Xie, Zixiong; Chen, Shyh-Wei - In: Research in International Business and Finance 33 (2015) C, pp. 17-31
This study tests for the presence of Evans’ (1991) periodically collapsing bubbles in four real estate investment trust (REIT) classifications in the US by employing the momentum threshold autoregressive (MTAR) model and the MTAR model with smooth transition in trend (i.e., the LNV-MTAR...