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Hazard models are used to test for duration dependence in the market for real estate investments trusts. Duration dependence implies an ability to predict the turning points of a cycle. In a sense, these models attempt to predict the timing of mean reversion of the market indices. Since the only...
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This paper examines the transmission of shocks across equity, mortgage, and hybrid real estate investment trusts (REITs). Though the augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski-Phillips-Schmidt-Shin unit root tests reveal that the respective REITs are integrated of order one,...
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This study extends the recent work on interest rate pass through from the federal funds rate to mortgage rates. The Enders-Siklos (2001) momentum threshold autoregressive (MTAR) model is used to test for cointegration and asymmetric adjustment in adjustable rate mortgages for newly built and...
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