"We propose newly developed unsmoothing techniques which are based on a regime-switching Threshold Autoregressive (TAR) model. We first examine analytically conventional unsmoothing techniques which model the true returns by a linear Autoregressive (AR) process ñ and show that when true returns...

"Research on the role of real estate in the mixed asset portfolio, whether in the form of direct private holdings or indirect securitised forms of property investment, has focused on the diversification potential of the asset class. In addition to the investment characteristics of real estate...