Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables
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Other versions of this item:
- Camilo Serrano & Martin Hoesli, 2009. "Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables," ERES eres2009_265, European Real Estate Society (ERES).
More about this item
KeywordsFractional Cointegration; Fractionally Integrated Error Correction Model (FIECM); Forecasting; Multifactor Models; Securitized Real Estate; REITs;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BEC-2009-06-03 (Business Economics)
- NEP-FMK-2009-06-03 (Financial Markets)
- NEP-FOR-2009-06-03 (Forecasting)
- NEP-URE-2009-06-03 (Urban & Real Estate Economics)
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