Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns
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- Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper 2011/19, Norges Bank.
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More about this item
Keywords
reit returns; bayesian estimation; structural instability; stochastic volatility; linear factor models. jel codes: g11; c53.;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2011-10-22 (Business Economics)
- NEP-CIS-2011-10-22 (Confederation of Independent States)
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