In this study we present an alterntive approach to test whether the real estate and equity markets are cointegrated. We develop a nonlinear test which allows for a stochastic trend term as opposed to a deterministic drift term. This is a reasonable approach, because if the real estate market is...

In this paper earnings, dividends and stock prices are modelled within a plausible economic framework. The first stage in the analysis involves characterisation of the dynamic behaviour of earnings, for which evidence was found for mean reverting behaviour in the long term, and weaker evidence...

Since the deregulation of foreign currency markets in 1973, the volatility of foreign exchange rates has increased substantially. Owing to this increased volatility in exchange rates it has become increasingly important to hedge foreign currency exposure. This paper provides a self-financing...