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Fractional Cointegration Analysis of Securitized Real Estate

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  • Camilo Serrano

    ()

  • Martin Hoesli

    ()

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Bibliographic Info

Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 44 (2012)
Issue (Month): 3 (April)
Pages: 319-338

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Handle: RePEc:kap:jrefec:v:44:y:2012:i:3:p:319-338

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Web page: http://www.springerlink.com/link.asp?id=102945

Related research

Keywords: Fractional cointegration; Fractionally Integrated Error Correction Model (FIECM); Forecasting; Multifactor models; Securitized real estate; REITs; G17; G11; C53;

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References

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