Gallo, John G.; Lockwood, Larry J.; Zhang, Ying - In: Journal of Real Estate Research 35 (2013) 1, pp. 53-82
We create globally diversified real estate portfolios using cointegration methods over 1992-2009. Cointegration is robust to intertemporal correlation instability, identifies markets that share common factors and long-term trends, and identifies leading markets that do not respond to deviations...