model of Cochrane (1994) to the member countries of the G-7 and Australia. Our estimates reveal, that to a close …

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real … forecasting implications are also considered. Empirical analyses are conducted using data for the U.S., the U.K., and Australia …. We find strong evidence of fractional cointegration between securitized real estate and the three sets of variables. Such …