Li, Jinliang; Mooradian, Robert M.; Yang, Shiawee X. - In: Journal of Real Estate Research 31 (2009) 1, pp. 93-116
This paper examines the dynamic behavior of the NCREIF index. NCREIF total return and appreciation indexes are smooth and exhibit strong autocorrelation and autoregressive heteroskedasticity. We test the information transmission from the NAREIT index to the NCREIF index. In our VAR analysis, the...
