesco. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:13:p:3575-:d:243884.

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2018International money supply and real estate risk premium: The case of the London office market. (2018). Simon, Arnaud ; Lefebvre, Benoit ; Coen, Alain. In: Post-Print. RePEc:hal:journl:hal-01778910.

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2018Increased Tail Dependence in Global Public Real Estate Markets. (2018). Deng, Yang ; Gong, PU. In: International Real Estate Review. RePEc:ire:issued:v:21:n:02:2018:p:145-168.

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2019Interdependence of Securitized Real Estate in Frontier Markets. (2019). Al-Abduljader, Sulaiman T. In: International Real Estate Review. RePEc:ire:issued:v:22:n:01:2019:p:83-108.

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2019Interdependence of Securitized Real Estate in Frontier Markets. (2019). Al-Abduljader, Sulaiman T. In: International Real Estate Review. RePEc:ire:issued:v:22:n:01:2019:p:85-110.

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2017Switching Regime Beta Analysis of Global Financial Crisis: Evidence from International Public Real Estate Markets. (2017). Liow, Kim ; Ye, Qing. In: Journal of Real Estate Research. RePEc:jre:issued:v:39:n:2:2017:p:127_164.

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2018Fundamental Determinants of Real Estate Prices: A Panel Study of German Regions. (2018). Keil, Jonas ; Belke, Ansgar. In: International Advances in Economic Research. RePEc:kap:iaecre:v:24:y:2018:i:1:d:10.1007_s11294-018-9671-2.

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2018Can Investors Hold More Real Estate? Evidence from Statistical Properties of Listed REIT versus Non-REIT Property Companies in the U.S.. (2018). Glascock, John L ; Zhou, Tingyu ; Zhang, Ying ; Prombutr, Wikrom. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:56:y:2018:i:2:d:10.1007_s11146-017-9601-8.

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2018The Anatomy of Public and Private Real Estate Return Premia. (2018). Kroencke, Tim ; Steininger, Bertram I ; Schindler, Felix. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:56:y:2018:i:3:d:10.1007_s11146-017-9646-8.

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2018Stabilising House Prices: the Role of Housing Futures Trading. (2018). Uluc, Arzu. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:56:y:2018:i:4:d:10.1007_s11146-017-9606-3.

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2018Fundamental Drivers of Dependence in REIT Returns. (2018). Alcock, Jamie ; Steiner, Eva. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:57:y:2018:i:1:d:10.1007_s11146-016-9562-3.

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2018On the Earnings and Price Momentum Strategies: Evidence from European Real Estate Firms. (2018). Bron, Jochem J ; Petrova, Milena ; Ghosh, Chinmoy. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:57:y:2018:i:3:d:10.1007_s11146-017-9633-0.

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2019Modelling UK House Prices with Structural Breaks and Conditional Variance Analysis. (2019). Begiazi, Kyriaki ; Katsiampa, Paraskevi. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:58:y:2019:i:2:d:10.1007_s11146-018-9652-5.

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2017The Economics of Vendor Bids. (2017). Stähler, Frank ; Onur, Ilke ; Koska, Onur ; Stahler, Frank. In: ERC Working Papers. RePEc:met:wpaper:1711.

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2017The Impact of Exchange Rate Movements on Firm Value in Visegrad Countries. (2017). imakova, Jana . In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. RePEc:mup:actaun:actaun_2017065062105.

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2017Role of the Exchange Rates in the Stock Price Development of Companies in Chemical Industry. (2017). Ruskov, Nikola ; Imkov, Jana . In: Working Papers. RePEc:opa:wpaper:0042.

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2018The Study of the Effects of Exchange Rates on the Stock Companies in the Eurozones Petrochemical Industry. (2018). Imakova, Jana. In: Working Papers. RePEc:opa:wpaper:0053.

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2018Policy uncertainty, derivatives use, and firm-level FDI. (2018). Nguyen, Quang ; Papanastassiou, Marina ; Kim, Trang. In: Journal of International Business Studies. RePEc:pal:jintbs:v:49:y:2018:i:1:d:10.1057_s41267-017-0090-z.

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2017Using REIT Data to Assess the Economic Worth of Mega-Events: The Case of the 2020 Tokyo Olympics. (2017). Ogawa, Ryoh . In: MPRA Paper. RePEc:pra:mprapa:78829.

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2018Is residential property the ultimate hedge against inflation ? new evidence from Malaysia based on ARDL and nonlinear ARDL. (2018). Masih, Abul ; Aqsha, Nur Suhairah. In: MPRA Paper. RePEc:pra:mprapa:91508.

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2019Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model. (2019). Sarkar, Nityananda ; Kundu, Srikanta ; Das, Mahamitra. In: MPRA Paper. RePEc:pra:mprapa:94707.

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2017The International REITs Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises. (2017). Marfatia, Hardik ; GUPTA, RANGAN ; Cakan, Esin. In: Working Papers. RePEc:pre:wpaper:201712.

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2018High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach. (2018). Marfatia, Hardik ; GUPTA, RANGAN ; Nyakabawo, Wendy. In: Working Papers. RePEc:pre:wpaper:201817.

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2019Price and Volatility Linkages between International REITs and Oil Markets. (2019). Soytas, Ugur ; GUPTA, RANGAN ; Gormus, Alper ; Nazlioglu, Saban. In: Working Papers. RePEc:pre:wpaper:201954.

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2017The Use of Artificial Neural Networks (ANN) in Forecasting Housing Prices in Ankara, Turkey. (2017). Kitapci, Olgun ; Turk, Tarik ; Tuna, Murat Fatih ; Tosun, Omur. In: Journal of Marketing and Consumer Behaviour in Emerging Markets. RePEc:sgm:jmcbem:v:1:i:5:y:2017:p:4-14.

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2018A formal framework for hedonic elementary price indices. (2018). Beer, Michael ; Brachinger, Hans Wolfgang ; Schoni, Olivier. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:102:y:2018:i:1:d:10.1007_s10182-017-0293-4.

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2018Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states. (2018). Shahzad, Syed Jawad Hussain ; Jareño, Francisco ; Jareo, Francisco ; Ferrer, Roman ; Umar, Zaghum. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:42:p:4500-4521.

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2019The investigation of the dynamic linkages between real estate market and stock market in Greece. (2019). Patsika, Victoria ; Kousenidis, Dimitrios ; Kosmidou, Kyriaki ; Gounopoulos, Dimitrios. In: The European Journal of Finance. RePEc:taf:eurjfi:v:25:y:2019:i:7:p:647-669.

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2019Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies. (2019). Huang, Yuting ; Li, Qiang ; Zhou, Xiaoxia ; Liow, Kim Hiang. In: Journal of Property Research. RePEc:taf:jpropr:v:36:y:2019:i:1:p:27-58.

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2017Credit conditions and the housing price ratio: evidence from Irelands bubble and crash. (2017). Lyons, Ronan. In: Trinity Economics Papers. RePEc:tcd:tcduee:tep0717.

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2019Capital Management Risk and Value of the Firm: Perspectives from Private Equity Financial Firms in Kenya. (2019). Macharia, Stephen ; Muchina, Stephen ; Kariuki, Florence Waitherero. In: International Journal of Business and Economic Sciences Applied Research (IJBESAR). RePEc:tei:journl:v:12:y:2019:i:1:p:28-33.

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2018The impact of mandatory governance changes on financial risk management. (2018). Hutson, Elaine ; Hege, Ulrich ; Laing, Elaine. In: TSE Working Papers. RePEc:tse:wpaper:32437.

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2017Teaching the DiPasquale-Wheaton Model. (2017). Desalvo, Joseph . In: Working Papers. RePEc:usf:wpaper:0117.

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2017Derivative Practices in Australian and Canadian Industries. (2017). Wolf, Franziska ; Bhattacharya, Sukanto ; Boulter, Terry. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:20:y:2017:i:04:n:s0219091517500278.

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Works by Simon Stevenson:


YearTitleTypeCited
2011Modeling Long Memory in REITs In: Papers.
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2008Modeling Long Memory in REITs.(2008) In: Real Estate Economics.
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2007Modeling Long Memory in REITs.(2007) In: MPRA Paper.
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2011Uncovering Volatility Dynamics in Daily REIT Returns In: Papers.
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2005Uncovering Volatility Dynamics in Daily REIT Returns.(2005) In: MPRA Paper.
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This paper has another version. Agregated cites: 8
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2011Multivariate Modeling of Daily REIT Volatility In: Papers.
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2006Multivariate Modeling of Daily REIT Volatility.(2006) In: The Journal of Real Estate Finance and Economics.
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2005Multivariate Modeling of Daily REIT Volatility.(2005) In: MPRA Paper.
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2011Multivariate Modelling of Daily REIT Volatility.(2011) In: Working Papers.
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1998Commercial Real Estate and International Diversification In: ERES.
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1999A Long Term Analysis of Regional Housing markets and Inflation In: ERES.
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paper11
2000A Long-Term Analysis of Regional Housing Markets and Inflation.(2000) In: Journal of Housing Economics.
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1999Hedging International Real Estate Investments: Decomposing Returns into Capital and Income Components In: ERES.
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1999Government Intervention and Its Impact on the Housing Market in Greater Dublin In: ERES.
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2000REAL ESTATE PORTFOLIO CONSTRUCTION AND ESTIMATION RISK In: ERES.
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2000A Comparison of Alternative Rental Forecasting Models: Empirical Tests on the London Office Market In: ERES.
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2003A comparison of alternative rental forecasting models: empirical tests on the London office market.(2003) In: Journal of Property Research.
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2001Time Weighted Portfolio Optimisation In: ERES.
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2002Volatility in the Ripple Effect of Regional House Market Dynamics In: ERES.
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2002Hedonic Estimation of Apartment Submarkets In: ERES.
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2003Economic, Demographic and Fiscal Influences on Housing Market Dynamics In: ERES.
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2004New Empirical Evidence on the Speculative Behaviour Present in Residential Property Markets In: ERES.
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2004Real estate in the mixed-asset portfolio: the question of consistency In: ERES.
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2004Real Estate in the Mixed-asset Portfolio: The Question of Consistency.(2004) In: Real Estate & Planning Working Papers.
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2005The Distributional Characteristics of REIT Returns In: ERES.
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2005NY-LON: Does a Single Cross-Continental Office Market Exist? In: ERES.
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2005Modelling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions In: ERES.
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2008Modeling Housing Market Fundamentals: Empirical Evidence of Extreme Market Conditions.(2008) In: Real Estate Economics.
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2005Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities In: ERES.
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2007Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities.(2007) In: The European Journal of Finance.
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2005An Analysis of Residential Auction Sale Prices and Quoted Guide Prices In: ERES.
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2006PERMANENT AND TRANSITORY DRIVERS OF SECURITISED REAL ESTATE In: ERES.
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2006AN ASSET PRICING MODEL OF THE LONDON RESIDENTIAL MARKET In: ERES.
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2007Monetary Policy and Real Estate Investment Trusts In: ERES.
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2007Panel Modelling of Regional Commercial Property Markets: Empirical Evidence from Finland In: ERES.
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2007Mean-Variance Spanning Tests of Real Estateís Portfolio Contribution In: ERES.
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2007Asymmetric Betaís in Bull and Bear Markets: Evidence from US Equity REITs In: ERES.
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2007Conditional Correlations and Real Estate Investment Trusts In: ERES.
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2007Tests of Dynamic Asymmetric Correlations across REIT Sub-Sectors In: ERES.
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2009Dynamics of Residential Market in Ghana: A Comparison In: ERES.
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2011INREV Panel on the Education Requirements of the Indirect Investment Market In: ERES.
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2012Herding in real estate security analysis In: ERES.
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2013The Case for Risk Parity as an Alternative Strategy for Asset Allocation in Real Estate Portfolios In: ERES.
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2013Performance and Cash Flow Drivers of Private Real Estate Funds In: ERES.
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2013Securitised Real Estate Regime-Switching Behaviour and the Relationship with Market Interest Rates In: ERES.
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2013Sponsor, Corporate Governance and Asian REITs Performance In: ERES.
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2014The Sensitivity of European Publically Listed Real Estate to Interest Rates In: ERES.
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2015Toward a Liability Driven Investment Paradigm for DC Pensions: Implication for Real Estate Allocations In: ERES.
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2015Real estate market risk modelling In: ERES.
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2015Rationality and Momentum in Real Estate Investment Forecasts In: ERES.
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2014Rationality and Momentum in Real Estate Investment Forecasts.(2014) In: Real Estate & Planning Working Papers.
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