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Fractional cointegration analysis of securitized real estate

Serrano, Camilo; Hoesli, Martin - 2009

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...

Persistent link: https://www.econbiz.de/10003970286

Bubble detection and crash prediction in real estate markets: a complex systems approach

Brauers, Maximilian - 2012

Persistent link: https://www.econbiz.de/10009685444

Forecasting the discounts of market prices from appraised values for real estate limited partnerships

Barber, Brad M. - In: Real estate economics : journal of the American Real … 24 (1996) 4, pp. 471-491

Persistent link: https://www.econbiz.de/10001213323

Fractional cointegration analysis of securitized real estate

Serrano, Camilo; Hoesli, Martin - In: The journal of real estate finance and economics 44 (2012) 3, pp. 319-338

Persistent link: https://www.econbiz.de/10009540818

Support vector regression based GARCH model with application to forecasting volatility of financial returns

Chen, Shiyi (contributor); Jeong, Kiho (contributor); … - 2008

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …