Two strands of real estate research--that concerned with the relationships between securitized real estate and the underlying market and that dealing with the role of property in the wider economy--rarely are considered together. The paper utilizes the U.K. equity market and property company...

Quantitative analysis of property performance has tended to rely on linear models. This paper explores the possible insights of using non-linear, regime based models. It is argued that there may exist different regimes depending on the level of real interest rates. This is tested empirically...

"We propose newly developed unsmoothing techniques which are based on a regime-switching Threshold Autoregressive (TAR) model. We first examine analytically conventional unsmoothing techniques which model the true returns by a linear Autoregressive (AR) process ñ and show that when true returns...

"Research on the role of real estate in the mixed asset portfolio, whether in the form of direct private holdings or indirect securitised forms of property investment, has focused on the diversification potential of the asset class. In addition to the investment characteristics of real estate...