Home
Professor and Director Academics
Iqra University
Citations
9843
Impact Factor
353.058
h-index
54
i10-index
127
No Content

Do Commodities Effectively Hedge Real Estate Risk? A Multi-Scale Asymmetric DCC approach

Resource policy

Indexing : Impact factor: 2.618, Scopus Q1, ABS, ABDC
Abstract

We examine the hedging performance of commodities futures for US real estate portfolios in a multi-scale setting. Dynamic asymmetric conditional correlations and thereafter optimal hedge ratios of real estate stock returns with commodities index, gold, oil and bond returns are estimated to examine hedge effectiveness under heterogeneous market expectations. Rolling window based out-of-sample one-step-ahead forecasts show that commodities index (gold) provide the best hedge to US real estate stocks for short-term (long-term) investments. The results are robust to the choice of model refits and rolling window sizes and provide useful implications for alternate markets' investors.

Keyword

Commodities, Gold, Real estate,ADCC, Hedge ratios

Copyright© draliraza.com 2023 — All Rights Reserved