Council of Real Estate Investment Fiduciaries (NCREIF) index. NCREIF total return and appreciation indexes are smooth … NAREIT index to the NCREIF index. In our VAR analysis, the NAREIT index returns Granger cause the returns of the NCREIF … from the NAREIT indexes in both the mean and variance of the index returns. The ARCH dynamics between the NCREIF and NAREIT …

they do on the S&P 500 Index during high-variance regimes. This asymmetric response can be attributed to the Fed …

We develop a programming algorithm that predicts a balanced-panel mix-adjusted house price index for arbitrary spatial …

proxy for direct and privately traded real estate, I use a transaction based index (TBI) based on the data in the NCREIF …