We investigate the relationships between the return on investments in paintings and other financial investments in Turkey. To this aim, we estimate a hedonic price index for a portfolio of Turkish painters. We find that investing in the market for paintings is a viable alternative even in an...

This note studies the long-run relationship between real estate and stock markets in the Taiwan context over the 1986Q3 to 2006Q4 period, using standard cointegration test of Johansen and Juselius (1990) and that of Engle-Granger (1987) as well as the fractional cointegration test of Geweke and...

We employ the Log-linearization and VAR method proposed by Campbell and Ammer (1993) to decompose the excess J-REIT equity return into three components: dividends, real interests and future excess returns. We find that the news about dividends combined with future excess returns account most of...

In this study, we revisit the issue as to the presence of Rational Bubbles in the Korea stock market during the May 1996 to November 2007 period using three cointegration tests, namely JJ (Johansen and Juselius, 1990), KSS (Kapetanois et al., 2006) and BN (Bierens, 1997, 2004) approaches. The...

This paper investigates the effect of exchange rate volatility on the UK's import trade. As part of econometric problems arising from a measured volatility, we consider a special case when an ARCH type auxiliary model is used to measure uncertainty in the exchange rate, and discuss a procedure...

Financial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. This paper employs such an approach in order to rank...

Dependent background risks which have functional forms are introduced into Lucas economies. This paper determines the conditions on preferences to guarantee the monotonicity of asset prices, when dependent background risks satisfy the monotonicity and the single crossing conditions.

The classical realized variance (RV) estimator is biased due to microstructure effects and asset price jumps. Robust realized variance (RRV) estimators adjust for these biases, and make more efficient of use of the intraday data. This article examines the benefits of using RRV estimators instead...

This note studies the long-run relationship between real estate and stock markets in the Taiwan context over the 1986Q3 to 2006Q4 period, using standard cointegration test of Johansen and Juselius (1990) and that of Engle-Granger (1987) as well as the fractional cointegration test of Geweke and...

In this study, we revisit the issue as to the presence of Rational Bubbles in the Korea stock market during the May 1996 to November 2007 period using three cointegration tests, namely JJ (Johansen and Juselius, 1990), KSS (Kapetanois et al., 2006) and BN (Bierens, 1997, 2004) approaches. The...