Akinsomi, Kola; Aye, Goodness C.; Babalos, Vassilios; … - Department of Economics, Faculty of Economic and … - 2014
In this paper we examine the real estate returns predictability employing US REITs and a set of possible predictors for the period January 1991 to September 2013. To this end we employ several forecasting models to test for REITs predictability under a flexible framework that captures parameter...