Can linear predictability models time bull and bear real estate markets? : out-of-sample evidence from REIT portfolios
Daniele Bianchi; Massimo Guidolin
| Year of publication: |
2014
|
|---|---|
| Authors: | Bianchi, Daniele ; Guidolin, Massimo |
| Published in: |
The journal of real estate finance and economics. - Dordrecht : Springer, ISSN 0895-5638, ZDB-ID 1073289-5. - Vol. 49.2014, 1, p. 116-164
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| Subject: | REIT returns | Predictability | Strategic asset allocation | Markov switching | Vector autoregressive models | Out-of-sample performance | Portfolio-Management | Portfolio selection | Immobilienfonds | Real estate fund | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | VAR-Modell | VAR model | Immobilienmarkt | Real estate market | Prognose | Forecast | Schätzung | Estimation | Markov-Kette | Markov chain | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010422318