For an AR(1) process with ARCH(1) errors, we propose empirical likelihood tests for testing whether the sequence is strictly stationary but has infinte variance, or the sequence is an ARCH(1) sequence or the sequence is an iid sequence. Moreover, an empirical likelihood based confidence interval...

Commercial real estate represents a significant fraction of total U.S. wealth, but its risk and returns at the property level are largely unknown. This paper utilizes detailed cash flow information of 2,845 commercial properties acquired for about $89 billion by institutional investors of NCREIF...

This paper develops a novel empirical method that uses property level cash flow information to estimate the risk and return characteristics of private commercial real estate. Monte Carlo simulations suggest that this method is more accurate than the conventional index-based approach. Applying...

In studies of time series momentum (TSM), the Newey-West t-test has size distortion for linear predictive regression with excess returns because of non-stationarity, endogeneity due to correlated errors, and a lack of finite moments due to heavy tails. To solve these problems, we propose a new...