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This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...
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-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate …
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Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …
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