We extend the rational speculative bubbles literature to the frontier emerging stock markets. For this purpose, this paper employs fractional integration tests and duration dependence tests based on the ARFIMA models and nonparametric smoothed hazard functions. Unlike traditional bubble tests,...

Real estate investment trusts (REITs) provide portfolio diversification and tax benefits, a stable stream of income, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence structures of REITs´ returns across quantiles and return...