Lee, Chien-Chiang; Lee, Cheng-Feng; Lee, Chi-Chuan - In: Economic Modelling 42 (2014) C, pp. 29-37
This study examines whether mean reversion in REIT prices presents an asymmetric behavior across various quantiles. Distinguished from previous literature that applied the traditional linear unit-root test, a state-of-the-art quantile unit-root test is employed to identify financial asset...