This study compares the relative performance of several well-known models in the forecasting of REIT volatility. Overall our results suggest that long-memory models (ARFIMA & FIGARCH) provide the best forecasts. Using either a large sample or some statistically justified small subsamples, we...

Economic theory predicts three possibilities for the cointegration relationship between house prices and economic fundamentals: linear cointegration, nonlinear cointegration, and no cointegration. In contrast, the empirical literature has only examined linear cointegration. This article argues...

This paper extends the REIT literature on international market linkages by introducing a time scale dimension. In particular, we apply the maximum overlap discrete wavelet transform (MODWT) to seven major global REIT markets, and investigate their linkages among returns and volatilities at...