Bond, Shaun A.; Hwang, Soosung - In: Real Estate Economics 35 (2007) 3, pp. 349-382
In this article three econometric issues related to private-equity return indices, such as real estate indices, are explored (smoothing, nonsynchronous appraisal and cross-sectional aggregation). Under certain assumptions, it is found that index returns based on appraisals follow an ARFIMA(1, d,...