The Prospects for Geographic Diversification in UK Regional Property Investment: Implications Derived from Multivariate Cointegration Analysis
Download full text from publisher
References listed on IDEAS
- Daniel C. Quan & Sheridan Titman, 1999. "Do Real Estate Prices and Stock Prices Move Together? An International Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(2), pages 183-207.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Ping Cheng & Alan J. Ziobrowski & Royce W. Caines & Brigette J. Ziobrowski, 1999. "Uncertainty and Foreign Real Estate Investment," Journal of Real Estate Research, American Real Estate Society, vol. 18(3), pages 463-480.
- David A. Lins & Bruce J. Sherrick & Aravind Venigalla, 1992. "Institutional Portfolios: Diversification through Farmland Investment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(4), pages 549-571.
- Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Graff, Richard A & Young, Michael S, 1996. "Real Estate Return Correlations: Real-World Limitations on Relationships Inferred from NCREIF Data," The Journal of Real Estate Finance and Economics, Springer, vol. 13(2), pages 121-142, September.
- Patrick J. Wilson & John Okunev, 1999. "Long-Term Dependencies and Long Run non-Periodic Co-Cycles: Real Estate and Stock Markets," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 257-278.
- Vinod Chandrashekaran, 1999. "Time-Series Properties and Diversification Benefits of REIT Returns," Journal of Real Estate Research, American Real Estate Society, vol. 17(1), pages 91-112.
- Tuluca, Sorin A & Myer, F C Neil & Webb, James R, 2000. "Dynamics of Private and Public Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 279-296, November.
- Piet Eichholtz & Ronald Huisman & Kees Koedijk & Lisa Schuin, 1998. "Continental Factors in International Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(3), pages 493-509.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- James G. MacKinnon, 1990.
"Critical Values for Cointegration Tests,"
1227, Queen's University, Department of Economics.
- James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
- Tom Doan, "undated". "EGTEST: RATS procedure to compute Engle-Granger test for Cointegration," Statistical Software Components RTS00061, Boston College Department of Economics.
- Dirk P.M. De Wit, 1997. "Real Estate Diversification Benefits," Journal of Real Estate Research, American Real Estate Society, vol. 14(2), pages 117-136.
- Giliberto, M. & Hamelink, F. & Hoesli, M. & Macgregor, B., 1996. "Optimal Diversification Within Multi-Asset Portfolio Using a Conditional Heteroscedasticity Approach: Evidence from the US and the UK," Papers 96.12, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- David Hartzell & John Hekman & Mike Miles, 1986. "Diversification Categories in Investment Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(2), pages 230-254.
- Jack H. Rubens & David A. Louton & Elizabeth J. Yobaccio, 1998. "Measuring the Significance of Diversification Gains," Journal of Real Estate Research, American Real Estate Society, vol. 16(1), pages 73-86.
- Eichholtz, Piet & Koedijk, Kees & Schweitzer, Mark, 2001. "Global property investment and the costs of international diversification," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 349-366, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kathleen Goffey & Andrew Worthington, 2002. "Motor Vehicle Usage Patterns in Australia: A Comparative Analysis of Driver, Vehicle & Purpose Characteristics for Household & Freight Travel," School of Economics and Finance Discussion Papers and Working Papers Series 117, School of Economics and Finance, Queensland University of Technology.
More about this item
KeywordsRegional property markets; Portfolio diversification; Short and long-run relationships;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qut:dpaper:111. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Fletcher). General contact details of provider: http://edirc.repec.org/data/sequtau.html .