Article ID Journal Published Year Pages File Type
5055509 Economic Modelling 2012 8 Pages PDF
Abstract
► We examine the stochastic behavior of the returns on real estate investment trusts. ► The permanent and transitory components in REIT monthly returns are decomposed. ► We use the unobserved component Markov switching (UC-MSD) model to achieve this. ► The durations of the high-variance regimes for both components are short-lived.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Examining the stochastic behavior of REIT returns: Evidence from the regime switching approach
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