bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and … results from different cointegration methodologies and explicitly control for instability in cointegration relationships and … covering 20 years. In line with previous studies, the empirical results indicate several cointegration relationships between …

bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and … results from different cointegration methodologies and explicitly control for instability in cointegration relationships and … covering 20 years. In line with previous studies, the empirical results indicate several cointegration relationships between …

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real …. We find strong evidence of fractional cointegration between securitized real estate and the three sets of variables. Such … cointegration for forecasting purposes proves particularly useful since the start of the financial crisis …

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real …. We find strong evidence of fractional cointegration between securitized real estate and the three sets of variables. Such … cointegration for forecasting purposes proves particularly useful since the start of the financial crisis …

bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long … central markets. With respect to the efficient market hypothesis, the findings by cointegration analysis put some further … doubt on its validity for securitized real estate markets. -- Cointegration ; Correlation Analysis ; Diversification …

the GPR General Property Share Index and the Samp;P/Citigroup World Property Index are more appropriate to examine the …