Nonlinear adjustment of short-term deviations impacts on the US real estate market
AbstractThis study examines whether nonlinear adjustment of short-term deviations impacts US real estate market returns by applying an exponential smooth transition threshold error-correction model with Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) (ESTECM-GARCH). Empirical results demonstrate that the ESTECM-GARCH captures the dynamics of returns more effectively than the Error-Correction Model (ECM) and Exponential Smooth Transition Error-Correction Model (ESTECM). Consequently, the nonlinear behaviour of returns is driven by momentum noise traders and heterogeneous arbitrageurs in Real Estate Investment Trust (REIT) markets.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 17 (2010)
Issue (Month): 6 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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- Yen-Hsien Lee & Fang Hao, 2012. "Oil and S&P 500 Markets: Evidence from the Nonlinear Model," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 272-280.
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