A great deal of research has examined comovements between commercial real estate returns and macroeconomic variables in the US economy. These relationships have attracted less research interest for the UK real estate market, despite this being the largest European Market. This cross-sectional...

We propose newly developed unsmoothing techniques for appraisal-based real estate returns based on a regime-switching Threshold Autoregressive (TAR) model. We show that when true returns follow a TAR process, conventional linear autoregressive technique are misspecified and underestimate true...

"This book offers a practical explanation of the property boom funded by generous bank lending, the impact of the credit crunch on the real estate industry, the downfall of the banks, the impact on property investors large and small, and how the financial institutions have sought to recover from...

This paper uses regime-switching models of the threshold type to analyze the adjustment process of rental prices for three UK commercial real estate sectors over the period 1974 to 2008. The non-linear models outperform their linear counterparts in in-sample fit. Their out-of-sample forecasting...

Intro -- Title Page -- Copyright Page -- Contents -- List of Figures -- Acknowledgements -- Chapter 1 Introduction -- Sub-prime Lending Enters the Financial Vocabulary -- The Global Extension -- Commercial Property Market Context -- Past UK Experience -- A Worldwide Phenomenon -- Commercial...