Nonlinear adjustment of short-term deviations impacts on the US real estate market
This study examines whether nonlinear adjustment of short-term deviations impacts US real estate market returns by applying an exponential smooth transition threshold error-correction model with Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) (ESTECM-GARCH). Empirical results demonstrate that the ESTECM-GARCH captures the dynamics of returns more effectively than the Error-Correction Model (ECM) and Exponential Smooth Transition Error-Correction Model (ESTECM). Consequently, the nonlinear behaviour of returns is driven by momentum noise traders and heterogeneous arbitrageurs in Real Estate Investment Trust (REIT) markets.
Year of publication: |
2010
|
---|---|
Authors: | Lee, Yen-Hsien ; Chiu, Chien-Liang |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 17.2010, 6, p. 597-603
|
Publisher: |
Taylor & Francis Journals |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Friends or enemies? : foreign investors in Taiwan
Lin, Cho-min, (2010)
-
Nonlinear adjustment of short-term deviations impacts on the US real estate market
Lee, Yen-Hsien, (2010)
-
Lee, Yen-Hsien, (2011)
- More ...