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Fractional Cointegration Analysis of Securitized Real Estate

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  • Camilo Serrano

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  • Martin Hoesli

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Suggested Citation

  • Camilo Serrano & Martin Hoesli, 2012. "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 319-338, April.
  • Handle: RePEc:kap:jrefec:v:44:y:2012:i:3:p:319-338
    DOI: 10.1007/s11146-009-9231-x
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    References listed on IDEAS

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    Cited by:

    1. Hui, Eddie C.M. & Chen, Jia & Chan, Ka Kwan Kevin, 2016. "Are international securitized property markets converging or diverging?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 1-10.
    2. repec:kap:jrefec:v:56:y:2018:i:4:d:10.1007_s11146-016-9580-1 is not listed on IDEAS
    3. Hui, Eddie Chi-man & Chan, Ka Kwan Kevin, 2014. "The global financial crisis: Is there any contagion between real estate and equity markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 216-225.
    4. Abel Olaleye & Benjamin Ekemode, 2014. "Integration between real estate equity and non-real estate equity," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 32(3), pages 244-255, April.
    5. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2013. "Contagion across real estate and equity markets during European sovereign debt crisis," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 17(3), pages 305-316, September.

    More about this item

    Keywords

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

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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