Hutchison, Norman; Fraser, Patricia; Adair, Alastair; … - In: Journal of Property Research 29 (2012) 3, pp. 247-269
Using a Markov Switching Model, the hypothesis that <italic>ex post</italic> commercial sector risk premiums have stable mean values within a time-varying framework is investigated. The probabilities of shifting expected values and the transitional probabilities of remaining in a high (low)-risk state at each...