In this paper the stochastic behavior of the returns on real estate investment trusts (REITs) is examined by using the unobserved component Markov switching (UC-MS) model. This approach endogenously permits the volatility to switch as the date and regime change and allows us to decompose the...

This paper intends to investigate the duration dependent feature of Taiwan's business cycles. The constant Markov switching model is revised to take account of the duration dependent feature. The most innovative findings herein are that there is no duration dependence for contraction for the...