Fractional Cointegration Analysis of Securitized Real Estate
نویسندگان
چکیده
منابع مشابه
Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration
This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this paper is of significant contribution to existing studies since we compare results from different cointegr...
متن کاملMarket Efficiency in the Emerging Securitized Real Estate Markets
This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential criterion in the assessment of the functionality of markets and the asset pricing process, which is of signi...
متن کاملDo securitized real estate markets jump? International evidence ¬リニ
Article history: Received 14 February 2014 Accepted 2 November 2014 Available online 8 November 2014 We apply a jump GARCH model to daily returns of the ten largest international securitized real estatemarkets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price jum...
متن کاملDownside Risk Optimization in Securitized Real Estate Markets
Optimization of international securitized real estate portfolios has been a key topic for several decades. However, most previous analysis has focused on regional diversification by applying the traditional mean-variance (MV) framework suggested by Markowitz (1952) even if the limitations of this approach are well-known. Thus, we focus on a more suitable and appealing downside risk (DR) framewo...
متن کاملFractional Nonparametric Cointegration Analysis
This paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem, extending Bierens’ (1997) approach. To this end, a couple of random matrices is constructed, distinguishing between stationary and nonstationary part of the fractional integrated process. The asymptotic behavior of such matrices is studied and convergence...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Real Estate Finance and Economics
سال: 2010
ISSN: 0895-5638,1573-045X
DOI: 10.1007/s11146-009-9231-x