Chen, Shyh-Wei; Shen, Chung-Hua - In: Economic Modelling 29 (2012) 2, pp. 291-298
In this paper the stochastic behavior of the returns on real estate investment trusts (REITs) is examined by using the unobserved component Markov switching (UC-MS) model. This approach endogenously permits the volatility to switch as the date and regime change and allows us to decompose the...