"As real estate forms a significant part of the asset portfolios of most investors and lenders, it is crucial that analysts and institutions employ sound techniques for modelling and forecasting the performance of real estate assets. Assuming only a basic understanding of econometrics, this book...

This paper employs a probit model and a Markov switching model using information from the Conference Board Leading Indicator series to detect the turning points in four key US commercial rents series. We find that both the approaches based on the leading indicator have considerable power to...

This paper is the first to utilize a direct test for periodic, partially collapsing speculative bubbles in US REIT prices. A long history of data is employed for the All, Mortgage and Equity REIT categories. This approach is more powerful than existing tests and is based on the formulation of a...

This paper examines the performance of various statistical models and commonly used financial indicators for forecasting securitised real estate index returns for five European countries: the UK, Belgium, The Netherlands, France and Italy. Within a VAR framework it is demonstrated that the...

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long‐term trend to the raw data, and to derive the short‐term cycles of each...