This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system...

In this paper, we propose a state-dependent VaR (SDVaR) to estimate spill over effects among different financial institutions. We permit spill-over effects to change depending on the state of financial markets. We show that spill-over effects only exist during crisis periods; in calm times spill...

Venture-Capital-Investitionen: Eine empirische Untersuchung der zyklischen Entwicklungen am US-amerikanischen Markt für Risikokapital Unternehmensneugründungen und Innovationen leisten einen wesentlichen Beitrag zum technischen Fortschritt und damit zu einem erhöhten wirtschaftlichen Wachstum...