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...

The term structure of return volatility is estimated for both UK and US direct and securitized commercial real estate, using vector auto-regressions. In a similar manner to the general stock market, returns of UK direct real estate and property shares, as well as US real estate investment trust...