Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios

A recent literature has shown that, similarity to stocks and bonds, REIT returns contain strong evidence of bull and bear regimes, that may best captured using nonlinear econometric models of the Markov switching type

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Year of publication:	2016
Authors:	Guidolin, Massimo
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Immobilienfonds \| Real estate fund \| Prognoseverfahren \| Forecasting model \| Immobilienmarkt \| Real estate market \| Portfolio-Management \| Portfolio selection \| Börsenkurs \| Share price \| Kapitaleinkommen \| Capital income

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Extent:	1 Online-Ressource (55 p)
Series:	BAFFI CAREFIN Centre Research Paper ; No. 2016-19
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2013 erstellt
Other identifiers:	10.2139/ssrn.2749565 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012996599